Marcello Pericoli
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005.
"'Some contagion, some interdependence': More pitfalls in tests of financial contagion,"
Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December.
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002. "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers 3310, C.E.P.R. Discussion Papers.
Mentioned in:
- International business cycle synchronization: what is the role of financial linkages?
by bankunderground in Bank Underground on 2016-04-06 11:30:09
Working papers
- Donato Ceci & Marcello Pericoli, 2022.
"Sovereign spreads and economic fundamentals: an econometric analysis,"
Questioni di Economia e Finanza (Occasional Papers)
713, Bank of Italy, Economic Research and International Relations Area.
Cited by:
- Jan Kakes & Jan Willem van den End, 2023. "Identifying financial fragmentation: do sovereign spreads in the EMU reflect differences in fundamentals?," Working Papers 778, DNB.
- Pietro Munari, 2024. "The Impact of Market Sentiment and Macroeconomic Fundamentals on Government Bond (Mis)-pricing," BAFFI CAREFIN Working Papers 24228, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Arnold, Ivo J.M., 2024. "The effect of fragmentation risk on monetary conditions in the euro area," Journal of International Money and Finance, Elsevier, vol. 146(C).
- Sara Cecchetti & Adriana Grasso & Marcello Pericoli, 2022.
"An analysis of objective inflation expectations and inflation risk premia,"
Temi di discussione (Economic working papers)
1380, Bank of Italy, Economic Research and International Relations Area.
Cited by:
- Valentin Burban & Bruno De Backer & Andreea Liliana Vladu, 2024. "Inflation (De-)Anchoring in the Euro Area," Working papers 965, Banque de France.
- Massimo De Felice & Franco Moriconi, 2023. "Stochastic Chain-Ladder Reserving with Modeled General Inflation," Risks, MDPI, vol. 11(12), pages 1-31, December.
- Burban, Valentin & De Backer, Bruno & Vladu, Andreea Liliana, 2024. "Inflation (de-)anchoring in the euro area," Working Paper Series 2964, European Central Bank.
- Ignazio Visco, 2023. "Inflation Expectations and Monetary Policy in the Euro Area," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 51(2), pages 111-129, September.
- Stefano Neri & Guido Bulligan & Sara Cecchetti & Francesco Corsello & Andrea Papetti & Marianna Riggi & Concetta Rondinelli & Alex Tagliabracci, 2022. "On the anchoring of inflation expectations in the euro area," Questioni di Economia e Finanza (Occasional Papers) 712, Bank of Italy, Economic Research and International Relations Area.
- Marcello Pericoli, 2019.
"An assessment of recent trends in market-based expected iflation in the euro area,"
Questioni di Economia e Finanza (Occasional Papers)
542, Bank of Italy, Economic Research and International Relations Area.
Cited by:
- Sara Cecchetti & Adriana Grasso & Marcello Pericoli, 2022. "An analysis of objective inflation expectations and inflation risk premia," Temi di discussione (Economic working papers) 1380, Bank of Italy, Economic Research and International Relations Area.
- Alberto Di Iorio & Marco Fanari, 2020. "Break-even inflation rates: the Italian case," Questioni di Economia e Finanza (Occasional Papers) 578, Bank of Italy, Economic Research and International Relations Area.
- Marcello Pericoli & Marco Taboga, 2018.
"Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models,"
Temi di discussione (Economic working papers)
1189, Bank of Italy, Economic Research and International Relations Area.
- Marcello Pericoli & Marco Taboga, 2022. "Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models [Pricing the Term Structure with Linear Regressions]," Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 807-838.
Cited by:
- Andrea Colabella, 2019. "Do the ECB’s monetary policies benefit emerging market economies? A GVAR analysis on the crisis and post-crisis period," Temi di discussione (Economic working papers) 1207, Bank of Italy, Economic Research and International Relations Area.
- Giuseppe Grande & Adriana Grasso & Gabriele Zinna, 2019. "The effectiveness of the ECB’s asset purchases at the lower bound," Questioni di Economia e Finanza (Occasional Papers) 541, Bank of Italy, Economic Research and International Relations Area.
- Andrea Colabella, 2021. "Do ECB's Monetary Policies Benefit EMEs? A GVAR Analysis on the Global Financial and Sovereign Debt Crises and Postcrises Period," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 472-494, April.
