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Luca Nocciola

Research

Division

Financial Research

Current Position

Economist

Fields of interest

Mathematical and Quantitative Methods,Financial Economics,Macroeconomics and Monetary Economics

Email

Luca.Nocciola@ecb.europa.eu

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. 2667
Details
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. 2285
Details
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 Statistics
Unit root test combination via random forests
  • Nocciola, L., Ollech, D., Webel, K.
2021
Advances in Econometrics
  • Nocciola, L.
2020
Journal of Financial Stability
  • Franch, F., Nocciola, L., Zochowski, D.