Verga Giovanni | Università degli Studi di Parma (Italy) (original) (raw)
Papers by Verga Giovanni
Applied Financial Economics, 2012
The recent financial crisis in Europe has been followed by a significant decrease in credit flows... more The recent financial crisis in Europe has been followed by a significant decrease in credit flows to nonfinancial enterprises. This article investigates demand and supply of loans using data from surveys. Our econometric analysis suggests that recent European Central Bank (ECB) policy has favoured the credit market. Although bank credit standards are tighter than usual, the present low‐credit growth is
International journal of economics and finance, 2021
This paper investigates the main determinants of euro denominated corporate bond yields, then ana... more This paper investigates the main determinants of euro denominated corporate bond yields, then analyses the “country effect” by focusing on economic reasons for the strong link between country and corporate yields. It also examines the potential impact of monetary policy of the European Central Bank (ECB) on corporate bond yields on the days of Governing Council meetings. A sample of 1,762 corporate euro-country bonds is analyzed for the period May 2005 – January 2012 using OLS panel data. The economic reason for the strong link between countries and corporate yields is investigated up to 2017. We find that idiosyncratic liquidity and risk have a crucial impact on bond yields, but yields are also strongly influenced by the risk of the corresponding sovereign bonds. Finally, we show that unexpectedness component of ECB policy also exerts a strong short-term effect.
Institutional Variables, Capital Flows and GDP: A Causality Analysis (by Giuseppe Mastromatteo, G... more Institutional Variables, Capital Flows and GDP: A Causality Analysis (by Giuseppe Mastromatteo, Giovanni Verga) - ABSTRACT: uring the last years the effects of socio-institutional and political variables on economic conditions has gained importance in the literature. This paper investigates the links between socio-institutional variables and capital inflows and GDP relative to a sample of countries for the years 2003-2004. First
SSRN Electronic Journal, 2000
In this paper an analytical model of the demand for overnight liquidity in the Euro area is prese... more In this paper an analytical model of the demand for overnight liquidity in the Euro area is presented. After introducing a formal model of optimal behaviour for the treasurer, a non-linear demand function for liquidity is derived. Such nonlinear relation in applied in estimating the EONIA behaviour in the last required reserves maintenance days.
The Manchester School, 1984
I In the empirical literature on the demand for money in Italy several important issues remain to... more I In the empirical literature on the demand for money in Italy several important issues remain to be settled; they concern stability, simultaneity, the nature of the adjustment process, the role of the domestic rate of inflation and that of foreign interest rates (Calliari, Spinelli and ...
AIEL-AISRI Confererence, Bergamo 2004/06/18, Sep 1, 2005
It is commonly believed that the 1992 and 1993 Wage Agreements have been crucially important in t... more It is commonly believed that the 1992 and 1993 Wage Agreements have been crucially important in the disinflation enacted in Italy at the beginning of the 1990s. Perhaps because of this common belief, not much formalised analysis has been devoted to these agreements and to their effects (a notable exception is Fabiani et al., 1998; highly interesting descriptive accounts of the Agreements and of their workings are contained in ISTAT, 2002 and in Casadio, 2002). In the present study we take up this topic, which has considerable interest ...
Rivista internazionale di scienze sociali, 2005
ABSTRACT
International Journal of Central Banking, 2008
This paper examines the effect of European Central Bank (ECB) communication on the price discover... more This paper examines the effect of European Central Bank (ECB) communication on the price discovery process in the Euribor futures market using a new tick-by-tick data set. First, we show that two pieces of news systematically hit financial markets on Governing Council meeting days: the ECB policy rate decision and the explanation of its monetary policy stance. Second, we find that the unexpected component of ECB explanations has a significant and sizable impact on futures prices. Third, we investigate how communication interacts with learning by the public about the credibility of the central bank: financial market participants needed around three years, from 1999 through 2001, to learn how to interpret and believe ECB announcements. Finally, our results suggest that the Euribor futures market is efficient.
