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Details about Paolo Zagaglia

Workplace:Rimini Centre for Economic Analysis (RCEA), (more information at EDIRC)

Access statistics for papers by Paolo Zagaglia.

Last updated 2016-11-19. Update your information in the RePEc Author Service.

Short-id: pza65


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Working Papers

2014

  1. International portfolio allocation with European fixed-income funds: What scope for Italian funds?
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2014) Downloads

2012

  1. Bonds Transaction Services and the Term Structure of Interest Rates: Implications for Equilibrium Determinacy
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads
  2. Effective Trade Execution
    Papers, arXiv.org Downloads
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2012) Downloads
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2012) Downloads
    MPRA Paper, University Library of Munich, Germany (2012) Downloads
  3. Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
    Papers, arXiv.org Downloads View citations (3)
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2012) Downloads View citations (5)
    MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (2)
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2012) Downloads View citations (2)
  4. Measuring Market Liquidity: An Introductory Survey
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (5)
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2011) Downloads View citations (9)
    Papers, arXiv.org (2011) Downloads View citations (8)
  5. Structural Distortions in the Euro Interbank Market: The Role of ‘Key Players’ during the Recent Market Turmoil
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in Papers, arXiv.org (2012) Downloads
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2012) Downloads
    MPRA Paper, University Library of Munich, Germany (2012) Downloads

2011

  1. Equilibrium Selection in a Cashless Economy with Transaction Frictions in the Bond Market
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads View citations (1)
    Also in Working Paper Series, The Rimini Centre for Economic Analysis (2011) Downloads View citations (1)
    MPRA Paper, University Library of Munich, Germany (2011) Downloads View citations (1)
  2. Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (2)
  3. Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2011) Downloads
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2011) Downloads
    Papers, arXiv.org (2011) Downloads
  4. The Relationship Between Financial Risk Premia and Macroeconomic Volatility: Issues and Perspectives on the Run-Up to the Turmoil
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads
  5. Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    See also Journal Article in Applied Economics Letters (2012)

2010

  1. A welfare perspective on the fiscal-monetary policy mix: The role of alternative fiscal instruments
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads View citations (1)
    See also Journal Article in Journal of Policy Modeling (2011)
  2. Gold and the U.S. Dollar: Tales from the Turmoil
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads

    See also Journal Article in Quantitative Finance (2013)
  3. Informed Trading in the Euro Money Market for Term Lending
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (3)
  4. Lo 'shock' Lehman Brothers: una tempesta dentro la tempesta? L'esperienza degli ETF LYXOR su Euro MTS
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads

2009

  1. A Further Look at the 2004 Reform of the Operational Framework of the ECB
    Research Papers in Economics, Stockholm University, Department of Economics Downloads
    Also in Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2009) Downloads
  2. Distortionary tax instruments and implementable monetary policy
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads
    Also in Research Papers in Economics, Stockholm University, Department of Economics (2007) Downloads View citations (1)
    EcoMod2010, EcoMod Downloads

    See also Journal Article in International Review of Economics & Finance (2013)
  3. Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback
    Research Papers in Economics, Stockholm University, Department of Economics Downloads View citations (2)
  4. Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model
    Research Papers in Economics, Stockholm University, Department of Economics Downloads View citations (4)
    See also Journal Article in Energy Economics (2010)
  5. Monetary Asset Substitution in the Euro Area
    MPRA Paper, University Library of Munich, Germany Downloads
  6. Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?
    Research Papers in Economics, Stockholm University, Department of Economics Downloads
    Also in Research Discussion Papers, Bank of Finland (2008) Downloads View citations (1)
  7. The Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They?
    Research Papers in Economics, Stockholm University, Department of Economics Downloads
  8. What Drives the Term Structure in the Euro Area? Evidence from a Model with Feedback
    Research Papers in Economics, Stockholm University, Department of Economics Downloads View citations (1)

2008

  1. A Continuous-Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions
    Research Papers in Economics, Stockholm University, Department of Economics Downloads
    Also in Research Discussion Papers, Bank of Finland (2008) Downloads
  2. Determinacy of Interest Rate Rules with Bond Transaction Services in a Cashless Economy
    Research Papers in Economics, Stockholm University, Department of Economics Downloads View citations (4)
    Also in Research Discussion Papers, Bank of Finland (2008) Downloads View citations (1)
  3. The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight?
    Research Papers in Economics, Stockholm University, Department of Economics Downloads
    See also Journal Article in Applied Economics Letters (2010)
  4. The co-movements along the forward curve of natural gas futures: a structural view
    Research Discussion Papers, Bank of Finland Downloads View citations (1)

2007

  1. Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations
    Research Papers in Economics, Stockholm University, Department of Economics Downloads
  2. Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
    Research Papers in Economics, Stockholm University, Department of Economics Downloads
  3. Domestic political constraints to foreign aid effectiveness
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads View citations (2)
  4. Identity and the Dynamics of Preferences
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads
  5. The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model
    Research Papers in Economics, Stockholm University, Department of Economics Downloads View citations (3)
  6. Volatility forecasting for crude oil futures
    Research Papers in Economics, Stockholm University, Department of Economics Downloads View citations (3)
    See also Journal Article in Applied Economics Letters (2010)

