Silvia Magri - Academia.edu (original) (raw)

Papers by Silvia Magri

SSRN Electronic Journal, 2012

SSRN Electronic Journal, 2009

SSRN Electronic Journal, 2019

SSRN Electronic Journal, 2017

The Journal of Credit Risk, 2019

This paper analyzes whether in Italy the price of consumer loans is based on borrower specific ri... more This paper analyzes whether in Italy the price of consumer loans is based on borrower specific risk. Mispricing could threat financial stability through negative effects on lenders' profitability; risk-based pricing also leads to a more efficient allocation of credit through lower prices for low-risk borrowers, with positive effects on economic growth and financial stability. The evidence available from data collected since 2006 through the Survey on Household Income and Wealth shows that consumer loan pricing has been more risk-based after the 2008 financial crisis. Households’ economic and financial conditions (net wealth, number of income earners and education of the household head) became significant and economically important in influencing the interest rates in 2010-12. These are also the most important drivers of the probability of delinquency on consumer loans; lenders also focus on these variables in selecting borrowers. As a consequence of the 2008 crisis, lenders have therefore paid more attention to borrowers' credit risk not only during the selection process, but also in deciding the price of the loan.

SSRN Electronic Journal, 2016

Half a decade of crisis has had a substantial impact on the market for credit to Italian househol... more Half a decade of crisis has had a substantial impact on the market for credit to Italian households. From 2008 through 2012 the share of indebted households decreased by 4 percentage points, to 23 per cent; among young households it fell by 12 points. The decline involved consumer credit and occurred between 2010 and 2012. Overall, the share of households with mortgage loans did not change; however, it fell among low-income households and increased among those in the third quartile of income. The demand for loans decreased sharply except among young households. The reduction in indebtedness was due to the drastic tightening of credit supply conditions in the period. The indicators of debt sustainability, in particular the ratio of debt to income, began to worsen in 2010; for mortgage credit the decline has involved households headed by self-employed workers and those in the third income quartile. For these households, repayment arrears have increased; arrears are more frequent for mortgages granted before the crisis. The share of households with high debt service and below-median income is about the same as in 2008, and our simulations suggest that it will change only slightly in 2014-2015.

SSRN Electronic Journal, 2014

Italian Abstract: Cinque anni di crisi hanno avuto conseguenze rilevanti sul mercato del credito ... more Italian Abstract: Cinque anni di crisi hanno avuto conseguenze rilevanti sul mercato del credito alle famiglie. Dal 2008 al 2012 la quota di famiglie indebitate si e ridotta di 4 punti percentuali (al 23 per cento), di 12 punti tra quelle giovani (English Abstract: Half a decade of crisis has had a substantial impact on the market for credit to Italian households. From 2008 through 2012 the share of indebted households decreased by 4 percentage points, to 23 per cent; among young households it fell by 12 points. The decline involved consumer credit and occurred between 2010 and 2012. Overall, the share of households with mortgage loans did not change; however, it fell among low-income households and increased among those in the third quartile of income. The demand for loans decreased sharply except among young households. The reduction in indebtedness was due to the drastic tightening of credit supply conditions in the period. The indicators of debt sustainability, in particular the ratio of debt to income, began to worsen in 2010; for mortgage credit the decline has involved households headed by self-employed workers and those in the third income quartile. For these households, repayment arrears have increased; arrears are more frequent for mortgages granted before the crisis. The share of households with high debt service and below-median income is about the same as in 2008, and our simulations suggest that it will change only slightly in 2014-2015.