This paper examines and compares the communication strategies of the Federal Reserve and the Euro... more This paper examines and compares the communication strategies of the Federal Reserve and the European Central Bank, and their effectiveness. First, we do a comparative study exercise. We find that on monetary policy committee meeting days both the ECB and the Fed can move market rates using either monetary policy or news shocks. However, the response of the long-end of the American term structure to the surprise component of Fed's statements is significantly larger than the reaction of European long-term yields to ECB's announcements. This result is intimately related to the higher transparency of U.S. Fed statements compared to ECB announcements rather than to the different institutional mandate of the two central banks. Second, we investigate the cross-effects, i.e. the Fed's ability to move European interest rates and the corresponding ECB's capacity to move American rates. We find that the Feb has been more able to move the European interest rates of all maturities than the ECB to move American rates. This finding is tied to the predominance of dollar fixed income assets rather than to an attempt of the ECB to mimic the Fed.
Outlook on Agriculture, 2016
This paper examines the effect of European Central Bank communication on the price discovery proc... more This paper examines the effect of European Central Bank communication on the price discovery process in the Euribor futures market using a new tick-by-tick dataset. First, we show that two pieces of news systematically hit financial markets on Governing Council meeting days: the ECB policy rate decision and the explanation of its monetary policy stance. Second, we find that the unexpected component of ECB explanations has a significant and sizeable impact on futures prices. This indicates that the ECB has already acquired some credibility: financial markets seem to believe that it does what it says it will do. Finally, our results suggest that the Euribor futures market is semi-strong form informational efficient.
Ssrn Electronic Journal, May 1, 2005
This paper analyses the ECB communication, focusing in particular on its transparency dimension. ... more This paper analyses the ECB communication, focusing in particular on its transparency dimension. We posit that if the ECB is transparent about its future policy decisions, then we should be able to forecast fairly well its future interest rate setting behaviour. We find that the predicting ability of the European monetary authority's words, is similar to the one implied by market-based measures of monetary policy expectations. Moreover, the ECB's wording provides complementary, rather than substitute, information with respect to economic and monetary variables.
This paper investigates the cyclical co-movements between US stocks and interest rates by testing... more This paper investigates the cyclical co-movements between US stocks and interest rates by testing a simple model where divergence between stock and bond price behavior is explained by “stock market strength,” where the latter depends on the market climate about future corporate profits—as captured by the corporate bond quality ratio—and an unexplained stock market sentiment. Using two different regression techniques to check for robustness, we find evidence of a statistically significant cyclical correlation between stocks and bonds. On the basis of this finding, we then present a methodology to “deflate” a stock price index such that we can compare stock market strength over time. This is obtained by removing the effect of a changing discount rate—as measured by our regressions—on stock prices. For example, viewed in this light, the past five years in the US stock market reveal a wider fluctuation in stock market strength than we can observe on the basis of stock price indices alone.
SSRN Electronic Journal, 2000
SSRN Electronic Journal, 2000
This paper analyses the ECB communication, focusing in particular on its transparency dimension. ... more This paper analyses the ECB communication, focusing in particular on its transparency dimension. We posit that if the ECB is transparent about its future policy decisions, then we should be able to forecast fairly well its future interest rate setting behaviour. We find that the predicting ability of the European monetary authority's words, is similar to the one implied by market-based measures of monetary policy expectations. Moreover, the ECB's wording provides complementary, rather than substitute, information with respect to economic and monetary variables.
SSRN Electronic Journal, 2000
In its Monthly Bulletin of November 2002, the European Central Bank (ECB) stated that the monthly... more In its Monthly Bulletin of November 2002, the European Central Bank (ECB) stated that the monthly press conference held by its President represents one of its most important communication channels and that it provides a comprehensive summary of the policy relevant assessment of economic developments. After providing a glossary to translate the qualitative information of the press conferences into an ordered scale, we verify empirically whether and to what extent market expectations react to the information released by the ECB. We found that the public not only understand but also believe the signals sent by the European monetary authority. ISBN 0 7530 1821 7 "To me, that is the hallmark of credibility: matching deeds to words. (…) Credibility means that your pronouncements are believed -even though you are bound by no rule and may even have a short-run incentive to renege. In the real world, such credibility is not normally created by incentive compatible compensation schemes nor by rigid precommitment. Rather, it is painstakingly built up by a history of matching deeds to words. A central bank that consistently does what it says will acquire credibility by this definition almost regardless of the institutional structure." Alan Blinder,
European Journal of Political Economy, 2007
... In this section, we want to test the consistency between ECB words and its subsequent deeds. ... more ... In this section, we want to test the consistency between ECB words and its subsequent deeds. ... In other words, when the incongruence of preferences between the central bank and the private sector is not too large, there is no incentive for the central bank to misrepresent its ...
