Is bank portfolio riskiness procyclical?. Evidence from Italy using a vector autoregression

Journal of International Financial Markets, Institutions and Money

Volumn 18, Issue 1, 2008, Pages 46-63

  Marcucci, Juri ^a,b   Quagliariello, Mario ^a,c  

^a BANK OF ITALY   (Italy)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c UNIVERSITY OF YORK   (United Kingdom)

Author keywords

Banks; Procyclicality; VAR

Indexed keywords

EID: 37549045297     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2006.05.002     Document Type: Article

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