Interest Rates and Convergence across Italian Regions

Abstract

Dow S., Montagnoli A. and Napolitano O. Interest rates and convergence across Italian regions, Regional Studies. The purpose of this paper is to investigate the evidence for economic convergence across Italian regions using trends in interest rate spreads and premia as indicators of regional credit conditions. The results indicate the presence of persistent interest rate differentials, and thus an absence of convergence across the twenty political regions, but a high degree of convergence is observed within the four macroeconomic areas.

Dow S., Montagnoli A. and Napolitano O. 意大利区域的利息率与收敛，区域研究。使用利率差以及风险溢价作为区域信用状况的指标，本文考察了意大利区域经济收敛相关的证据。结果表明存在着持续的利率差，也因此在20个政区之间没有出现经济收敛，但在四个宏观经济区之间发现了了较高程度的经济收敛。

利率 单根 面板数据 收敛 意大利

Dow S., Montagnoli A. et Napolitano O. Les taux d'intérêt et la convergence à travers les régions italiennes, Regional Studies. A partir des tendances des marges d'intérêt sur les crédits et des primes sur les taux d'intérêt comme indicateurs des conditions de crédit régionales, cet article cherche à examiner les raisons en faveur de la convergence à travers les régions italiennes. Les résultats laissent voir la présence des différentiels de taux d'intérêt et, par la suite, un manque de convergence à travers les vingt régions administratives, mais on constate un niveau élevé de convergence au sein des quatre zones macro-économiques.

Taux d'intérêt Racine unitaire Echantillon permanent Convergence Italie

Dow S., Montagnoli A. und Napolitano O. Zinssätze und Konvergenz in italienischen Regionen, Regional Studies. In diesem Beitrag untersuchen wir anhand der Trends bei den Zinsspannen und Prämien als Indikatoren der regionalen Kreditbedingungen die Belege für eine wirtschaftliche Konvergenz in den italienischen Regionen. Die Ergebnisse lassen auf die Präsenz von persistierenden Differenzialen bei den Zinssätzen und somit auf die Abwesenheit einer Konvergenz innerhalb der 20 politischen Regionen schließen, wohingegen innerhalb der vier makroökonomischen Gebiete ein hohes Maß an Konvergenz beobachtet wird.

Zinssätze Einheitswurzel Paneldaten Konvergenz Italien

Dow S., Montagnoli A. y Napolitano O. Tipos de interés y convergencia en las regiones italianas, Regional Studies. La finalidad de este artículo es investigar las evidencias de la convergencia económica en las regiones italianas a partir de las tendencias en los diferenciales del tipo de interés y las primas como indicadores de las condiciones del crédito regional. Los resultados indican la presencia de diferenciales persistentes del tipo de interés y, por tanto, una ausencia de convergencia en las veinte regiones políticas, aunque se observa un alto grado de convergencia en las cuatro áreas macroeconómicas.

Tipos de interés Raíz unitaria Datos de panel Convergencia Italia

Keywords:

• Interest rates
• Unit root
• Panel data
• Convergence
• Italy

JEL classifications:

• C23
• E43
• R11
• R15

Acknowledgements

The authors are particularly grateful to two anonymous referees for widespread comments that considerably improved the paper. The authors would also like to thank the participants at the German Institute for Economic Research (DIW) Macroeconometric Workshop in Berlin, Germany, 2009 for comments and suggestions. Any remaining errors are the sole responsibility of the authors.

Notes

Overoptimistic (but relatively uninformed) expectations in central financial institutions may at times encourage significant capital inflows to peripheral regions in response to some new development, but with a high risk of strong reversals when expectations change (Chick and Dow, 1988).

The short-term interest rate is that earned by a debt instrument which will mature within one year. The long-term interest rate is that earned by a note or bond which matures in one or more years (Bank of Italy definitions).

Italy has twenty administrative regions; the economic regions reflect the different economic structures across the country. They are defined as North-West (Liguria, Piemonte, Valle d'Aosta, Lombardia), North-East (Friuli-Venezia Giulia, Trentino-Alto Adige, Veneto), Centre (Abruzzo, Emilia-Romagna, Lazio, Marche, Molise, Toscana, Umbria), South and Islands (Basilicata, Calabria, Campania, Puglia, Sardegna, Sicilia). In the remainder of the text, the terms ‘economic regions’ and ‘macro-regions/areas’ are used interchangeably.

For the full specification, see Breitung (2000).

Formally, it can be written that there is unconditional convergence between two time-series if: where y t+k denotes current and past observations of the price differentials. If α = 0, then convergence is said to be conditional. For a similar exercise, see Bayer and Juessen (2007).

In other words, this measure indicates how long it takes for the series to decrease by half after it has been hit by a shock .