Federico Calogero Nucera
Personal Details
First Name: | Federico Calogero |
Middle Name: | |
Last Name: | Nucera |
Suffix: | |
RePEc Short-ID: | pnu74 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/site/ecofinucera/ | |
Affiliation
Banca d'Italia
Roma, Italyhttp://www.bancaditalia.it/
RePEc:edi:bdigvit (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017.
"Do negative interest rates make banks less safe?,"
Working Paper Series
2098, European Central Bank.
- Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Do negative interest rates make banks less safe?," Economics Letters, Elsevier, vol. 159(C), pages 112-115.
- Federico Nucera & Andre Lucas & Julia Schaumburg & Bernd Schwaab, 2017. "Do Negative Interest Rates Make Banks Less Safe?," Tinbergen Institute Discussion Papers 17-041/IV, Tinbergen Institute.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Nucera, Federico, 2016.
"The information in systemic risk rankings,"
Working Paper Series
1875, European Central Bank.
- Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "The information in systemic risk rankings," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
- Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "The Information in Systemic Risk Rankings," Tinbergen Institute Discussion Papers 15-070/III/DSF94, Tinbergen Institute.
- Federico Nucera & Giorgio Valente, 2013.
"Carry Trades and the Performance of Currency Hedge Funds,"
Working Papers
032013, Hong Kong Institute for Monetary Research.
- Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
Articles
- Kevin J. Lansing & Federico C. Nucera, 2023. "Inflation Expectations, the Phillips Curve, and Stock Prices," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, vol. 2023(24), pages 1-6, September.
- Federico Nucera & Björn Uhl, 2022. "The impact of volatility scaling on factor portfolio performance and factor timing," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 522-533, October.
- Michael W. Brandt & Federico Nucera & Giorgio Valente, 2019. "Can Hedge Funds Time the Market?," International Review of Finance, International Review of Finance Ltd., vol. 19(2), pages 459-469, June.
- Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017.
"Do negative interest rates make banks less safe?,"
Economics Letters, Elsevier, vol. 159(C), pages 112-115.
- Federico Nucera & Andre Lucas & Julia Schaumburg & Bernd Schwaab, 2017. "Do Negative Interest Rates Make Banks Less Safe?," Tinbergen Institute Discussion Papers 17-041/IV, Tinbergen Institute.
- Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Do negative interest rates make banks less safe?," Working Paper Series 2098, European Central Bank.
- Nucera, Federico, 2017. "Unemployment fluctuations and the predictability of currency returns," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 88-106.
- Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016.
"The information in systemic risk rankings,"
Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
- Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "The Information in Systemic Risk Rankings," Tinbergen Institute Discussion Papers 15-070/III/DSF94, Tinbergen Institute.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Nucera, Federico, 2016. "The information in systemic risk rankings," Working Paper Series 1875, European Central Bank.
- Carlo A. Favero & Federico Nucera, 2014. "How Much Does the Stock Market Risk Decline with the Investment Horizon? A Cross-Country Comparison," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 1-19, February.
- Nucera, Federico & Valente, Giorgio, 2013.
"Carry trades and the performance of currency hedge funds,"
Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
- Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.
- Federico Nucera, 2012. "The co-movement between sovereign and bank credit risk during the financial crisis: the case of the Euro Area," Rivista Bancaria - Minerva Bancaria, Istituto di Cultura Bancaria Francesco Parrillo, issue 6, December.
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.Working papers
- Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017.
"Do negative interest rates make banks less safe?,"
Working Paper Series
2098, European Central Bank.
- Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Do negative interest rates make banks less safe?," Economics Letters, Elsevier, vol. 159(C), pages 112-115.
- Federico Nucera & Andre Lucas & Julia Schaumburg & Bernd Schwaab, 2017. "Do Negative Interest Rates Make Banks Less Safe?," Tinbergen Institute Discussion Papers 17-041/IV, Tinbergen Institute.
Cited by:
- Melanie Klein, 2020.
"Implications of negative interest rates for the net interest margin and lending of euro area banks,"
BIS Working Papers
848, Bank for International Settlements.
