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Luca Nocciola

Current Position: Market Infrastructure PM Expert
Fields of interest: Financial Economics,Macroeconomics and Monetary Economics,Mathematical and Quantitative Methods
Email: Luca.Nocciola@ecb.europa.eu

Biography

Other current responsibilities: 2024-
Coordinator - Workstream "Calibration of CBDC holding limits"; 2022-
Member - Research Coordination Committee #5 (Financial institutions and markets); 2020-
Member - Society for Nonlinear Dynamics and Econometrics
Education: 2016-2021
PhD, Economics, Goethe University; 2011-2013
MSc, Economics, Catholic University; 2007-2010
BSc, Economics, Catholic University
Professional experience: 2020-
Economist - European Central Bank; 2017-2020
Economist - German Federal Bank; 2015-2016
Economist - European Central Bank; 2014-2015
Economist - Intesa Sanpaolo

ECB publications

16 April 2024

WORKING PAPER SERIES - No. 2926

Abstract: We shed light on the demand for a central bank digital currency (CBDC) as a means of payment, based on survey payment data. We provide a quantitative framework to assess transactional demand for CBDC at the point of sale, accommodating a wide range of design choices. We develop a structural model of payment means adoption and usage and estimate CBDC demand based on individuals’ preferences for payment method attributes. We disentangle the friction potentially associated to CBDC adoption, assessing two of its potential drivers: information frictions and gradual diffusion of digital payment methods. We find that modelling adoption is key to understanding CBDC demand. Finally, we show that optimal CBDC design, information campaigns, and network effects can substantially boost demand.
JEL Code: E41 : Macroeconomics and Monetary Economics→Money and Interest Rates→Demand for Money
E42 : Macroeconomics and Monetary Economics→Money and Interest Rates→Monetary Systems, Standards, Regimes, Government and the Monetary System, Payment Systems
E47 : Macroeconomics and Monetary Economics→Money and Interest Rates→Forecasting and Simulation: Models and Applications

1 June 2022

WORKING PAPER SERIES - No. 2667

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

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

2023

Journal of Financial Stability