Is bank portfolio riskiness procyclical: Evidence from Italy using a vector autoregression

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Asymmetric effects of the business cycle on bank credit risk. (2009, background): “Similarly, Meyer and Yeager (2001) and Gambera (2000) argue that a small number of macroeconomic variables are good predictors for the share of non-performing loans in the US, while Marcucci and Quagliariello (2008b) find that Italian banks’ borrowers’ default rates increase in downturns.”
Macroeconomic Determinants of Bad Loans: Evidence from Italian Banks (2011, unknown): “ Marcucci and Quagliariello (2008) and Filosa (2007) are studies focused on the Italian banking system.”
Stress Testing Credit Risk: A Survey of Authorities' Approaches (2012, unknown): “Alessandri et al. (2007) and Marcucci and Quagliariello (2008) model credit quality using observed default frequencies at the household/corporate level of aggregation.”
Factors influencing bank risk in Europe: Evidence from the financial crisis (2015, background): “Marcucci and Quagliariello (2008) analyze the cyclical behavior of the default rates of Italian bank borrowers over the last two decades and confirm that the default rates follow a cyclical pattern.”