- Marcello Pericoli, 2018.
"Macroeconomics determinants of the correlation between stocks and bonds,"
Temi di discussione (Economic working papers)
1198, Bank of Italy, Economic Research and International Relations Area.
Cited by:
- John Foster, 2019.
"The Us Consumption Function: A New Perspective,"
Discussion Papers Series
606, School of Economics, University of Queensland, Australia.
- John Foster, 2021. "The US consumption function: a new perspective," Journal of Evolutionary Economics, Springer, vol. 31(3), pages 773-798, July.
- Foster, John, 2018. "The Consumption Function: A New Perspective," MPRA Paper 84383, University Library of Munich, Germany.
- Thomas C. Chiang, 2020. "Risk and Policy Uncertainty on Stock–Bond Return Correlations: Evidence from the US Markets," Risks, MDPI, vol. 8(2), pages 1-16, June.
- Bahmani-Oskooee, Mohsen & Ghodsi, Seyed Hesam & Hadzic, Muris, 2020. "Asymmetric causality between stock returns and usual hedges: An industry-level analysis," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
- Aur'elien Alfonsi & Adel Cherchali & Jose Arturo Infante Acevedo, 2019. "A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula," Papers 1908.00811, arXiv.org.
- John Foster, 2019.
"The Us Consumption Function: A New Perspective,"
Discussion Papers Series
606, School of Economics, University of Queensland, Australia.
- Marcello Pericoli & Giovanni Veronese, 2017.
"Monetary policy surprises over time,"
Temi di discussione (Economic working papers)
1102, Bank of Italy, Economic Research and International Relations Area.
- Marcello Pericoli & Giovanni Veronese, 2018. "Monetary Policy Surprises over Time," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 1-60, March.
Cited by:
- Richhild Moessner, 2018.
"Effects of asset purchases and financial stability measures on term premia in the euro area,"
National Institute of Economic and Social Research (NIESR) Discussion Papers
489, National Institute of Economic and Social Research.
- Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," Applied Economics, Taylor & Francis Journals, vol. 50(43), pages 4617-4631, September.
- Richhild Moessner, 2018. "Effects of asset purchases and financial stability measures on term premia in the euro area," BIS Working Papers 721, Bank for International Settlements.
- Lemke, Wolfgang & Werner, Thomas, 2020.
"Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme,"
Journal of Banking & Finance, Elsevier, vol. 111(C).
- Lemke, Wolfgang & Werner, Thomas, 2018. "Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181594, Verein für Socialpolitik / German Economic Association.
- Lemke, Wolfgang & Werner, Thomas, 2017. "Dissecting long-term Bund yields in the run-up to the ECB's Public Sector Purchase Programme," Working Paper Series 2106, European Central Bank.
- Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2018. "Central bank-driven mispricing," SAFE Working Paper Series 226, Leibniz Institute for Financial Research SAFE, revised 2018.
- Martina Cecioni, 2018. "ECB monetary policy and the euro exchange rate," Temi di discussione (Economic working papers) 1172, Bank of Italy, Economic Research and International Relations Area.
- Marco Bottone & Alfonso Rosolia, 2019. "Monetary policy, firms’ inflation expectations and prices: causal evidence from firm-level data," Temi di discussione (Economic working papers) 1218, Bank of Italy, Economic Research and International Relations Area.
- Marcello Pericoli & Giovanni Veronese, 2015.
"Forecaster heterogeneity, surprises and financial markets,"
Temi di discussione (Economic working papers)
1020, Bank of Italy, Economic Research and International Relations Area.
Cited by:
- Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014.
"Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis,"
CESifo Working Paper Series
4912, CESifo.
- Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2016. "Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 180-188.
- Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014. "Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis," Discussion Papers of DIW Berlin 1399, DIW Berlin, German Institute for Economic Research.
- Caporale, Guglielmo Maria & Spagnolo, Fabio & Spagnolo, Nicola, 2018.
"Exchange rates and macro news in emerging markets,"
Research in International Business and Finance, Elsevier, vol. 46(C), pages 516-527.
- Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2016. "Exchange Rates and Macro News in Emerging Markets," Discussion Papers of DIW Berlin 1558, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2016. "Exchange Rates and Macro News in Emerging Markets," CESifo Working Paper Series 5816, CESifo.