Applied Financial Economics, 2012
The recent financial crisis in Europe has been followed by a significant decrease in credit flows... more The recent financial crisis in Europe has been followed by a significant decrease in credit flows to nonfinancial enterprises. This article investigates demand and supply of loans using data from surveys. Our econometric analysis suggests that recent European Central Bank (ECB) policy has favoured the credit market. Although bank credit standards are tighter than usual, the present low‐credit growth is
International journal of economics and finance, 2021
This paper investigates the main determinants of euro denominated corporate bond yields, then ana... more This paper investigates the main determinants of euro denominated corporate bond yields, then analyses the “country effect” by focusing on economic reasons for the strong link between country and corporate yields. It also examines the potential impact of monetary policy of the European Central Bank (ECB) on corporate bond yields on the days of Governing Council meetings. A sample of 1,762 corporate euro-country bonds is analyzed for the period May 2005 – January 2012 using OLS panel data. The economic reason for the strong link between countries and corporate yields is investigated up to 2017. We find that idiosyncratic liquidity and risk have a crucial impact on bond yields, but yields are also strongly influenced by the risk of the corresponding sovereign bonds. Finally, we show that unexpectedness component of ECB policy also exerts a strong short-term effect.
Institutional Variables, Capital Flows and GDP: A Causality Analysis (by Giuseppe Mastromatteo, G... more Institutional Variables, Capital Flows and GDP: A Causality Analysis (by Giuseppe Mastromatteo, Giovanni Verga) - ABSTRACT: uring the last years the effects of socio-institutional and political variables on economic conditions has gained importance in the literature. This paper investigates the links between socio-institutional variables and capital inflows and GDP relative to a sample of countries for the years 2003-2004. First
SSRN Electronic Journal, 2000
In this paper an analytical model of the demand for overnight liquidity in the Euro area is prese... more In this paper an analytical model of the demand for overnight liquidity in the Euro area is presented. After introducing a formal model of optimal behaviour for the treasurer, a non-linear demand function for liquidity is derived. Such nonlinear relation in applied in estimating the EONIA behaviour in the last required reserves maintenance days.
The Manchester School, 1984
I In the empirical literature on the demand for money in Italy several important issues remain to... more I In the empirical literature on the demand for money in Italy several important issues remain to be settled; they concern stability, simultaneity, the nature of the adjustment process, the role of the domestic rate of inflation and that of foreign interest rates (Calliari, Spinelli and ...
AIEL-AISRI Confererence, Bergamo 2004/06/18, Sep 1, 2005
It is commonly believed that the 1992 and 1993 Wage Agreements have been crucially important in t... more It is commonly believed that the 1992 and 1993 Wage Agreements have been crucially important in the disinflation enacted in Italy at the beginning of the 1990s. Perhaps because of this common belief, not much formalised analysis has been devoted to these agreements and to their effects (a notable exception is Fabiani et al., 1998; highly interesting descriptive accounts of the Agreements and of their workings are contained in ISTAT, 2002 and in Casadio, 2002). In the present study we take up this topic, which has considerable interest ...
Rivista internazionale di scienze sociali, 2005
ABSTRACT
International Journal of Central Banking, 2008
This paper examines the effect of European Central Bank (ECB) communication on the price discover... more This paper examines the effect of European Central Bank (ECB) communication on the price discovery process in the Euribor futures market using a new tick-by-tick data set. First, we show that two pieces of news systematically hit financial markets on Governing Council meeting days: the ECB policy rate decision and the explanation of its monetary policy stance. Second, we find that the unexpected component of ECB explanations has a significant and sizable impact on futures prices. Third, we investigate how communication interacts with learning by the public about the credibility of the central bank: financial market participants needed around three years, from 1999 through 2001, to learn how to interpret and believe ECB announcements. Finally, our results suggest that the Euribor futures market is efficient.