2006

  1. Does the Yield Spread Predict the Output Gap in the U.S.?
    Research Papers in Economics, Stockholm University, Department of Economics Downloads View citations (3)
  2. Monetary Policy and the Term Structure: A Fully Structural DSGE approach
    Computing in Economics and Finance 2006, Society for Computational Economics
  3. Optimal Opportunistic Monetary Policy in A New-Keynesian Model
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads View citations (2)
    Also in Research Papers in Economics, Stockholm University, Department of Economics (2006) Downloads View citations (3)
  4. Optimal Simple Nonlinear Rules for Monetary Policy in a New-Keynesian Model
    Computing in Economics and Finance 2006, Society for Computational Economics
  5. The Predictive Power of the Yield Spread under the Veil of Time
    Research Papers in Economics, Stockholm University, Department of Economics Downloads View citations (1)

2002

  1. Matlab Implementation of the AIM Algorithm: A Beginner's Guide
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali Downloads View citations (8)
  2. On (Sub) Optimal Monetary Policy Rules under Untied Fiscal Hands
    Research Papers in Economics, Stockholm University, Department of Economics Downloads View citations (1)
    Also in Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali (2002) Downloads View citations (12)

    See also Journal Article in Rivista italiana degli economisti (2002)

Undated

  1. The Response of Private Consumption to Different Public Spending Categories:VAR Evidence from UK
    EcoMod2010, EcoMod Downloads

Journal Articles

2015

  1. Drivers of demand and supply in the Euro interbank market: the role of “Key Players” during the recent turmoil
    Financial Markets and Portfolio Management, 2015, 29, (3), 207-250 Downloads View citations (1)

2014

  1. Asymmetric information and term lending in the Euro money market: Evidence from the beginning of the turmoil
    The Quarterly Review of Economics and Finance, 2014, 54, (4), 487-499 Downloads

2013

  1. Distortionary tax instruments and implementable monetary policy
    International Review of Economics & Finance, 2013, 25, (C), 219-243 Downloads
    See also Working Paper (2009)
  2. Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds?
    Asia-Pacific Financial Markets, 2013, 20, (4), 383-430 Downloads View citations (1)
  3. Gold and the U.S. dollar: tales from the turmoil
    Quantitative Finance, 2013, 13, (4), 571-582 Downloads View citations (10)
    See also Working Paper (2010)
  4. Hedging Italian Equity Mutual Fund Returns during the Recent Financial Turmoil: A Duration-Dependent Markov-Switching Approach
    Journal of Applied Finance & Banking, 2013, 3, (3), 20 Downloads
  5. The Impact of the 2004 Reform of the Operational Framework of the ECB:Structural GARCH Evidence
    Journal of Finance and Investment Analysis, 2013, 2, (1), 8 Downloads

2012

  1. Convergence and clustering of Tier 1 capital in the European banking sector: a non-linear factor approach
    International Journal of Monetary Economics and Finance, 2012, 5, (2), 210-221 Downloads
  2. Measuring and Modelling the Market Liquidity of Stocks: Methods and Issues
    Journal of Finance and Investment Analysis, 2012, 1, (4), 8 Downloads
  3. Trading directions and the pricing of Euro interbank deposits in the long run
    Applied Economics Letters, 2012, 19, (18), 1827-1839 Downloads View citations (1)
    See also Working Paper (2011)

2011

  1. A welfare perspective on the fiscal–monetary policy mix: The role of alternative fiscal instruments
    Journal of Policy Modeling, 2011, 33, (6), 920-952 Downloads View citations (6)
    See also Working Paper (2010)

2010

  1. Did the turmoil affect money-market segmentation in the Euro area?
    Applied Economics Letters, 2010, 17, (18), 1783-1788 Downloads
  2. Macroeconomic factors and oil futures prices: A data-rich model
    Energy Economics, 2010, 32, (2), 409-417 Downloads View citations (14)
    See also Working Paper (2009)
  3. The sources of volatility transmission in the Euro area money market: from longer maturities to the overnight?
    Applied Economics Letters, 2010, 17, (9), 865-868 Downloads View citations (1)
    See also Working Paper (2008)
  4. Volatility forecasting for crude oil futures
    Applied Economics Letters, 2010, 17, (16), 1587-1599 Downloads View citations (11)
    See also Working Paper (2007)

2009

  1. Fractional integration of inflation rates: a note
    Applied Economics Letters, 2009, 16, (11), 1103-1105 Downloads View citations (4)
  2. Nonlinearity in monetary policy: A reconsideration of the opportunistic approach to disinflation
    Structural Change and Economic Dynamics, 2009, 20, (4), 288-300 Downloads

2008

  1. A note on the conditional correlation between energy prices: Evidence from future markets
    Energy Economics, 2008, 30, (5), 2454-2458 Downloads View citations (6)

2007

  1. Operational Fiscal and Monetary Policy with Staggered Wage and Price Dynamics
    Finnish Economic Papers, 2007, 20, (2), 121-138 Downloads

2006

  1. How reliable are Taylor rules? A view from asymmetry in the U.S. Fed funds rate
    Economics Bulletin, 2006, 5, (14), 1-11 Downloads

2005

  1. Solving Rational-Expectations Models through the Anderson-Moore Algorithm: An Introduction to the Matlab Implementation
    Computational Economics, 2005, 26, (1), 91-106 Downloads View citations (1)

2002

  1. On (Sub)Optimal Monetary Policy Rules under Untied Fiscal Hands
    Rivista italiana degli economisti, 2002, (2), 219-248 Downloads View citations (1)
    See also Working Paper (2002)
 
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