- Luca Brugnolini & Antonello D’Agostino & Alex Tagliabracci, 2021. "Is Anything Predictable in Market-Based Surprises?," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 7(3), pages 387-410, November.
- Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014.
"Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis,"
CESifo Working Paper Series
4912, CESifo.
- Marcello Pericoli & Marco Taboga, 2015.
"Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model,"
Temi di discussione (Economic working papers)
1023, Bank of Italy, Economic Research and International Relations Area.
Cited by:
- Laura Coroneo & Sergio Pastorello, 2017.
"European spreads at the interest rate lower bound,"
Discussion Papers
17/10, Department of Economics, University of York.
- Coroneo, Laura & Pastorello, Sergio, 2020. "European spreads at the interest rate lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
- Boris Blagov & Michael Funke & Richhild Moessner, 2015. "Modelling the time-variation in euro area lending spreads," BIS Working Papers 526, Bank for International Settlements.
- Marcello Pericoli & Marco Taboga, 2022.
"Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models [Pricing the Term Structure with Linear Regressions],"
Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 807-838.
- Marcello Pericoli & Marco Taboga, 2018. "Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models," Temi di discussione (Economic working papers) 1189, Bank of Italy, Economic Research and International Relations Area.
- Ugo Albertazzi & Andrea Nobili & Federico M. Signoretti, 2021.
"The Bank Lending Channel of Conventional and Unconventional Monetary Policy,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(2-3), pages 261-299, March.
- Ugo Albertazzi & Andrea Nobili & Federico M. Signoretti, 2016. "The bank lending channel of conventional and unconventional monetary policy," Temi di discussione (Economic working papers) 1094, Bank of Italy, Economic Research and International Relations Area.
- Kortela, Tomi, 2016. "A shadow rate model with time-varying lower bound of interest rates," Bank of Finland Research Discussion Papers 19/2016, Bank of Finland.
- Stefano Neri & Stefano Siviero, 2019. "The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks," Questioni di Economia e Finanza (Occasional Papers) 486, Bank of Italy, Economic Research and International Relations Area.
- Junttila, Juha & Perttunen, Jukka & Raatikainen, Juhani, 2021. "Keep the faith in banking: New evidence for the effects of negative interest rates based on the case of Finnish cooperative banks," International Review of Financial Analysis, Elsevier, vol. 75(C).
- Laura Coroneo & Sergio Pastorello, 2017.
"European spreads at the interest rate lower bound,"
Discussion Papers
17/10, Department of Economics, University of York.
- Marcello Pericoli & Marco Taboga, 2015.
"Decomposing euro area sovereign spreads: credit, liquidity and convenience,"
Temi di discussione (Economic working papers)
1021, Bank of Italy, Economic Research and International Relations Area.
Cited by:
- Athanasios Orphanides, 2020.
"The fiscal–monetary policy mix in the euro area: challenges at the zero lower bound,"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 35(103), pages 461-517.
- Orphanides, Athanasios, 2017. "The Fiscal-Monetary Policy Mix in the Euro Area: Challenges at the Zero Lower Bound," CEPR Discussion Papers 12039, C.E.P.R. Discussion Papers.
- Athanasios Orphanides, 2017. "The Fiscal-Monetary Policy Mix in the Euro Area: Challenges at the Zero Lower Bound," European Economy - Discussion Papers 060, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Margherita Bottero & Stefano schiaffi, 2022. "Firm liquidity and the transmission of monetary policy," Temi di discussione (Economic working papers) 1378, Bank of Italy, Economic Research and International Relations Area.
- Giuseppe Ferrero & Michele Loberto & Marcello Miccoli, 2017. "The collateral channel of unconventional monetary policy," Temi di discussione (Economic working papers) 1119, Bank of Italy, Economic Research and International Relations Area.
- Ludovit Odor & Pavol Povala, 2016. "Risk Premiums in Slovak Government Bonds," Discussion Papers Discussion Paper No. 3/20, Council for Budget Responsibility.
- Athanasios Orphanides, 2020.
"The fiscal–monetary policy mix in the euro area: challenges at the zero lower bound,"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 35(103), pages 461-517.
- Emanuele Baldacci & Sanjeev Gupta & Carlos Mulas-Granados & Fabio Balboni & Mirko Licchetta & Alexander Klemm & Luca Agnello & Gilles Dufr�not & Ricardo M. Sousa & Raffaela Giordano & Marcello Peric, 2014.