SSRN Electronic Journal, 2014

Italian Abstract: Il lavoro analizza le tendenze del mercato del credito al consumo durante la cr... more Italian Abstract: Il lavoro analizza le tendenze del mercato del credito al consumo durante la crisi usando i dati, di fonte CRIF, relativi alle domande di prestiti personali e finalizzati e ai contratti stipulati tra il 2007 e il 2013 in Italia (55 e 37 milioni rispettivamente). L’analisi mostra che il forte ridimensionamento dei consumi di beni durevoli si e associato a un calo della domanda di finanziamenti, con l’eccezione di quella per contratti di piccolo importo (English Abstract: The study analyses trends in the market for consumer credit during the crisis, relying on data by CRIF referring to demand for personal and special-purpose loans and to contracts signed between 2007 and 2013 in Italy (55 and 37 million respectively). The analysis shows how the sharp reduction in durable consumption has been associated with a decrease in demand for loans, with the exception of contracts for small amounts (

Economics of Innovation and New Technology, 2014

This paper evaluates the causal effect of issuing equities on the probability that a firm engages... more This paper evaluates the causal effect of issuing equities on the probability that a firm engages in R&D activity. Equity is a better source of external finance than debt for innovation. It does not require collateral, does not exacerbate moral hazard problems connected with the substitution of high-risk for low-risk projects, quite common when using debt, and, unlike debt, does not increase the probability of bankruptcy; equity also allows investors to reap the entire benefit of the returns of successful innovative projects. This paper focuses on high-tech firms for which asymmetric information problems are more pervasive. Implementing an instrumental variable estimation, we find that issuing equity increases the probability that the firm has R&D expenditures by 30–40%. We detect considerable heterogeneity in this effect: the impact of issuing equity is significant only for small, young and more highly leveraged high-tech firms. We also find interesting evidence that issuing equity increases R&D expenditures in relation to sales.

SSRN Electronic Journal, 2009

The aim of this paper is twofold. Using the Eu-Silc database for seven European countries, we fir... more The aim of this paper is twofold. Using the Eu-Silc database for seven European countries, we first analyse the frequency of households in arrears in repaying mortgages. By considering only households with mortgages, we uncover some new evidence compared to previous analyses. Although the shares of households in arrears on mortgages calculated on the whole population are low and similar across countries, the findings for households with mortgages show a wider heterogeneity, with the highest percentage of households in arrears in Italy and Spain. The probability of being late in repaying mortgage is lower when education and income are higher and increases when the head of the household is unemployed or in bad health. In the second part of the paper, we assess how much the price of the mortgage is linked to the household specific credit risk, as measured by its predicted probability of being in arrears on mortgage. This analysis regards only Italian households for which the national Eu-Silc database contains some additional variables on the mortgage contract, such as the interest rates. The evidence is that lenders decide the price of the mortgage also on the basis of the household credit scoring. Using a linear model for the estimation of the interest rates and considering mortgages granted since 2002 and 2006, an increase in the probability of default by 0.01 entails a rise in mortgage interest rates by around 12 basis points; in the Us at the end of the '90 Edelberg(2006) finds a higher risk-premium equal to 38 basis points. The impact has increased over time consistently with a more widespread use of credit scoring.

SSRN Electronic Journal, 2014

SSRN Electronic Journal, 2011

Abstract: Which households use consumer credit? This paper addresses the question using harmonize... more Abstract: Which households use consumer credit? This paper addresses the question using harmonized data from Eurostat's EU-SILC survey for nine European countries in the period 2005-08. There is wide heterogeneity in participation in the consumer credit market, ...

SSRN Electronic Journal, 2011

In the absence of any correlation between wealth and entrepreneurial talent, initial net wealth s... more In the absence of any correlation between wealth and entrepreneurial talent, initial net wealth should have an explanatory power in the decision to become an entrepreneur only for households that are financially constrained; further, its importance should decrease with wealth. I test these theoretical predictions for the Italian case, using the Survey of Household Income and Wealth. The evidence is that household's initial wealth is indeed important in the decision to become an entrepreneur and its effect is lower for the richest households. When net wealth is instrumented, the results are similar. Furthermore, the effect of net wealth is stronger when legal enforcement of the loan contract is weaker, as also predicted by the model. Finally, conditional on becoming entrepreneurs, initial household wealth does not significantly affect the size of the business. In summary, it seems that imperfections in capital markets can induce people to accumulate assets in order to facilitate the decision to become entrepreneurs.

