Níl an t-ábhar seo ar fáil i nGaeilge.
Luca Nocciola
Macro Prud Policy&Financial Stability
- Division
Macroprudential Policy
- Current Position
-
Financial Stability Expert
- Fields of interest
-
Financial Economics,Macroeconomics and Monetary Economics,Mathematical and Quantitative Methods
- Other current responsibilities
- 2022-
Member - Research Coordination #5 (Financial institutions and markets)
- 2020-
Member - Society Nonlinear Dynamics and Econometrics
- 2019-
External Fellow - Granger Centre
- Education
- 2016-2021
PhD, Economics, Goethe University
- 2011-2013
MSc, Economics, Catholic University
- 2007-2010
BSc, Economics, Catholic University
- Professional experience
- 2023-
Economist - Macroprudential Policy Division, ECB
- 2022-2023
Economist - Financial Research Division, ECB
- 2021-2022
Economist (GP) - Currency Management Division, ECB
- 2020-2021
Economist (GP) - Stress Test Experts Division, ECB
- 2018-2020
Analyst - Research Centre, German Federal Bank
- 2017-2018
Analyst - Risk Analysis Division, German Federal Bank
- 2015-2016
Analyst - Macro-Financial Linkages Division, ECB
- 2014-2015
Analyst - Research Department, Intesa Sanpaolo
- 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)
- 2023
- Journal of Financial StabilityTemporal networks and financial contagion
- 2022
- Contributions to Statistics
- 2021
- Advances in Econometrics
- 2020
- Journal of Financial Stability