"Fiscal Policy and Macroeconomic Imbalances,"
Workshop and Conferences
16, Bank of Italy, Economic Research and International Relations Area.
Cited by:
- Pierluigi, Beatrice & Sondermann, David, 2018. "Macroeconomic imbalances in the euro area: where do we stand?," Occasional Paper Series 211, European Central Bank.
- Jin, Xiaolong & Wu, Qiuwei & Jia, Hongjie, 2020. "Local flexibility markets: Literature review on concepts, models and clearing methods," Applied Energy, Elsevier, vol. 261(C).
- Ferdinandusse, Marien & Checherita-Westphal, Cristina & Attinasi, Maria Grazia & Lalouette, Laure & Bańkowski, Krzysztof & Palaiodimos, Georgios & Trindade Campos, Maria Manuel, 2017. "Euro area fiscal stance," Occasional Paper Series 182, European Central Bank.
- Marcello Pericoli, 2013.
"Macroeconomic and monetary policy surprises and the term structure of interest rates,"
Temi di discussione (Economic working papers)
927, Bank of Italy, Economic Research and International Relations Area.
Cited by:
- Marcello Pericoli & Giovanni Veronese, 2017.
"Monetary policy surprises over time,"
Temi di discussione (Economic working papers)
1102, Bank of Italy, Economic Research and International Relations Area.
- Marcello Pericoli & Giovanni Veronese, 2018. "Monetary Policy Surprises over Time," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 1-60, March.
- Marcello Pericoli & Giovanni Veronese, 2017.
"Monetary policy surprises over time,"
Temi di discussione (Economic working papers)
1102, Bank of Italy, Economic Research and International Relations Area.
- Raffaela Giordano & Marcello Pericoli & Pietro Tommasino, 2013.
"Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis,"
Temi di discussione (Economic working papers)
904, Bank of Italy, Economic Research and International Relations Area.
- Raffaela Giordano & Marcello Pericoli & Pietro Tommasino, 2013. "Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis," International Finance, Wiley Blackwell, vol. 16(2), pages 131-160, June.
Cited by:
- Antonio Bassanetti & Matteo Bugamelli & Sandro Momigliano & Roberto Sabbatini & Francesco Zollino, 2013.
"The policy response to macroeconomic and fiscal imbalances in Italy in the last fifteen years,"
Questioni di Economia e Finanza (Occasional Papers)
211, Bank of Italy, Economic Research and International Relations Area.
- Antonio Bassanetti & Matteo Bugamelli & Sandro Momigliano & Roberto Sabbatini & Francesco Zollino, 2014. "The policy response to macroeconomic and fiscal imbalances in Italy in the last fifteen years," PSL Quarterly Review, Economia civile, vol. 67(268), pages 55-103.
- Marco Casiraghi & Eugenio Gaiotti & Lisa Rodano & Alessandro Secchi, 2013. "The impact of unconventional monetary policy on the Italian economy during the sovereign debt crisis," Questioni di Economia e Finanza (Occasional Papers) 203, Bank of Italy, Economic Research and International Relations Area.
- Eleonora Cutrini & Giorgio Galeazzi, 2017. "External Public Debt, Trade Linkages and Contagion During the Eurozone Crisis," The World Economy, Wiley Blackwell, vol. 40(9), pages 1718-1749, September.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco & Perea, Maite de Sola, 2015.
"A macro-financial analysis of the euro area sovereign bond market,"
LIDAM Reprints LFIN
2015009, Université catholique de Louvain, Louvain Finance (LFIN).
- Hans Dewachter & Leonardo Iania & Marco Lyrio & Maite de Sola Perea, 2014. "A macro-financial analysis of the euro area sovereign bond market," Working Paper Research 259, National Bank of Belgium.
- Dewachter, Hans & Iania, Leonardo & Lyrio, Marco & de Sola Perea, Maite, 2015. "A macro-financial analysis of the euro area sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 308-325.
- Stefano Neri, 2014.
"The Impact of the Sovereign Debt Crisis on Bank Lending Rates in the Euro Area,"
Rivista Bancaria - Minerva Bancaria, Istituto di Cultura Bancaria Francesco Parrillo, issue 5-6, September.
