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Luca Nocciola

Division: Currency Management
Current Position: Graduate Programme Participant
Fields of interest: Mathematical and Quantitative Methods,Financial Economics,Macroeconomics and Monetary Economics
Email: Luca.Nocciola@ecb.europa.eu

Biography

Other current responsibilities: 2020-
Referee - Advances in Econometrics, Journal of Financial Stability, Empirical Economics, Contributions to Statistics; 2020-
Member - Society for Nonlinear Dynamics and Econometrics; 2019-
External Fellow - Granger Centre for Time Series Econometrics
Education: 2016-2021
PhD in Economics, Goethe University Frankfurt, Germany; 2011-2013
MSc in Economics, Catholic University Milan, Italy; 2007-2010
BSc in Economics, Catholic University Milan, Italy
Professional experience: 2020-2022
Jr. Research Economist (Graduate Programme) - European Central Bank; 2016-2020
Research Analyst - European Central Bank, Deutsche Bundesbank, Leibniz Institute for Financial Research SAFE; 2014-2016
Research Trainee - European Central Bank, Bruegel, Intesa Sanpaolo Research

ECB publications

23 May 2019

WORKING PAPER SERIES - No. 2285

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)

External publications

2022

Contributions to Statistics

Unit root test combination via random forests