SSRN Electronic Journal, 2006

In the absence of correlation between net wealth and entrepreneurial talent, net wealth should ha... more In the absence of correlation between net wealth and entrepreneurial talent, net wealth should have an explanatory power in the decision of becoming entrepreneurs only for households that are financially constrained. Further, the importance of net wealth should be higher for the poorest households. I test these theoretical predictions for the Italian case, using the Survey of Household Income and Wealth. The evidence is that household initial net wealth is important in explaining the decision of becoming entrepreneurs and its relevance is decreasing as far as the household net wealth increases. Moreover, the effect of net wealth is stronger when legal enforcement of the loan contract is worse as predicted by the model. When instrumented, net wealth still explains the occupational choice, with a stronger effect for the poorest households. Finally, conditional on becoming entrepreneurs, the initial net wealth does not significantly affect the size of the business. In summary, it seems that imperfections in capital markets can essentially induce people to pile up assets in order to facilitate the decision of becoming entrepreneurs. However, conditional on this decision, the entrepreneurs seem to reach the optimal size of the business.

Journal of Policy Analysis and Management, 2010

Journal of Money, Credit and Banking, 2010

Journal of Banking & Finance, 2005

Using the Bank of Italy's Survey of Household Income and Wealth, this paper analyses the det... more Using the Bank of Italy's Survey of Household Income and Wealth, this paper analyses the determinants of Italian households' participation in the debt market and tries to disentangle demand and supply effects. Age seems to act essentially as a demand factor. ...

Empirical Economics, 2006

... Italian households' debt: the participation to the debt market and the size of the loanS... more ... Italian households' debt: the participation to the debt market and the size of the loanSilvia Magri ... S. Magri (B) Research Department, Banca d'Italia, Via Nazionale 91, Rome, Italy e-mail: silvia.magri@bancaditalia.it Page 2. 402 S. Magri ...

SSRN Electronic Journal, 2012

SSRN Electronic Journal, 2009

SSRN Electronic Journal, 2019

SSRN Electronic Journal, 2017

The Journal of Credit Risk, 2019

This paper analyzes whether in Italy the price of consumer loans is based on borrower specific ri... more This paper analyzes whether in Italy the price of consumer loans is based on borrower specific risk. Mispricing could threat financial stability through negative effects on lenders' profitability; risk-based pricing also leads to a more efficient allocation of credit through lower prices for low-risk borrowers, with positive effects on economic growth and financial stability. The evidence available from data collected since 2006 through the Survey on Household Income and Wealth shows that consumer loan pricing has been more risk-based after the 2008 financial crisis. Households’ economic and financial conditions (net wealth, number of income earners and education of the household head) became significant and economically important in influencing the interest rates in 2010-12. These are also the most important drivers of the probability of delinquency on consumer loans; lenders also focus on these variables in selecting borrowers. As a consequence of the 2008 crisis, lenders have therefore paid more attention to borrowers' credit risk not only during the selection process, but also in deciding the price of the loan.

SSRN Electronic Journal, 2016

Half a decade of crisis has had a substantial impact on the market for credit to Italian househol... more Half a decade of crisis has had a substantial impact on the market for credit to Italian households. From 2008 through 2012 the share of indebted households decreased by 4 percentage points, to 23 per cent; among young households it fell by 12 points. The decline involved consumer credit and occurred between 2010 and 2012. Overall, the share of households with mortgage loans did not change; however, it fell among low-income households and increased among those in the third quartile of income. The demand for loans decreased sharply except among young households. The reduction in indebtedness was due to the drastic tightening of credit supply conditions in the period. The indicators of debt sustainability, in particular the ratio of debt to income, began to worsen in 2010; for mortgage credit the decline has involved households headed by self-employed workers and those in the third income quartile. For these households, repayment arrears have increased; arrears are more frequent for mortgages granted before the crisis. The share of households with high debt service and below-median income is about the same as in 2008, and our simulations suggest that it will change only slightly in 2014-2015.

