Working Paper
Size, charter value and risk in banking: an international perspective
De Nicolo, Gianni (2000)
This paper documents the relationships between bank size and measures of charter value and insolvency risk in a sample of publicly traded banks in 21 industrialized countries for the 1988-1998 period. With the exception of small U.S. bank holding companies, charter values decrease in size and insolvency risk increases in size for most banks in the countries considered. Size-related diversification benefits and/or economies of scale in intermediation are either absent or, if they exist, are more than offset by banks' higher risk taking. Furthermore, banks operating in countries with more ...
International Finance Discussion Papers , Paper 689

Working Paper
Systemic risk and financial consolidation: are they related?
De Nicolo, Gianni; Kwast, Myron L. (2001)
The creation of a number of very large and sometimes increasingly complex financial institutions, resulting in part from the on-going consolidation of the financial system, has raised concerns that the degree of systemic risk in the financial system may have increased. We argue that firm interdependencies, as measured by correlations of stock returns, provide an indicator of systemic risk potential. We analyze the dynamics of the stock return correlations of a sample of U.S. large and complex banking organizations (LCBOs) over 1988-1999, and find a significant positive trend in stock return ...
Finance and Economics Discussion Series , Paper 2001-33

Working Paper
Financial integration and risk-adjusted growth opportunities: a global perspective
De Nicolo, Gianni; Juvenal, Luciana (2010)
This paper documents the dynamics of financial integration for major advanced and emerging markets economies during the 1994-2009 period, assesses whether advances in integration have had a significant direct positive impact on countries' growth opportunities, and identifies some of the channels through which financial integration may indirectly foster growth. Three main results are obtained. First, financial integration has progressed significantly worldwide and has been fastest in emerging markets. Second, a country's speed of integration predicts its future risk-adjusted growth ...
Working Papers , Paper 2010-012

Conference Paper
Size, charter value, and risk in banking: an international perspective
De Nicolo, Gianni (2001)
Proceedings , Paper 708

Conference Paper
Bank ownership, market structure, and risk
Loukoianova, Elena; De Nicolo, Gianni (2007)
Proceedings , Paper 1058

Working Paper
Monetary disturbances matter for business fluctuations in the G-7
De Nicolo, Gianni; Canova, Fabio (2000)
This paper examines the importance of monetary disturbances for cyclical fluctuations in real activity and inflation. It employs a novel identification approach which uses the sign of the cross-correlation function in response to shocks to assign a structural interpretation to orthogonal innovations. We find that monetary shocks significantly drive output and inflation cycles in all G-7 countries; that they are the dominant source of fluctuations in three of the seven countries; that they contain an important policy component, and that their impact is time varying.
International Finance Discussion Papers , Paper 660

Conference Paper
Crises in competitive versus monopolistic banking systems
De Nicolo, Gianni; Boyd, John H.; Smith, Bruce D. (2004)
We study a monetary, general equilibrium economy in which banks exist because they provide inter-temporal insurance to risk-averse depositors. A "banking crisis" is defined as a case in which banks exhaust their reserve assets. This may (but need not) be associated with liquidation of a storage asset. When such liquidation does occur, the result is a real resource loss to the economy and we label this a "costly banking crisis." There is a monetary authority whose only policy choice is the long-run, constant rate of growth of the money supply, and thus the rate of inflation. Under ...
Proceedings