Marcella Lucchetta's Books

Systemic Real and Financial Risks

Measurement, Forecasting, and Stress Testing

By: Mr.Gianni De Nicolo,Marcella Lucchetta

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Systemic Real and Financial Risks

Measurement, Forecasting, and Stress Testing

By: Mr.Gianni De Nicolo,Marcella Lucchetta

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as measures of the dynamics of responses of systemic risk indicators to structural shocks identified by standard macroeconomic and banking theory. Using a large number of quarterly time series of the G-7 economies in 1980Q1-2010Q2, we show that the model exhibits significant out-of sample forecasting power for tail real and financial risk realizations, and that stress testing provides useful early warnings on the build-up of real and financial vulnerabilities.

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International Monetary Fund

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ISBN 10

1463937768

ISBN 13

9781463937768

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

By: Mr.Gianni De Nicolo,Mr.Andrea Gamba,Marcella Lucchetta

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Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

By: Mr.Gianni De Nicolo,Mr.Andrea Gamba,Marcella Lucchetta

This paper studies the impact of bank regulation and taxation in a dynamic model with banks exposed to credit and liquidity risk. We find an inverted U-shaped relationship between capital requirements and bank lending, efficiency, and welfare, with their benefits turning into costs beyond a certain requirement threshold. By contrast, liquidity requirements reduce lending, efficiency and welfare significantly. The costs of high capital and liquidity requirements represent a lower bound on the benefits of these regulations in abating systemic risks. On taxation, corporate income taxes generate higher government revenues and entail lower efficiency and welfare costs than taxes on non-deposit liabilities.

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International Monetary Fund

Published Date

ISBN 10

1475531958

ISBN 13

9781475531954

Bank Competition and Financial Stability

A General Equilibrium Exposition

By: Mr.Gianni De Nicolo,Marcella Lucchetta

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Bank Competition and Financial Stability

A General Equilibrium Exposition

By: Mr.Gianni De Nicolo,Marcella Lucchetta

We study versions of a general equilibrium banking model with moral hazard under either constant or increasing returns to scale of the intermediation technology used by banks to screen and/or monitor borrowers. If the intermediation technology exhibits increasing returns to scale, or it is relatively efficient, then perfect competition is optimal and supports the lowest feasible level of bank risk. Conversely, if the intermediation technology exhibits constant returns to scale, or is relatively inefficient, then imperfect competition and intermediate levels of bank risks are optimal. These results are empirically relevant and carry significant implications for financial policy.

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International Monetary Fund

Published Date

ISBN 10

1463927290

ISBN 13

9781463927295

Systemic Risks and the Macroeconomy

By: Marcella Lucchetta,Mr.Gianni De Nicolo

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Systemic Risks and the Macroeconomy

By: Marcella Lucchetta,Mr.Gianni De Nicolo

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory. This framework is implemented using large sets of quarterly time series of indicators of financial and real activity for the G-7 economies for the 1980Q1-2009Q3 period. We obtain two main results. First, there is evidence of out-of sample forecasting power for tail risk realizations of real activity for several countries, suggesting the usefulness of the model as a risk monitoring tool. Second, in all countries aggregate demand shocks are the main drivers of the real cycle, and bank credit demand shocks are the main drivers of the bank lending cycle. These results challenge the common wisdom that constraints in the aggregate supply of credit have been a key driver of the sharp downturn in real activity experienced by the G-7 economies in 2008Q4- 2009Q1.

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