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Luca Nocciola

Banknotes

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

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

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.
2019
Granger Centre Discussion Paper Series
  • Nocciola, L.
2016
BIS Papers Chapter
  • Nocciola, L., Zochowski, D.