Italy: Technical Note on Interconnectedness and Spillover Analysis

Publication Date: December 06, 2013

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Summary: This Technical Note discusses findings of interconnectedness and spillover analysis on Italy. The market-based measures of tail risks and interconnectedness among key banks and insurance companies in Italy have declined from their peak but remain at elevated levels. Although the stress on Banca Monte dei Paschi di Siena has been manifesting on its own, the market perception about the condition of the banks appears to be increasingly contaminating the market views on other Italian financial institutions. It is also observed that exogenous factors, such as the Italian sovereign, are the key source of systemic risk for the market pricing of Italian financial institutions.
Series: IMF Staff Country Reports
Subject(s): Spillovers | Financial institutions | Banks | Bank credit | Financial Sector Assessment Program | Italy

Notes These documents have been produced in the context of the recent Italy FSAP as background documents to the Financial System Stability Assessment (FSSA) report that was discussed by the Executive Board on September 20, 2013 and published shortly thereafter (the FSSA is available here).
Publication Date: December 06, 2013
ISBN/ISSN: 9781475566048/1934-7685 Format: Paper
Stock No: 1ITAEA2013006 Pages: 30
US$18.00 (Academic Rate:
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