Luca Nocciola
Research
- Division
-
Financial Research
- Current Position
-
Economist
- Fields of interest
-
Mathematical and Quantitative Methods,Financial Economics,Macroeconomics and Monetary Economics
- Other current responsibilities
- 2020-
Member - Society for Nonlinear Dynamics and Econometrics
- 2019-
External Fellow - Granger Centre
- Education
- 2016-2021
PhD in Economics, Goethe University Frankfurt
- 2011-2013
MSc in Economics, Catholic University Milan
- 2007-2010
BSc in Economics, Catholic University Milan
- Professional experience
- 2022-
Research Economist - European Central Bank
- 2020-2022
Junior Economist (Graduate Programme) - European Central Bank
- 2016-2020
Research Analyst - European Central Bank, Deutsche Bundesbank, SAFE
- 2014-2016
Research Trainee - European Central Bank, Intesa Sanpaolo, Bruegel
- 1 June 2022
- WORKING PAPER SERIES - No. 2667Details
- Abstract
- This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and temporal node centralities in an economic setting to capture non-Markovian network features. Our approach uncovers the dynamics of financial contagion as it is transmitted across segments of the financial system and jurisdictions. Temporal centralities identify countries in distress as the nodes through which contagion propagates. Moreover, the banking system emerge as the primary source and transmitter of stress while banks and shadow banks are highly interconnected. The insurance sector is found to contribute less to stress transmission in all periods, except during the global financial crisis. Our approach, as opposed to one that uses memoryless measures of network centrality, is able to identify more clearly the nodes that are critical for the transmission of financial contagion.
- JEL Code
- C02 : Mathematical and Quantitative Methods→General→Mathematical Methods
C22 : Mathematical and Quantitative Methods→Single Equation Models, Single Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models &bull Diffusion Processes
G01 : Financial Economics→General→Financial Crises
G2 : Financial Economics→Financial Institutions and Services
- 23 May 2019
- WORKING PAPER SERIES - No. 2285Details
- Abstract
- We analyse the cross-border propagation of prudential regulation in the euro area. Using the Prudential Instruments Database (Cerutti et al., 2017b) and a unique confidential database on balance sheets items of euro-area financial institutions we estimate panel models for 248 banks from 16 euro-area countries. We find that domestic banks reduce lending after the tightening of capital requirements in other countries, while they increase lending when loan-to-value (LTV) limits or reserve requirements are tightened abroad. We also find that foreign affiliates increase lending following the tightening of sector-specific capital buffers in the countries where their parent banks reside and that bank size and liquidity play a role in determining the magnitude of cross-border spillovers.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
F34 : International Economics→International Finance→International Lending and Debt Problems
F36 : International Economics→International Finance→Financial Aspects of Economic Integration - Network
- Research Task Force (RTF)
- 2022
- Contributions to StatisticsUnit root test combination via random forests
- 2021
- Advances in Econometrics
- 2020
- Journal of Financial Stability