Business Cycles, Credit Cycles, and Bank Holdings of Sovereign Bonds: Historical Evidence for Italy 1861-2013

Abstract

The purpose of the Quaderni di Storia Economica (Economic History Working Papers) is to promote the circulation of preliminary versions of working papers on growth, finance, money, institutions prepared within the Bank of Italy or presented at Bank seminars by external speakers with the aim of stimulating comments and suggestions. The present series substitutes the Quaderni dell'Ufficio Ricerche storiche (Historical Research Papers). The views expressed in the articles are those of the authors and do not involve the responsibility of the Bank.

Real and financial cycles: estimates using unobserved component models for the Italian economy

“…Recent studies have also explored the interactions between business and financial cycles either across countries (Claessens, Kose, and Terrones, 2012) or on a country-by-country basis (Galati et al, 2016;Rünstler and Vlekke, 2016). To our knowledge, so far only one paper has proposed a joint dating of business and credit cycles with a specific focus on Italy (Bartoletto et al, 2017), by applying a local turning-point dating algorithm to the level of real GDP and credit aggregates. An earlier work (De Bonis and Silvestrini, 2014) presented estimates of the Italian financial cycle using a dataset of historical data from 1861 to 2011.…”

A Stochastic Indicator for Sovereign Debt Sustainability

“…11 Note that it is also possible to postulate an auto-regressive process for , as in Bartoletto et al (2013). Then the actual fiscal response is captured by a combination of an auto-regressive and a response to debt parameter.…”

“…We use the data from Bartoletto et al (2013) from 1861-2009 for consolidated debt of the General Government, total expenditure and interest payments. This is complemented with data from Baffigi (2011) for time series on nominal and real GDP.…”

“…Since there was no data in Bartoletto et al (2013) on governmental revenue, the budgetary surplus was estimated using the difference in gross debt with respect to its previous year. From 1988 onwards we substitute the historical data with the IMF WEO data on primary surplus.…”

Monetary–fiscal policy interaction and fiscal inflation: A tale of three countries

“…Furthermore, the gradual independence of the central bank was not supported by the fiscal authority. As Bartoletto, Chiarini, and Marzano (2013) point out, the Italian government continued to run deficits in the early 1980s instead implementing fiscal reforms to back outstanding government debt with future primary surpluses. Only from the mid-1980s did debt stabilization become a target of the fiscal authority (see Balassone, Francese, and Pace, 2013).…”