This paper examines and compares the communication strategies of the Federal Reserve and the Euro... more This paper examines and compares the communication strategies of the Federal Reserve and the European Central Bank, and their effectiveness. First, we do a comparative study exercise. We find that on monetary policy committee meeting days both the ECB and the Fed can move market rates using either monetary policy or news shocks. However, the response of the long-end of the American term structure to the surprise component of Fed's statements is significantly larger than the reaction of European long-term yields to ECB's announcements. This result is intimately related to the higher transparency of U.S. Fed statements compared to ECB announcements rather than to the different institutional mandate of the two central banks. Second, we investigate the cross-effects, i.e. the Fed's ability to move European interest rates and the corresponding ECB's capacity to move American rates. We find that the Feb has been more able to move the European interest rates of all maturities than the ECB to move American rates. This finding is tied to the predominance of dollar fixed income assets rather than to an attempt of the ECB to mimic the Fed.
Outlook on Agriculture, 2016
This paper examines the effect of European Central Bank communication on the price discovery proc... more This paper examines the effect of European Central Bank communication on the price discovery process in the Euribor futures market using a new tick-by-tick dataset. First, we show that two pieces of news systematically hit financial markets on Governing Council meeting days: the ECB policy rate decision and the explanation of its monetary policy stance. Second, we find that the unexpected component of ECB explanations has a significant and sizeable impact on futures prices. This indicates that the ECB has already acquired some credibility: financial markets seem to believe that it does what it says it will do. Finally, our results suggest that the Euribor futures market is semi-strong form informational efficient.
Ssrn Electronic Journal, May 1, 2005
This paper analyses the ECB communication, focusing in particular on its transparency dimension. ... more This paper analyses the ECB communication, focusing in particular on its transparency dimension. We posit that if the ECB is transparent about its future policy decisions, then we should be able to forecast fairly well its future interest rate setting behaviour. We find that the predicting ability of the European monetary authority's words, is similar to the one implied by market-based measures of monetary policy expectations. Moreover, the ECB's wording provides complementary, rather than substitute, information with respect to economic and monetary variables.
This paper investigates the cyclical co-movements between US stocks and interest rates by testing... more This paper investigates the cyclical co-movements between US stocks and interest rates by testing a simple model where divergence between stock and bond price behavior is explained by “stock market strength,” where the latter depends on the market climate about future corporate profits—as captured by the corporate bond quality ratio—and an unexplained stock market sentiment. Using two different regression techniques to check for robustness, we find evidence of a statistically significant cyclical correlation between stocks and bonds. On the basis of this finding, we then present a methodology to “deflate” a stock price index such that we can compare stock market strength over time. This is obtained by removing the effect of a changing discount rate—as measured by our regressions—on stock prices. For example, viewed in this light, the past five years in the US stock market reveal a wider fluctuation in stock market strength than we can observe on the basis of stock price indices alone.
SSRN Electronic Journal, 2000
SSRN Electronic Journal, 2000
This paper analyses the ECB communication, focusing in particular on its transparency dimension. ... more This paper analyses the ECB communication, focusing in particular on its transparency dimension. We posit that if the ECB is transparent about its future policy decisions, then we should be able to forecast fairly well its future interest rate setting behaviour. We find that the predicting ability of the European monetary authority's words, is similar to the one implied by market-based measures of monetary policy expectations. Moreover, the ECB's wording provides complementary, rather than substitute, information with respect to economic and monetary variables.
SSRN Electronic Journal, 2000
In its Monthly Bulletin of November 2002, the European Central Bank (ECB) stated that the monthly... more In its Monthly Bulletin of November 2002, the European Central Bank (ECB) stated that the monthly press conference held by its President represents one of its most important communication channels and that it provides a comprehensive summary of the policy relevant assessment of economic developments. After providing a glossary to translate the qualitative information of the press conferences into an ordered scale, we verify empirically whether and to what extent market expectations react to the information released by the ECB. We found that the public not only understand but also believe the signals sent by the European monetary authority. ISBN 0 7530 1821 7 "To me, that is the hallmark of credibility: matching deeds to words. (…) Credibility means that your pronouncements are believed -even though you are bound by no rule and may even have a short-run incentive to renege. In the real world, such credibility is not normally created by incentive compatible compensation schemes nor by rigid precommitment. Rather, it is painstakingly built up by a history of matching deeds to words. A central bank that consistently does what it says will acquire credibility by this definition almost regardless of the institutional structure." Alan Blinder,
European Journal of Political Economy, 2007
... In this section, we want to test the consistency between ECB words and its subsequent deeds. ... more ... In this section, we want to test the consistency between ECB words and its subsequent deeds. ... In other words, when the incongruence of preferences between the central bank and the private sector is not too large, there is no incentive for the central bank to misrepresent its ...