- Klein, Melanie, 2020. "Implications of negative interest rates for the net interest margin and lending of euro area banks," Discussion Papers 10/2020, Deutsche Bundesbank.
- Johannes Bubeck & Angela Maddaloni & José-Luis Peydró, 2019.
"Negative monetary policy rates and systemic banks’ risk-taking: Evidence from the Euro area securities register,"
Economics Working Papers
1678, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2020.
- Bubeck, Johannes & Maddaloni, Angela & Peydró, José-Luis, 2020. "Negative Monetary Policy Rates and Systemic Banks' Risk‐Taking: Evidence from the Euro Area Securities Register," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 52(S1), pages 197-231.
- Bubeck, Johannes & Maddaloni, Angela & Peydró, José-Luis, 2020. "Negative Monetary Policy Rates and Systemic Banks’ Risk-Taking: Evidence from the Euro Area Securities Register," EconStor Preprints 216806, ZBW - Leibniz Information Centre for Economics.
- Bubeck, Johannes & Maddaloni, Angela & Peydró, José-Luis, 2020. "Negative monetary policy rates and systemic banks’ risk-taking: evidence from the euro area securities register," Working Paper Series 2398, European Central Bank.
- Johannes Bubeck & Angela Maddaloni & José‐Luis Peydró, 2020. "Negative Monetary Policy Rates and Systemic Banks' Risk‐Taking: Evidence from the Euro Area Securities Register," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S1), pages 197-231, October.
- Johannes Bubeck & Angela Maddaloni & José-Luis Peydró, 2019. "Negative Monetary Policy Rates and Systemic Banks’ Risk-Taking: Evidence from the Euro Area Securities Register," Working Papers 1128, Barcelona School of Economics.
- Bubeck, Johannes & Maddaloni, Angela & Peydró, José-Luis, 2020. "Negative monetary policy rates and systemic banks' risk-taking: Evidence from the euro area securities register," Discussion Papers 37/2020, Deutsche Bundesbank.
- Hartmann, Philipp & Smets, Frank, 2018.
"The first twenty years of the European Central Bank: monetary policy,"
CEPR Discussion Papers
13411, C.E.P.R. Discussion Papers.
- Hartmann, Philipp & Smets, Frank, 2018. "The first twenty years of the European Central Bank: monetary policy," Working Paper Series 2219, European Central Bank.
- Buchholz, Manuel & Schmidt, Kirsten & Tonzer, Lena, 2017.
"Do conventional monetary policy instruments matter in unconventional times?,"
IWH Discussion Papers
12/2017, Halle Institute for Economic Research (IWH).
- Buchholz, Manuel & Schmidt, Kirsten & Tonzer, Lena, 2020. "Do conventional monetary policy instruments matter in unconventional times?," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Buchholz, Manuel & Schmidt, Kirsten & Tonzer, Lena, 2019. "Do conventional monetary policy instruments matter in unconventional times?," Discussion Papers 27/2019, Deutsche Bundesbank.
- Borri, Nicola & Giorgio, Giorgio di, 2022.
"Systemic risk and the COVID challenge in the european banking sector,"
Journal of Banking & Finance, Elsevier, vol. 140(C).
- Nicola Borri & Giorgio Di Giorgio, 2020. "Systemic Risk and the COVID Challenge in the European Banking Sector," Working Papers CASMEF 2005, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018.
"Do information contagion and business model similarities explain bank credit risk commonalities?,"
Tinbergen Institute Discussion Papers
18-100/IV, Tinbergen Institute.
- Wang, Dieter & van Lelyveld, Iman & Schaumburg, Julia, 2019. "Do information contagion and business model similarities explain bank credit risk commonalities?," ESRB Working Paper Series 94, European Systemic Risk Board.
- Abildgren, Kim & Kuchler, Andreas, 2023. "Firm behaviour under negative deposit rates," European Economic Review, Elsevier, vol. 151(C).