SSRN Electronic Journal, 2014

Italian Abstract: Cinque anni di crisi hanno avuto conseguenze rilevanti sul mercato del credito ... more Italian Abstract: Cinque anni di crisi hanno avuto conseguenze rilevanti sul mercato del credito alle famiglie. Dal 2008 al 2012 la quota di famiglie indebitate si e ridotta di 4 punti percentuali (al 23 per cento), di 12 punti tra quelle giovani (English Abstract: Half a decade of crisis has had a substantial impact on the market for credit to Italian households. From 2008 through 2012 the share of indebted households decreased by 4 percentage points, to 23 per cent; among young households it fell by 12 points. The decline involved consumer credit and occurred between 2010 and 2012. Overall, the share of households with mortgage loans did not change; however, it fell among low-income households and increased among those in the third quartile of income. The demand for loans decreased sharply except among young households. The reduction in indebtedness was due to the drastic tightening of credit supply conditions in the period. The indicators of debt sustainability, in particular the ratio of debt to income, began to worsen in 2010; for mortgage credit the decline has involved households headed by self-employed workers and those in the third income quartile. For these households, repayment arrears have increased; arrears are more frequent for mortgages granted before the crisis. The share of households with high debt service and below-median income is about the same as in 2008, and our simulations suggest that it will change only slightly in 2014-2015.

SSRN Electronic Journal, 2014

Italian Abstract: Il lavoro analizza le tendenze del mercato del credito al consumo durante la cr... more Italian Abstract: Il lavoro analizza le tendenze del mercato del credito al consumo durante la crisi usando i dati, di fonte CRIF, relativi alle domande di prestiti personali e finalizzati e ai contratti stipulati tra il 2007 e il 2013 in Italia (55 e 37 milioni rispettivamente). L’analisi mostra che il forte ridimensionamento dei consumi di beni durevoli si e associato a un calo della domanda di finanziamenti, con l’eccezione di quella per contratti di piccolo importo (English Abstract: The study analyses trends in the market for consumer credit during the crisis, relying on data by CRIF referring to demand for personal and special-purpose loans and to contracts signed between 2007 and 2013 in Italy (55 and 37 million respectively). The analysis shows how the sharp reduction in durable consumption has been associated with a decrease in demand for loans, with the exception of contracts for small amounts (

Economics of Innovation and New Technology, 2014

This paper evaluates the causal effect of issuing equities on the probability that a firm engages... more This paper evaluates the causal effect of issuing equities on the probability that a firm engages in R&D activity. Equity is a better source of external finance than debt for innovation. It does not require collateral, does not exacerbate moral hazard problems connected with the substitution of high-risk for low-risk projects, quite common when using debt, and, unlike debt, does not increase the probability of bankruptcy; equity also allows investors to reap the entire benefit of the returns of successful innovative projects. This paper focuses on high-tech firms for which asymmetric information problems are more pervasive. Implementing an instrumental variable estimation, we find that issuing equity increases the probability that the firm has R&D expenditures by 30–40%. We detect considerable heterogeneity in this effect: the impact of issuing equity is significant only for small, young and more highly leveraged high-tech firms. We also find interesting evidence that issuing equity increases R&D expenditures in relation to sales.

