Stefano Nobili

Stefano Nobili
Banca d'Italia · Market Operations

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15
Publications
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325
Citations

Publications

Publications (15)
Article
Using a comprehensive dataset of Italian SMEs, we find that differences between private and public information on firm creditworthiness affect the decision to issue bonds. Our evidence supports favorable (rather than adverse) selection in corporate bond markets. Specifically, holding public information constant, firms with better private fundamenta...
Article
In this paper we examine the holdings of government securities by domestic banks along those of the foreign banks/non‐banks/official sector as well as the domestic central bank and domestic non‐banks, using data for 21 advanced economies from 2004Q1 to 2016Q2. The research offers four main insights. Firstly, banks are reluctant to undertake large c...
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Using a comprehensive dataset of Italian SMEs, we find that differences between private and public information on creditworthiness affect firms' decisions to issue debt securities. Surprisingly, our evidence supports positive (rather than adverse) selection. Holding public information constant, firms with better private fundamentals are more likely...
Article
Capturing financial network linkages and contagion in stress test models are important goals for banking supervisors and central banks responsible for micro- and macroprudential policy. However, granular data on financial networks is often lacking, and instead the networks must be reconstructed from partial data. In this paper, we conduct a horse r...
Article
We conduct a horse race of methods to reconstruct financial networks from partial data. The various methods are assessed using financial network data obtained from 25 different markets, across 13 different jurisdictions. Our contribution is two-fold. We conduct a cross-country panel analysis of financial networks that sheds new and robust insights...
Article
This paper introduces a coincident indicator of systemic liquidity risk in the Italian financial markets. In order to take account of the systemic dimension of liquidity stress, standard portfolio theory is used. Three sub-indices, that reflect liquidity stress in specific market segments, are aggregated in the systemic liquidity risk indicator in...
Article
This paper introduces a coincident indicator of systemic liquidity risk in the Italian financial markets. In order to take account of the systemic dimension of liquidity stress, standard portfolio theory is used. Three sub-indices, that reflect liquidity stress in specific market segments, are aggregated in the systemic liquidity risk indicator in...
Article
In examining the risk premiums for U.S. and German 10-year government bond yields, the authors found that the decline in bond risk premiums since the 1980s is associated with a decrease in global output variability and an increase in the power of 10-year government bonds to diversify portfolios.
Article
Full-text available
We use a no-arbitrage essentially affine three-factor model to estimate term premia in US and German ten-year government bond yields. In line with the existing literature, we find that estimated premia have followed a downward trend since the 1980s: from 4.9 per cent in 1981 to 0.7 per cent in 2006 for the US bond and from 3.3 to 0.5 per cent for t...

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