- Klaus, Juergen & Selga, Eriks & Klein, Tony, 2019. "Floating Rate Notes and Stakeholder Activities During Zero and Negative Interest Rate Regimes," QBS Working Paper Series 2019/03, Queen's University Belfast, Queen's Business School.
- Roberto Savona, 2022. "Bank business models, negative policy rates, and prudential regulation," Annals of Finance, Springer, vol. 18(3), pages 355-392, September.
- Mayu Kikuchi & Alfred Wong & Jiayue Zhang, 2019. "Risk of window dressing: quarter-end spikes in the Japanese yen Libor-OIS spread," Journal of Regulatory Economics, Springer, vol. 56(2), pages 149-166, December.
- Vu, Anh Nguyet, 2020. "On the impact of quantitative easing on credit standards and systemic risk: The Japanese experience," Economics Letters, Elsevier, vol. 186(C).
- Cynthia Balloch & Yann Koby & Mauricio Ulate, 2022. "Making Sense of Negative Nominal Interest Rates," Working Paper Series 2022-12, Federal Reserve Bank of San Francisco.
- Barry Eichengreen, 2020. "Keynesian economics: can it return if it never died?," Review of Keynesian Economics, Edward Elgar Publishing, vol. 8(1), pages 23-35, January.
- AAlessio Reghezza & Jonathan Williams & Alessio Bongiovanni & Riccardo Santamaria, 2019.
"Do Negative Interest Rates Affect Bank Risk-Taking?,"
Working Papers
19012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Bongiovanni, Alessio & Reghezza, Alessio & Santamaria, Riccardo & Williams, Jonathan, 2021. "Do negative interest rates affect bank risk-taking?," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 350-364.
- Peydró, José-Luis & Maddaloni, Angela, 2020. "Negative Monetary Policy Rates and Systemic Banks’ Risk-Taking: Evidence from the Euro Area Securities Register," CEPR Discussion Papers 14988, C.E.P.R. Discussion Papers.
- Luis Brandao-Marques & Marco Casiraghi & Gaston Gelos & Gunes Kamber & Roland Meeks, 2021. "Negative Interest Rate Policies: Taking Stock of the Experience So Far," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 22(06), pages 27-32, November.
- Iwanicz-Drozdowska, Małgorzata & Rogowicz, Karol, 2022. "Does the choice of monetary policy tool matter for systemic risk? The curious case of negative interest rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
- Liñares-Zegarra, José M. & Willesson, Magnus, 2021. "The effects of negative interest rates on cash usage: Evidence for EU countries," Economics Letters, Elsevier, vol. 198(C).
- GUNJI Hiroshi, 2018. "Did BOJ's Negative Interest Rate Policy Increase Bank Lending?," Discussion papers 18086, Research Institute of Economy, Trade and Industry (RIETI).
- Jeffrey R. Campbell & Thomas B. King & Anna Orlik & Rebecca Zarutskie, 2020. "Issues Regarding the Use of the Policy Rate Tool," Finance and Economics Discussion Series 2020-070, Board of Governors of the Federal Reserve System (U.S.).
- Lagasio, Valentina & Quaranta, Anna Grazia, 2022. "Cluster analysis of bank business models: The connection with performance, efficiency and risk," Finance Research Letters, Elsevier, vol. 47(PA).
- Whelsy Boungou, 2020.
"Negative Interest Rates Policy and Banks' Risk-Taking: Empirical Evidence,"
Post-Print
hal-03709855, HAL.
- Boungou, Whelsy, 2020. "Negative interest rates policy and banks’ risk-taking: Empirical evidence," Economics Letters, Elsevier, vol. 186(C).
- Nicolas Reigl & Karsten Staehr, 2020. "Negative Interest Rates in the Five Eurozone Countries from Central and Eastern Europe," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 21(01), pages 24-30, April.
- Uwe Vollmer, 2022. "Monetary policy or macroprudential policies: What can tame the cycles?," Journal of Economic Surveys, Wiley Blackwell, vol. 36(5), pages 1510-1538, December.
- W. Boungou & Charles Mawusi, 2021.
"Bank lending margins in a negative interest rate environment,"
Post-Print
hal-03439461, HAL.
