Macroeconomic uncertainty and banks' lending decisions: the case of Italy

Journal article | Zeitschriftenartikel

This paper discusses the role that macroeconomic uncertainty plays in banks' decisions on the optimal asset allocation. Following the portfolio model proposed by Baum et al. (2005), the paper aims at disentangling how Italian banks choose between loans and risk-free assets when uncertainty on macroeconomic conditions increases. The econometric results confirm that macroeconomic uncertainty is a significant determinant of banks' investment decisions, also after controlling for other factors. In periods of increasing turmoil, banks' ability to accurately forecast future returns is hindered and herding behaviour tends to emerge, as witnessed by the reduction of the cross-sectional variance of the share of loans held in portfolio.

Object Details

• Extent: Seite(n): 323-336
• Language: Englisch
• Notes: Status: Postprint; begutachtet (peer reviewed)

References and Relationships

• Bibliographic citation: Applied Economics, 41(3)

Classification and Topics

• Subject: Wirtschaft ; Volkswirtschaftslehre ; Wirtschaftssektoren ; Bank

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Quagliariello, Mario
• Event: Veröffentlichung
• (where): Vereinigte Staaten von Amerika
• (when): 2009

Further information

• DOI: https://doi.org/10.1080/00036840601007286
• URN: urn:nbn:de:0168-ssoar-240788
• Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
• Last update: 24.06.2024, 3:26 PM CEST