SSRN Electronic Journal, 2009

The aim of this paper is twofold. Using the Eu-Silc database for seven European countries, we fir... more The aim of this paper is twofold. Using the Eu-Silc database for seven European countries, we first analyse the frequency of households in arrears in repaying mortgages. By considering only households with mortgages, we uncover some new evidence compared to previous analyses. Although the shares of households in arrears on mortgages calculated on the whole population are low and similar across countries, the findings for households with mortgages show a wider heterogeneity, with the highest percentage of households in arrears in Italy and Spain. The probability of being late in repaying mortgage is lower when education and income are higher and increases when the head of the household is unemployed or in bad health. In the second part of the paper, we assess how much the price of the mortgage is linked to the household specific credit risk, as measured by its predicted probability of being in arrears on mortgage. This analysis regards only Italian households for which the national Eu-Silc database contains some additional variables on the mortgage contract, such as the interest rates. The evidence is that lenders decide the price of the mortgage also on the basis of the household credit scoring. Using a linear model for the estimation of the interest rates and considering mortgages granted since 2002 and 2006, an increase in the probability of default by 0.01 entails a rise in mortgage interest rates by around 12 basis points; in the Us at the end of the '90 Edelberg(2006) finds a higher risk-premium equal to 38 basis points. The impact has increased over time consistently with a more widespread use of credit scoring.

SSRN Electronic Journal, 2014

SSRN Electronic Journal, 2011

Abstract: Which households use consumer credit? This paper addresses the question using harmonize... more Abstract: Which households use consumer credit? This paper addresses the question using harmonized data from Eurostat's EU-SILC survey for nine European countries in the period 2005-08. There is wide heterogeneity in participation in the consumer credit market, ...

SSRN Electronic Journal, 2011

In the absence of any correlation between wealth and entrepreneurial talent, initial net wealth s... more In the absence of any correlation between wealth and entrepreneurial talent, initial net wealth should have an explanatory power in the decision to become an entrepreneur only for households that are financially constrained; further, its importance should decrease with wealth. I test these theoretical predictions for the Italian case, using the Survey of Household Income and Wealth. The evidence is that household's initial wealth is indeed important in the decision to become an entrepreneur and its effect is lower for the richest households. When net wealth is instrumented, the results are similar. Furthermore, the effect of net wealth is stronger when legal enforcement of the loan contract is weaker, as also predicted by the model. Finally, conditional on becoming entrepreneurs, initial household wealth does not significantly affect the size of the business. In summary, it seems that imperfections in capital markets can induce people to accumulate assets in order to facilitate the decision to become entrepreneurs.

SSRN Electronic Journal, 2006

In the absence of correlation between net wealth and entrepreneurial talent, net wealth should ha... more In the absence of correlation between net wealth and entrepreneurial talent, net wealth should have an explanatory power in the decision of becoming entrepreneurs only for households that are financially constrained. Further, the importance of net wealth should be higher for the poorest households. I test these theoretical predictions for the Italian case, using the Survey of Household Income and Wealth. The evidence is that household initial net wealth is important in explaining the decision of becoming entrepreneurs and its relevance is decreasing as far as the household net wealth increases. Moreover, the effect of net wealth is stronger when legal enforcement of the loan contract is worse as predicted by the model. When instrumented, net wealth still explains the occupational choice, with a stronger effect for the poorest households. Finally, conditional on becoming entrepreneurs, the initial net wealth does not significantly affect the size of the business. In summary, it seems that imperfections in capital markets can essentially induce people to pile up assets in order to facilitate the decision of becoming entrepreneurs. However, conditional on this decision, the entrepreneurs seem to reach the optimal size of the business.

Journal of Policy Analysis and Management, 2010

Journal of Money, Credit and Banking, 2010

Journal of Banking & Finance, 2005

Using the Bank of Italy's Survey of Household Income and Wealth, this paper analyses the det... more Using the Bank of Italy's Survey of Household Income and Wealth, this paper analyses the determinants of Italian households' participation in the debt market and tries to disentangle demand and supply effects. Age seems to act essentially as a demand factor. ...

Empirical Economics, 2006

... Italian households' debt: the participation to the debt market and the size of the loanS... more ... Italian households' debt: the participation to the debt market and the size of the loanSilvia Magri ... S. Magri (B) Research Department, Banca d'Italia, Via Nazionale 91, Rome, Italy e-mail: silvia.magri@bancaditalia.it Page 2. 402 S. Magri ...