- Stefano Neri, 2013. "The impact of the sovereign debt crisis on bank lending rates in the euro area," Questioni di Economia e Finanza (Occasional Papers) 170, Bank of Italy, Economic Research and International Relations Area.
- Tobias Basse & Robinson Kruse & Christoph Wegener, 2017.
"The Walking Debt Crisis,"
CREATES Research Papers
2017-06, Department of Economics and Business Economics, Aarhus University.
- Wegener, Christoph & Kruse, Robinson & Basse, Tobias, 2019. "The walking debt crisis," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 382-402.
- Andrea Zaghini, 2017.
"A tale of fragmentation: corporate funding in the euro-area bond market,"
Temi di discussione (Economic working papers)
1104, Bank of Italy, Economic Research and International Relations Area.
- Zaghini, Andrea, 2017. "A tale of fragmentation: Corporate funding in the euro-area bond market," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 59-68.
- Aristei, David & Martelli, Duccio, 2014. "Sovereign bond yield spreads and market sentiment and expectations: Empirical evidence from Euro area countries," Journal of Economics and Business, Elsevier, vol. 76(C), pages 55-84.
- Emanuele BACCHIOCCHI, 2015.
"On the Identification of Interdependence and Contagion of Financial Crises,"
Departmental Working Papers
2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Emanuele Bacchiocchi, 2017. "On the Identification of Interdependence and Contagion of Financial Crises," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(6), pages 1148-1175, December.
- Demir, Ishak & Eroglu, Burak A. & Yildirim-Karaman, Secil, 2021.
"Heterogeneous effects of unconventional monetary policy on bond yields across the euro area,"
LEAF Working Paper Series
19-06, University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF), revised 2021.
- İshak Demi̇r & Burak A. Eroğlu & Seçi̇l Yildirim‐Karaman, 2022. "Heterogeneous Effects of Unconventional Monetary Policy on the Bond Yields across the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1425-1457, August.
- Franck Martin & Jiangxingyun Zhang, 2020.
"La structure des taux revisitée pour période de crise : entre contagion, flight to quality et quantitative easing,"
Revue économique, Presses de Sciences-Po, vol. 71(4), pages 623-665.
- Franck Martin, 2016. "La structure des taux revisitée pour période de crise: entre contagion, ?ight to quality et Quantitative Easing," Economics Working Paper Archive (University of Rennes & University of Caen) 2016-06, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
- Pietro Munari, 2024. "The Impact of Market Sentiment and Macroeconomic Fundamentals on Government Bond (Mis)-pricing," BAFFI CAREFIN Working Papers 24228, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Stolbov, Mikhail, 2014.
"The causal linkages between sovereign CDS prices for the BRICS and major European economies,"
Economics Discussion Papers
2014-9, Kiel Institute for the World Economy (IfW Kiel).
- Stolbov, Mikhail, 2014. "The causal linkages between sovereign CDS prices for the BRICS and major European economies," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 8, pages 1-43.
- Nicolas Debarsy & Cyrille Dossougoin & Cem Ertur & Jean-Yves Gnabo, 2018.
"Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach,"
Post-Print
hal-01744629, HAL.
- Nicolas DEBARSY & CYRILLE DOSSOUGOIN & Cem ERTUR & Jean-Yves GNABO, 2016. "Measuring Sovereign Risk Spillovers and Assessing the Role of Transmission Channels: A Spatial Econometrics Approach," LEO Working Papers / DR LEO 2441, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- DEBARSY, Nicolas & DOSSOUGOIN, Cyrille & ERTUR, Cem & GNABO, Jean-Yves, 2016. "Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach," LIDAM Discussion Papers CORE 2016053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Debarsy, Nicolas & Dossougoin, Cyrille & Ertur, Cem & Gnabo, Jean-Yves, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 21-45.
- Nicolas Debarsy & Cyrille Dossougoin & Cem Ertur & Jean-Yves Gnabo, 2018. "Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach," LIDAM Reprints CORE 2937, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Emilia Gyoerk, 2017. "Economic Costs and Benefits of EMU Membership from the Perspective of a Non-member," Open Economies Review, Springer, vol. 28(5), pages 893-921, November.
