Fabio Forgione - Academia.edu (original) (raw)
Papers by Fabio Forgione
Socio-Economic Planning Sciences
Economic Notes
This study examines the determinants of cooperative banks' diversification proclivity, with c... more This study examines the determinants of cooperative banks' diversification proclivity, with consideration of the spatial dependence effect. The empirical analysis demonstrates that Italian cooperative banks operate as a network with significant spillover effects that should not be ignored. Indeed, local banks compete in the same market segment, and any shift in their diversification strategy has a cascading effect on neighbouring cooperative banks as a result of customer migration. Finally, we observe that an increase in bank market power results in a decline in local bank lending activity.
Regional Studies, Jan 19, 2023
International Journal of Banking, Accounting and Finance
Applied Stochastic Models in Business and Industry, 2021
Finance Research Letters, 2020
Corporate Governance: The International Journal of Business in Society, 2018
PurposeThe purpose of this paper is to investigate the impact of ownership structure on bank perf... more PurposeThe purpose of this paper is to investigate the impact of ownership structure on bank performance in EU-15 countries. Specifically, it examines to what extent shareholder type and the degree of shareholder concentration affect the banks’ profitability, risk and technical efficiency.Design/methodology/approachThis study uses a sample of 1,459 banks operating in EU-15 countries from 2011 to 2015. It constructs a set of continuous variables capturing the ownership nature, the concentration and their interactions, and estimates an instrumental variable random effect (IV-RE) model. In addition, a panel data stochastic frontier analysis is conducted to estimate the time-varying technical efficiency for profitability and costs.FindingsThe empirical analysis shows that bank performance is affected by shareholder type. When regressed against the entrenchment behavior of the controlling owner hypothesis, banks with large-block shareholders are more profitable, less risky and more profi...
International Journal of Forecasting, 2018
Economics Bulletin, Mar 11, 2015
Journal of Cleaner Production
Papers in Regional Science, 2022
Industry and Innovation, Apr 20, 2022
Journal of Risk and Financial Management, 2021
Several studies have explored the linkage between non-performing loans and major macroeconomic in... more Several studies have explored the linkage between non-performing loans and major macroeconomic indicators, using a wide variety of methodologies, sometimes with different results. This occurs, we argue, because these relationships are generally derived in terms of correlation coefficients evaluated in certain time spans, which represent a sort of average level of correlations. However, such correlations are necessarily time-varying, because the relationships between bank loan indicators and macroeconomic variables could be stronger during particular periods or in correspondence with important economic events. We propose an empirical exercise using dynamic conditional correlation models, with constant and time-varying parameters. Applying these models to quarterly delinquency rates and an array of macroeconomic variables for the US, for the period 1985–2019, we find that the correlation is often negligible in this period except during periods of economic crises, in particular the ear...
Corporate Social Responsibility and Environmental Management, 2020
The Journal of Risk Finance, 2020
Purpose This study aims to propose a non-linear model to describe the effect of macroeconomic sho... more Purpose This study aims to propose a non-linear model to describe the effect of macroeconomic shocks on delinquency rates of three kinds of bank loans. Indeed, a wealth of literature has recognized significant evidence of the linkage between macro conditions and credit vulnerability, perceiving the importance of the high amount of bad loans for economic stagnation and financial vulnerability. Design/methodology/approach Generally, this linkage was represented by linear relationships, but the strong dependence of bank loan default on the economic cycle, subject to changes in regime, could suggest non-linear models as more appropriate. Indeed, macroeconomic variables affect the performance of bank’s portfolio loan, but such a relationship is subject to changes disturbing the stability of parameters along the time. This study is an attempt to model three different kinds of bank loan defaults and to forecast them in the case of the USA, detecting non-linear and asymmetric behaviors by t...
Applied Economics Letters, 2019
The Journal of International Trade & Economic Development
Socio-Economic Planning Sciences
Economic Notes
This study examines the determinants of cooperative banks' diversification proclivity, with c... more This study examines the determinants of cooperative banks' diversification proclivity, with consideration of the spatial dependence effect. The empirical analysis demonstrates that Italian cooperative banks operate as a network with significant spillover effects that should not be ignored. Indeed, local banks compete in the same market segment, and any shift in their diversification strategy has a cascading effect on neighbouring cooperative banks as a result of customer migration. Finally, we observe that an increase in bank market power results in a decline in local bank lending activity.
Regional Studies, Jan 19, 2023
International Journal of Banking, Accounting and Finance
Applied Stochastic Models in Business and Industry, 2021
Finance Research Letters, 2020
Corporate Governance: The International Journal of Business in Society, 2018
PurposeThe purpose of this paper is to investigate the impact of ownership structure on bank perf... more PurposeThe purpose of this paper is to investigate the impact of ownership structure on bank performance in EU-15 countries. Specifically, it examines to what extent shareholder type and the degree of shareholder concentration affect the banks’ profitability, risk and technical efficiency.Design/methodology/approachThis study uses a sample of 1,459 banks operating in EU-15 countries from 2011 to 2015. It constructs a set of continuous variables capturing the ownership nature, the concentration and their interactions, and estimates an instrumental variable random effect (IV-RE) model. In addition, a panel data stochastic frontier analysis is conducted to estimate the time-varying technical efficiency for profitability and costs.FindingsThe empirical analysis shows that bank performance is affected by shareholder type. When regressed against the entrenchment behavior of the controlling owner hypothesis, banks with large-block shareholders are more profitable, less risky and more profi...
International Journal of Forecasting, 2018
Economics Bulletin, Mar 11, 2015
Journal of Cleaner Production
Papers in Regional Science, 2022
Industry and Innovation, Apr 20, 2022
Journal of Risk and Financial Management, 2021
Several studies have explored the linkage between non-performing loans and major macroeconomic in... more Several studies have explored the linkage between non-performing loans and major macroeconomic indicators, using a wide variety of methodologies, sometimes with different results. This occurs, we argue, because these relationships are generally derived in terms of correlation coefficients evaluated in certain time spans, which represent a sort of average level of correlations. However, such correlations are necessarily time-varying, because the relationships between bank loan indicators and macroeconomic variables could be stronger during particular periods or in correspondence with important economic events. We propose an empirical exercise using dynamic conditional correlation models, with constant and time-varying parameters. Applying these models to quarterly delinquency rates and an array of macroeconomic variables for the US, for the period 1985–2019, we find that the correlation is often negligible in this period except during periods of economic crises, in particular the ear...
Corporate Social Responsibility and Environmental Management, 2020
The Journal of Risk Finance, 2020
Purpose This study aims to propose a non-linear model to describe the effect of macroeconomic sho... more Purpose This study aims to propose a non-linear model to describe the effect of macroeconomic shocks on delinquency rates of three kinds of bank loans. Indeed, a wealth of literature has recognized significant evidence of the linkage between macro conditions and credit vulnerability, perceiving the importance of the high amount of bad loans for economic stagnation and financial vulnerability. Design/methodology/approach Generally, this linkage was represented by linear relationships, but the strong dependence of bank loan default on the economic cycle, subject to changes in regime, could suggest non-linear models as more appropriate. Indeed, macroeconomic variables affect the performance of bank’s portfolio loan, but such a relationship is subject to changes disturbing the stability of parameters along the time. This study is an attempt to model three different kinds of bank loan defaults and to forecast them in the case of the USA, detecting non-linear and asymmetric behaviors by t...
Applied Economics Letters, 2019
The Journal of International Trade & Economic Development