- Whelsy Boungou & Charles Mawusi, 2023. "Bank lending margins in a negative interest rate environment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 886-901, January.
- Selva Demiralp & Jens Eisenschmidt & Thomas Vlassopoulos, 2021.
"Negative interest rates, excess liquidity and retail deposits: Banks’ reaction to unconventional monetary policy in the euro area,"
Koç University-TUSIAD Economic Research Forum Working Papers
1910, Koc University-TUSIAD Economic Research Forum.
- Demiralp, Selva & Eisenschmidt, Jens & Vlassopoulos, Thomas, 2021. "Negative interest rates, excess liquidity and retail deposits: Banks’ reaction to unconventional monetary policy in the euro area," European Economic Review, Elsevier, vol. 136(C).
- Demiralp, Selva & Eisenschmidt, Jens & Vlassopoulos, Thomas, 2019. "Negative interest rates, excess liquidity and retail deposits: banks’ reaction to unconventional monetary policy in the euro area," Working Paper Series 2283, European Central Bank.
- Mr. Gee Hee Hong & John Kandrac, 2018. "Pushed Past the Limit? How Japanese Banks Reacted to Negative Interest Rates," IMF Working Papers 2018/131, International Monetary Fund.
- Avinadav, Tal & Levy, Priel, 2024. "Improving efficiency in supply chains with a capital-constrained app developer under the agency contract," European Journal of Operational Research, Elsevier, vol. 315(3), pages 991-1005.
- Martin Brown, 2020. "Negative Interest Rates and Bank Lending," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 21(01), pages 18-23, April.
- Jose A. Lopez & Andrew K. Rose & Mark M. Spiegel, 2018.
"Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence,"
Working Paper Series
2018-7, Federal Reserve Bank of San Francisco.
- Lopez, Jose A. & Rose, Andrew K. & Spiegel, Mark M., 2020. "Why have negative nominal interest rates had such a small effect on bank performance? Cross country evidence," European Economic Review, Elsevier, vol. 124(C).
- Rose, Andrew & Spiegel, Mark & Lopez, Jose A., 2018. "Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence," CEPR Discussion Papers 13010, C.E.P.R. Discussion Papers.
- Jose A. Lopez & Andrew K. Rose & Mark M. Spiegel, 2018. "Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence," NBER Working Papers 25004, National Bureau of Economic Research, Inc.
- Molterer, Manuel, 2019. "Tougher than the rest? The resilience of specialized financial intermediation to macroeconomic shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 163-174.
- Kang‐Soek Lee & Richard A. Werner, 2023. "Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3960-3975, October.
- Klaus, Jürgen & Selga, Ēriks K., 2021. "How floating rate notes stopped floating: Evidence from the negative interest rate regime," International Review of Financial Analysis, Elsevier, vol. 75(C).
- Avignone, Giuseppe & Girardone, Claudia & Pancaro, Cosimo & Pancotto, Livia & Reghezza, Alessio, 2022. "Making a virtue out of necessity: the effect of negative interest rates on bank cost efficiency," Working Paper Series 2718, European Central Bank.
- Junttila, Juha & Nguyen, Vo Cao Sang, 2022. "Impacts of sovereign risk premium on bank profitability: Evidence from euro area," International Review of Financial Analysis, Elsevier, vol. 81(C).
- Gee Hee Hong & John Kandrac, 2022. "Pushed Past the Limit? How Japanese Banks Reacted to Negative Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(4), pages 1027-1063, June.
- Ni, Jianhui & Ruan, Jia, 2024. "Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
- Katrin Assenmacher & Signe Krogstrup, 2018. "Monetary Policy with Negative Interest Rates: Decoupling Cash from Electronic Money," IMF Working Papers 2018/191, International Monetary Fund.
- Altavilla, Carlo & Boucinha, Miguel & Holton, Sarah & Ongena, Steven, 2018.
"Credit supply and demand in unconventional times,"
Working Paper Series
2202, European Central Bank.
