was found in the oldest and 3rd largest Italian bank by assets, Monte dei Paschi di
Siena.
Unlike the previous, stress testing of 2016 examined 50-60 Eurozone banks and
included 2 scenarios – basic and adverse, which assesses how banks will survive the
recession, low interest rates and currency depreciation, as well as falling real estate
prices. Also, there was no passed or fail threshold – the ECB checked how much capital
would remain in banks in both scenarios, and investors would do their own
conclusions. The desirable capital adequacy in a crisis situation should be 5.5%.
According to the test results, Monte dei Paschi di Siena showed the worst result again:
in the unfavorable scenario, the bank would have remained negative at -2.44% [12].
The low result was also demonstrated by the Italian bank UniCredit.
The dependence of Italian banks on ECB refinancing in the period of 2008-2016
was volatile: in 2008 ECB loans amounted to 50.3 billion, in 2011-2012 they reached
a maximum of 210 and 271 billion euros, but declined further. In 2016, loans totaled
173.9 billion euros, having increased by 15.5 billion compared to 2015 due to the
transition from the first to the second round of long-term refinancing operations by
ECB.
In order to examine the influence of the Italian financial system indicators on
country's economic development, a model of the impact of ROE (X
1
), foreign claims
to Italian banks (X
2
), and loan-to-deposit ratio (X
3
) to GDP per capita in Italy (Y) was
built. This model is built based on one-year statistical data provided by the ECB for
the period from 1997 to 2015. The model is: Y = -105,2 X
1
+ 0,004 X
2
+ 28,6 X
3.
The
model is significant: R
2
= 0.798; Darbine-Watson coefficient is 1,506; coefficients of
t-statistics do not exceed the t-criterion; Fischer's coefficient is 19.79; Probability of
zero values of coefficients is 1%.
Regression analysis shows a statistically significant relation between GDP per
capita and selected independent variables. Standardized coefficients show that the
profitability of Italian banks has the greatest impact on the variable with reverse
dependence: with the growth of bank profitability, GDP per capita decreases. The
second most influential indicator is the loan-to-deposit ratio, that has a direct
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