Papers by Gabriella Chiesa
Il contributo si propone in primo luogo di offrire un'analisi critica della letteratura sul t... more Il contributo si propone in primo luogo di offrire un'analisi critica della letteratura sul tema della scelta relativa alla struttura finanziaria delle imprese, con particolare riguardo alla realtà delle PMI. In secondo luogo, si propone una sistemazione ed una lettura integrata della letteratura empirica sull'argomento. Il presente contributo rappresenta la prima parte del Rapporto CREDIF dell'Osservatorio sui Servizi Finanziari Evoluti per le PMI.
Central banks' balance sheets - figure
Introduction: A Tour in the Financial Crisis
Empirica, 2020
This paper analyses the transmission channel from non-performing loans (NPLs) to the cost of capi... more This paper analyses the transmission channel from non-performing loans (NPLs) to the cost of capital, credit provision and liquidity creation in the banks of the Eurozone. The empirical results suggest that holdings of non-performing loans increase both the long-and short-term cost of capital for banks. Moreover, the less capitalized the bank, the greater the reduction in credit provision and liquidity creation due to the increased cost of capital. This phenomenon is found to be more economically significant for European periphery country banks than for core country banks. The identification of the transmission channel is robust to the Granger predictability test.
SSRN Electronic Journal, 2014
Optimal Risk Transfer, Monitored Finance and Real Investment Activity
SSRN Electronic Journal, 2006
Banks optimally choose their credit-risk transfer (CRT) instru- ments and loan monitoring. We exa... more Banks optimally choose their credit-risk transfer (CRT) instru- ments and loan monitoring. We examine CRT's implications for mon- itoring incentives, credit market equilibrium and regulation. We …nd that: i) in an optimal CRT mechanism, bank retains endogenous risk (that controlled by monitoring) and is insulated from exogenous risk (common factor): CRT's reference asset is a loan portfolio; ii) CRT en-
The Monetary Approach to External Adjustment: A Case Study of Italy
Journal of Money, Credit and Banking, 1983
Journal of Financial Intermediation, 1992
This paper shows that a debt contract with warrants for the lender and cash/ equity settlement op... more This paper shows that a debt contract with warrants for the lender and cash/ equity settlement options for the entrepreneur-borrower is the optimal contract in a setting with moral hazard and unverifiable states of nature. This contract makes it possible to contract optimally ex ante on unverijable states; debt obligations are adjusted to state realizations so that debt is made safer. Moral hazard is reduced as a result.
SSRN Electronic Journal, 2014
This paper constructs a simple general equilibrium model to analyse the interactions between the ... more This paper constructs a simple general equilibrium model to analyse the interactions between the financial and the real sector in an environment where liquidity holdings is an input of the credit/investment process. The supply of liquidity is constrained in that income pledgeability limits inside liquidity, and not all sovereign debt is safe/liquid. We pin down the determinants of liquidity/collateral premia and bond spreads, and with reference to the eurozone: (i) the implications of the ECB's policies on liquidity provision and credit, and (ii) the debt management policy that would increase welfare with no need for transfer payments.
Sovereign Debt, the Blessing Aspects and the Implications for the Euro Area
Vierteljahrshefte zur Wirtschaftsforschung
Summary: The Euro area has a unique monetary authority that governs money creation, but several i... more Summary: The Euro area has a unique monetary authority that governs money creation, but several individual-countries’ sovereign debts that differ in terms of safety. We analyse: i) the interactions between the financial and real sector in such an environment; ii) the role of government bonds as liquidity instruments; iii) whether and how the correlation structure of the sovereign-bonds’ market values affects the portfolio composition of liquidity instruments and prices, and the scope for a debt management policy at the Euro area level.
Economic crises, what we learn from history and economic theory
This paper analyses the current crisis by reconstructing the main stylized facts and the economic... more This paper analyses the current crisis by reconstructing the main stylized facts and the economic ideas mainly based on contemporary credit theory. Emphasis is placed on Central Banks’ interventions.
Securitized Banking and Repo Run
Khrishnamurthy Viising-Jorgenson -- Treasury debt LECTURE NOTES
Hyun Song Shin: Reflections on modern bank run- Northern Rock

Financial Intermediaries and Markets at the Cross Roads: Economic and Legal Perspectives on Financial Stability, Liquidity and Corporate Control
We examine the implications of optimal credit risk transfer (CRT) for bank-loan monitoring, and t... more We examine the implications of optimal credit risk transfer (CRT) for bank-loan monitoring, and the incentives for banks to engage in optimal CRT. In our model, properly designed CRT instruments allow banks to insure themselves against loan losses precisely in those states that signal monitoring. We find that optimal CRT enhances loan monitoring and expands financial intermediation, in contrast to the findings of the previous literature. Optimal CRT instruments are based on loan portfolios rather than individual loans and have credit enhancement guarantees, pretty much as banks do in practice. But the extent of credit enhancement needs to be precisely delimited. Above that exact level, monitoring incentives are undermined (loan quality deteriorates) and wealth is transferred from the bank’s financiers to the bank. Properly designed riskbased capital requirements are shown to prevent such a wealth transfer and to provide banks with the incentive to engage in optimal CRT.
Liquidity and leverage -slides
Banks' Liquidity Risk Hedging
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Papers by Gabriella Chiesa