- Graham Bird & Wenti Du & Eric Pentecost & Thomas Willett, 2017. "Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours," Applied Economics, Taylor & Francis Journals, vol. 49(59), pages 5895-5904, December.
- Toni Ahnert & Christoph Bertsch, 2015.
"A Wake-Up-Call Theory of Contagion,"
Staff Working Papers
15-14, Bank of Canada.
- Ahnert, Toni & Bertsch, Christoph, 2022. "A Wake-Up Call Theory of Contagion," Working Paper Series 2658, European Central Bank.
- Toni Ahnert & Christoph Bertsch, 2022. "A Wake-Up Call Theory of Contagion [Asymmetric business cycles: theory and time-series evidence]," Review of Finance, European Finance Association, vol. 26(4), pages 829-854.
- Ahnert, Toni & ,, 2021. "A Wake-Up Call Theory of Contagion," CEPR Discussion Papers 16809, C.E.P.R. Discussion Papers.
- Ahnert, Toni & Bertsch, Christoph, 2013. "A wake-up call: information contagion and strategic uncertainty," Working Paper Series 282, Sveriges Riksbank (Central Bank of Sweden), revised 01 Mar 2014.
- Equiza-Goñi, Juan, 2016. "Government debt maturity and debt dynamics in euro area countries," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 292-311.
- Fulli-Lemaire, Nicolas, 2013. "A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies," MPRA Paper 49072, University Library of Munich, Germany.
- Graham Bird & Wenti Du & Eric Pentecost & Thomas Willett, 2017. "Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009–15," The World Economy, Wiley Blackwell, vol. 40(12), pages 2530-2542, December.
- Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2014.
"Systemic risk, sovereign yields and bank exposures in the euro crisis [Real effects of the sovereign debt crises in Europe: evidence from syndicated loans],"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 29(78), pages 203-251.
- Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2013. "Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis," CSEF Working Papers 345, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Andrea Zaghini, 2017.
"The CSPP at work: yield heterogeneity and the portfolio rebalancing channel,"
Temi di discussione (Economic working papers)
1157, Bank of Italy, Economic Research and International Relations Area.
- Zaghini, Andrea, 2019. "The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel," Journal of Corporate Finance, Elsevier, vol. 56(C), pages 282-297.
- Zaghini, Andrea, 2019. "The CSPP at work - yield heterogeneity and the portfolio rebalancing channel," Working Paper Series 2264, European Central Bank.
- Marco Committeri & Pietro Tommasino, 2018. "Managing sovereign debt restructurings in the euro zone. A note on old and current debates," Questioni di Economia e Finanza (Occasional Papers) 451, Bank of Italy, Economic Research and International Relations Area.
- Favero, Carlo A., 2013. "Modelling and forecasting government bond spreads in the euro area: A GVAR model," Journal of Econometrics, Elsevier, vol. 177(2), pages 343-356.
- Susana Martins & Cristina Amado, 2018. "Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach," NIPE Working Papers 08/2018, NIPE - Universidade do Minho.
- Danilo Liberati & Giuseppe Marinelli, 2024. "Was Covid-19 a wake-up call on climate risks? Evidence from the greenium," Questioni di Economia e Finanza (Occasional Papers) 832, Bank of Italy, Economic Research and International Relations Area.
- Donato Ceci & Marcello Pericoli, 2022. "Sovereign spreads and economic fundamentals: an econometric analysis," Questioni di Economia e Finanza (Occasional Papers) 713, Bank of Italy, Economic Research and International Relations Area.
- Patrick Augustin & Hamid Boustanifar & Johannes Breckenfelder & Jan Schnitzler, 2018.
"Sovereign to Corporate Risk Spillovers,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 857-891, August.
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Cited by:
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- Stefano Neri & Giuseppe Ferrero, 2017. "Monetary policy in a low interest rate environment," Questioni di Economia e Finanza (Occasional Papers) 392, Bank of Italy, Economic Research and International Relations Area.
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Cited by:
- Marcello Pericoli, 2012. "Expected inflation and inflation risk premium in the euro area and in the United States," Temi di discussione (Economic working papers) 842, Bank of Italy, Economic Research and International Relations Area.
- Marcello Pericoli, 2019. "An assessment of recent trends in market-based expected iflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 542, Bank of Italy, Economic Research and International Relations Area.
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- Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.
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699, Bank of Italy, Economic Research and International Relations Area.