- Carlo Altavilla & Miguel Boucinha & Sarah Holton & Steven Ongena, 2021. "Credit Supply and Demand in Unconventional Times," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(8), pages 2071-2098, December.
- Petra Jílková & Jana Kotěšovcová, 2022. "Determinanty výnosnosti evropského bankovního systému v letech 2012-2019 [Determinants of European Bank Profitability in 2012-2019]," Politická ekonomie, Prague University of Economics and Business, vol. 2022(5), pages 552-573.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Nucera, Federico, 2016.
"The information in systemic risk rankings,"
Working Paper Series
1875, European Central Bank.
- Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "The information in systemic risk rankings," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
- Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "The Information in Systemic Risk Rankings," Tinbergen Institute Discussion Papers 15-070/III/DSF94, Tinbergen Institute.
Cited by:
- Peter Grundke, 2019. "Ranking consistency of systemic risk measures: a simulation-based analysis in a banking network model," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 953-990, May.
- Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023.
"Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework,"
Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
- Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2022. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Post-Print hal-04478741, HAL.
- Zhou, Dong-hai & Liu, Xiao-xing, 2024. "Does systemic risk in the fund markets predict future economic downturns?," International Review of Financial Analysis, Elsevier, vol. 92(C).
- Goldman, Elena, 2023. "Uncertainty in systemic risks rankings: Bayesian and frequentist analysis," Finance Research Letters, Elsevier, vol. 56(C).
- Edward M. H. Lin & Edward W. Sun & Min-Teh Yu, 2018. "Systemic risk, financial markets, and performance of financial institutions," Annals of Operations Research, Springer, vol. 262(2), pages 579-603, March.
- van de Leur, Michiel C.W. & Lucas, André & Seeger, Norman J., 2017.
"Network, market, and book-based systemic risk rankings,"
Journal of Banking & Finance, Elsevier, vol. 78(C), pages 84-90.
- Michiel C.W. van de Leur & Andre Lucas, 2016. "Network, Market, and Book-Based Systemic Risk Rankings," Tinbergen Institute Discussion Papers 16-074/IV, Tinbergen Institute.
- Borri, Nicola & Giorgio, Giorgio di, 2022.
"Systemic risk and the COVID challenge in the european banking sector,"
Journal of Banking & Finance, Elsevier, vol. 140(C).
- Nicola Borri & Giorgio Di Giorgio, 2020. "Systemic Risk and the COVID Challenge in the European Banking Sector," Working Papers CASMEF 2005, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Zhang, Ping & Yin, Shiqi & Sha, Yezhou, 2023. "Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
- Duan, Yuejiao & Goodell, John W. & Li, Haoran & Li, Xinming, 2022. "Assessing machine learning for forecasting economic risk: Evidence from an expanded Chinese financial information set," Finance Research Letters, Elsevier, vol. 46(PA).
- Michele Leonardo Bianchi & Alberto Maria Sorrentino, 2020. "Measuring CoVaR: An Empirical Comparison," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 511-528, February.
- Jalan, Akanksha & Matkovskyy, Roman, 2023.
"Systemic risks in the cryptocurrency market: Evidence from the FTX collapse,"
Finance Research Letters, Elsevier, vol. 53(C).
- Akanksha Jalan & Roman Matkovskyy, 2023. "Systemic risks in the cryptocurrency market: Evidence from the FTX collapse," Post-Print hal-04047924, HAL.
- Wang, Dan & Huang, Wei-Qiang, 2021. "Centrality-based measures of financial institutions’ systemic importance: A tail dependence network view," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 562(C).
- Antonio Di Cesare & Anna Rogantini Picco, 2018. "A Survey of Systemic Risk Indicators," Questioni di Economia e Finanza (Occasional Papers) 458, Bank of Italy, Economic Research and International Relations Area.
- Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018.
"Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
- Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions," Working Papers ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
- Mutiara Aini & Deddy Priatmodjo Koesrindartoto, 2020. "The Determinants Of Systemic Risk: Evidence From Indonesian Commercial Banks," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 23(1), pages 101-120, April.
- Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022. "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Borri, Nicola, 2019. "Conditional tail-risk in cryptocurrency markets," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 1-19.
- Jokivuolle, Esa & Tunaru, Radu & Vioto, Davide, 2018. "Testing the systemic risk differences in banks," Bank of Finland Research Discussion Papers 13/2018, Bank of Finland.
- Brealey, Richard A & Cooper, Ian A & Kaplanis, Evi, 2019. "The effect of mergers on US bank risk in the short run and in the long run," Journal of Banking & Finance, Elsevier, vol. 108(C).
- Michele Leonardo Bianchi & Alberto Maria Sorrentino, 2022. "Exploring the Systemic Risk of Domestic Banks with ΔCoVaR and Elastic-Net," Journal of Financial Services Research, Springer;Western Finance Association, vol. 62(1), pages 127-141, October.
- Carmela Cappelli & Francesca Iorio & Angela Maddaloni & Pierpaolo D’Urso, 2021. "Atheoretical Regression Trees for classifying risky financial institutions," Annals of Operations Research, Springer, vol. 299(1), pages 1357-1377, April.
- Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2016.
"The European sovereign debt crisis: What have we learned?,"
Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 363-373.
- Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2017. "The European sovereign debt crisis: What have we learned?," CFS Working Paper Series 567, Center for Financial Studies (CFS).
- Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
- Abendschein, Michael & Grundke, Peter, 2018. "On the ranking consistency of global systemic risk measures: empirical evidence," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181623, Verein für Socialpolitik / German Economic Association.
- Marina Brogi & Valentina Lagasio & Luca Riccetti, 2021. "Systemic risk measurement: bucketing global systemically important banks," Annals of Finance, Springer, vol. 17(3), pages 319-351, September.
- Badics, Milan Csaba & Huszar, Zsuzsa R. & Kotro, Balazs B., 2023. "The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
- Matteo Foglia & Eliana Angelini, 2021. "The triple (T3) dimension of systemic risk: Identifying systemically important banks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 7-26, January.
- Borri, Nicola, 2019. "Redenomination-risk spillovers in the Eurozone," Economics Letters, Elsevier, vol. 174(C), pages 173-178.
- Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS," Working Papers ECARES ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
- Barbaglia, Luca & Croux, Christophe & Wilms, Ines, 2020. "Volatility spillovers in commodity markets: A large t-vector autoregressive approach," Energy Economics, Elsevier, vol. 85(C).
- Federico Nucera & Giorgio Valente, 2013.
"Carry Trades and the Performance of Currency Hedge Funds,"
Working Papers
032013, Hong Kong Institute for Monetary Research.
- Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
Cited by:
- Björn Uhl, 2024. "Sharpe-optimal volatility futures carry," Journal of Asset Management, Palgrave Macmillan, vol. 25(3), pages 288-302, May.
- Gueorgui Konstantinov, 2016. "Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(3), pages 337-365, August.
- Li, Chenlu & Li, Baibing & Tee, Kai-Hong, 2020. "Are hedge funds active market liquidity timers?," International Review of Financial Analysis, Elsevier, vol. 67(C).
- Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
- Luo, Ji & Tee, Kai-Hong & Li, Baibing, 2017. "Timing liquidity in the foreign exchange market: Did hedge funds do it?," Journal of Multinational Financial Management, Elsevier, vol. 40(C), pages 47-62.
Articles
- Michael W. Brandt & Federico Nucera & Giorgio Valente, 2019.
"Can Hedge Funds Time the Market?,"
International Review of Finance, International Review of Finance Ltd., vol. 19(2), pages 459-469, June.
Cited by:
- Nick Taylor, 2023. "The Determinants of Volatility Timing Performance," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1228-1257.
- Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017.
"Do negative interest rates make banks less safe?,"
Economics Letters, Elsevier, vol. 159(C), pages 112-115.
See citations under working paper version above.
- Federico Nucera & Andre Lucas & Julia Schaumburg & Bernd Schwaab, 2017. "Do Negative Interest Rates Make Banks Less Safe?," Tinbergen Institute Discussion Papers 17-041/IV, Tinbergen Institute.
- Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Do negative interest rates make banks less safe?," Working Paper Series 2098, European Central Bank.
- Nucera, Federico, 2017.
"Unemployment fluctuations and the predictability of currency returns,"
Journal of Banking & Finance, Elsevier, vol. 84(C), pages 88-106.
Cited by:
- Deven Bathia & Riza Demirer & Rangan Gupta & Kevin Kotze, 2020.
"Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data,"
Working Papers
202083, University of Pretoria, Department of Economics.
- Bathia, Deven & Demirer, Riza & Gupta, Rangan & Kotzé, Kevin, 2021. "Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data," Journal of Multinational Financial Management, Elsevier, vol. 61(C).
- Deven Bathia & Riza Demirer & Rangan Gupta & Kevin Kotze, 2020. "Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data," School of Economics Macroeconomic Discussion Paper Series 2020-01, School of Economics, University of Cape Town.
- Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
- Sudha Mathew & Sheeja Sivaprasad, 2024. "An empirical analysis of corporate sustainability bonds," Business Strategy and the Environment, Wiley Blackwell, vol. 33(4), pages 3299-3316, May.
- Deven Bathia & Riza Demirer & Rangan Gupta & Kevin Kotze, 2020.
"Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data,"
Working Papers
202083, University of Pretoria, Department of Economics.
- Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016.
"The information in systemic risk rankings,"
Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
See citations under working paper version above.
- Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "The Information in Systemic Risk Rankings," Tinbergen Institute Discussion Papers 15-070/III/DSF94, Tinbergen Institute.
- Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Nucera, Federico, 2016. "The information in systemic risk rankings," Working Paper Series 1875, European Central Bank.
- Carlo A. Favero & Federico Nucera, 2014.
"How Much Does the Stock Market Risk Decline with the Investment Horizon? A Cross-Country Comparison,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 1-19, February.
Cited by:
- Laimutė Urbšienė & Andrius Bugajevas & Marekas Pipiras, 2016. "The Impact Of Investment Horizon On The Return And Risk Of Investments In Securities In Lithuania," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 7(2).
- Nucera, Federico & Valente, Giorgio, 2013.
"Carry trades and the performance of currency hedge funds,"
Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
See citations under working paper version above.
- Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.
- Federico Nucera, 2012.
"The co-movement between sovereign and bank credit risk during the financial crisis: the case of the Euro Area,"
Rivista Bancaria - Minerva Bancaria, Istituto di Cultura Bancaria Francesco Parrillo, issue 6, December.
Cited by:
- Fratzscher, Marcel & Rieth, Malte, 2015.
"Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area,"
CEPR Discussion Papers
10370, C.E.P.R. Discussion Papers.
- Fratzscher, Marcel & Rieth, Malte, 2019. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 23(4), pages 745-775.
- Rieth, Malte & Fratzscher, Marcel, 2014. "Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100277, Verein für Socialpolitik / German Economic Association.
- Marcel Fratzscher & Malte Rieth, 2019. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," Review of Finance, European Finance Association, vol. 23(4), pages 745-775.
- Marcel Fratzscher & Malte Rieth, 2015. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," European Economy - Discussion Papers 009, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Marcel Fratzscher & Malte Rieth, 2015. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," Discussion Papers of DIW Berlin 1448, DIW Berlin, German Institute for Economic Research.
- Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2015. "Interdependence between Sovereign and Bank CDS Spreads in Eurozone during the European Debt Crisis - The PSI Effect," MPRA Paper 68037, University Library of Munich, Germany.
- Fratzscher, Marcel & Rieth, Malte, 2015.
"Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area,"
CEPR Discussion Papers
10370, C.E.P.R. Discussion Papers.
More information
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-BAN: Banking (4) 2015-06-13 2016-02-12 2017-05-07 2017-09-17
- NEP-CBA: Central Banking (4) 2015-06-13 2016-02-12 2017-05-07 2017-09-17
- NEP-RMG: Risk Management (2) 2015-06-13 2016-02-12
- NEP-CFN: Corporate Finance (1) 2015-06-13
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