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- Taboga, Marco & Pericoli, Marcello, 2008. "Bond risk premia, macroeconomic fundamentals and the exchange rate," MPRA Paper 9523, University Library of Munich, Germany.
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- Saar, Dan & Yagil, Yossi, 2015. "Forecasting sectorial profitability and credit spreads using bond yields," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 29-43.
- Gadanecz, Blaise & Miyajima, Ken & Shu, Chang, 2018. "Emerging market local currency sovereign bond yields: The role of exchange rate risk," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 371-401.
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"Taking the Cochrane-Piazzesi Term Structure Model Out of Sample: More Data, Additional Currencies, and FX Implications,"
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"Global Factors in the Term Structure of Interest Rates,"
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- Mirko Abbritti & Salvatore Dell'Erba & ​Antonio Moreno & Sergio Sola, 2014. "Global Factors in the Term Structure of Interest Rates," Faculty Working Papers 01/14, School of Economics and Business Administration, University of Navarra.
- Mirko Abbritti & Salvatore Dell’Erba & Antonio Moreno & Sergio Sola, 2018. "Global Factors in the Term Structure of Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 14(2), pages 301-340, March.
- Cepni, Oguzhan & Gul, Selcuk & Gupta, Rangan, 2020.
"Local currency bond risk premia of emerging markets: The role of local and global factors,"
Finance Research Letters, Elsevier, vol. 33(C).
- Oguzhan Cepni & Selcuk Gul & Rangan Gupta, 2019. "Local Currency Bond Risk Premia of Emerging Markets: The Role of Local and Global Factors," Working Papers 201901, University of Pretoria, Department of Economics.
- Marcello Pericoli & Marco Taboga, 2022.
"Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models [Pricing the Term Structure with Linear Regressions],"
Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 807-838.
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- Marcello Pericoli & Marco Taboga, 2015. "Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model," Temi di discussione (Economic working papers) 1023, Bank of Italy, Economic Research and International Relations Area.
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Temi di discussione (Economic working papers)
580, Bank of Italy, Economic Research and International Relations Area.
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"Bond risk premia, macroeconomic fundamentals and the exchange rate,"
MPRA Paper
9523, University Library of Munich, Germany.
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"Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(2), pages 124-156, March.
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"Monetary policy, bond risk premia, and the economy,"
Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
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"Affine arbitrage-free yield net models with application to the euro debt crisis,"
Journal of Econometrics, Elsevier, vol. 230(1), pages 201-220.
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"Demographics and The Behaviour of Interest Rates,"
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"Macro-finance VARs and bond risk premia: A caveat,"
Review of Financial Economics, Elsevier, vol. 18(4), pages 163-171, October.
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"Futures Contract Rates as Monetary Policy Forecasts,"
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"The CAPM and the risk appetite index; theoretical differences and empirical similarities,"
Temi di discussione (Economic working papers)
586, Bank of Italy, Economic Research and International Relations Area.
Cited by:
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"Measuring Investors' Risk Appetite,"
International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
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"Measuring Investors' Risk Appetite,"
International Journal of Central Banking, International Journal of Central Banking, vol. 2(1), March.
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"Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area,"
Temi di discussione (Economic working papers)
545, Bank of Italy, Economic Research and International Relations Area.
Cited by:
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"Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion,"
CEPR Discussion Papers
3310, C.E.P.R. Discussion Papers.
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"Interdependence and contagion in global asset markets,"
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"The Role of Portfolio Constraints in the International Propagation of Shocks,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1215-1256.
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"The First Global Recession in Decades,"
PSE-Ecole d'économie de Paris (Postprint)
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"Testing the Hypothesis of Contagion Using Multivariate Volatility Models,"
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"Correlations in emerging market bonds: The role of local and global factors,"
Emerging Markets Review, Elsevier, vol. 10(2), pages 67-96, June.
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"Regional Vulnerability: The Case of East Asia,"
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IMFS Working Paper Series
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Cited by:
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- Urbina, Jilber, 2013. "Contagion or Interdependence in the recent Global Financial Crisis? An application to the stock markets using unconditional cross-market correlations," Working Papers 2072/211884, Universitat Rovira i Virgili, Department of Economics.
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"Leverage versus volatility: Evidence from the capital structure of European firms,"
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- Hassan, Syed Aun & Malik, Farooq, 2007. "Multivariate GARCH modeling of sector volatility transmission," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 470-480, July.
- Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2014. "Are news important to predict large losses?," Papers 1410.6898, arXiv.org, revised Oct 2014.
- Beatrice D. Simo-Kengne & Kofi Agyarko Ababio & Jules Mba & Ur Koumba & Makgale Molepo, 2018. "Risk, Uncertainty and Exchange Rate Behavior in South Africa," Journal of African Business, Taylor & Francis Journals, vol. 19(2), pages 262-278, April.
- Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
Articles
- Marcello Pericoli & Marco Taboga, 2022.
"Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models [Pricing the Term Structure with Linear Regressions],"
Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 807-838.
See citations under working paper version above.
- Marcello Pericoli & Marco Taboga, 2018. "Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models," Temi di discussione (Economic working papers) 1189, Bank of Italy, Economic Research and International Relations Area.
- Marcello Pericoli & Giovanni Veronese, 2018.
"Monetary Policy Surprises over Time,"
Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 1-60, March.
See citations under working paper version above.
- Marcello Pericoli & Giovanni Veronese, 2017. "Monetary policy surprises over time," Temi di discussione (Economic working papers) 1102, Bank of Italy, Economic Research and International Relations Area.
- Marcello Pericoli, 2014.
"Real Term Structure and Inflation Compensation in the Euro Area,"
International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 1-42, March.
See citations under working paper version above.
- Marcello Pericoli, 2012. "Real term structure and inflation compensation in the euro area," Temi di discussione (Economic working papers) 841, Bank of Italy, Economic Research and International Relations Area.
- Raffaela Giordano & Marcello Pericoli & Pietro Tommasino, 2013.
"Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis,"
International Finance, Wiley Blackwell, vol. 16(2), pages 131-160, June.
See citations under working paper version above.
- Raffaela Giordano & Marcello Pericoli & Pietro Tommasino, 2013. "Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis," Temi di discussione (Economic working papers) 904, Bank of Italy, Economic Research and International Relations Area.
- Pericoli, Marcello & Taboga, Marco, 2012.
"Bond risk premia, macroeconomic fundamentals and the exchange rate,"
International Review of Economics & Finance, Elsevier, vol. 22(1), pages 42-65.
See citations under working paper version above.
- Taboga, Marco & Pericoli, Marcello, 2008. "Bond risk premia, macroeconomic fundamentals and the exchange rate," MPRA Paper 9523, University Library of Munich, Germany.
- Marcello Pericoli & Marco Taboga, 2009. "Bond risk premia, macroeconomic fundamentals and the exchange rate," Temi di discussione (Economic working papers) 699, Bank of Italy, Economic Research and International Relations Area.
- Marcello Pericoli & Marco Taboga, 2008.
"Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1471-1488, October.
- Marcello Pericoli & Marco Taboga, 2008. "Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1471-1488, October.
See citations under working paper version above.- Marcello Pericoli & Marco Taboga, 2006. "Canonical term-structure models with observable factors and the dynamics of bond risk premiums," Temi di discussione (Economic working papers) 580, Bank of Italy, Economic Research and International Relations Area.
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005.
"'Some contagion, some interdependence': More pitfalls in tests of financial contagion,"
Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December.
See citations under working paper version above.
- Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002. "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers 3310, C.E.P.R. Discussion Papers.
- Marcello Pericoli & Massimo Sbracia, 2003.
"A Primer on Financial Contagion,"
Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 571-608, September.
See citations under working paper version above.
- Marcello Pericoli & Massimo Sbracia, 2001. "A Primer on Financial Contagion," Temi di discussione (Economic working papers) 407, Bank of Italy, Economic Research and International Relations Area.
- Fornari, Fabio & Monticelli, Carlo & Pericoli, Marcello & Tivegna, Massimo, 2002.
"The impact of news on the exchange rate of the lira and long-term interest rates,"
Economic Modelling, Elsevier, vol. 19(4), pages 611-639, August.
See citations under working paper version above.Sorry, no citations of articles recorded.
- Fabio Fornari & Carlo Monticelli & Marcello Pericoli & Massimo Tivegna, 1999. "The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates," Temi di discussione (Economic working papers) 358, Bank of Italy, Economic Research and International Relations Area.