Details about Paolo Zagaglia

Access statistics for papers by Paolo Zagaglia.

Last updated 2013-05-06. Update your information in the RePEc Author Service.

Short-id: pza65

Working Papers

2012

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

2011

6. Equilibrium Selection in a Cashless Economy with Transaction Frictions in the Bond Market
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna View citations (1)
   Also in Working Paper Series, The Rimini Centre for Economic Analysis (2011) View citations (1)
   MPRA Paper, University Library of Munich, Germany (2011) View citations (1)
7. 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 View citations (1)
8. Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method
   Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna
   Also in Papers, arXiv.org (2011)
   Working Paper Series, The Rimini Centre for Economic Analysis (2011)
   MPRA Paper, University Library of Munich, Germany (2011)
9. 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
10. Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run
    Working Paper Series, The Rimini Centre for Economic Analysis
    See also Journal Article in Applied Economics Letters (2012)

2010

11. A welfare perspective on the fiscal-monetary policy mix: The role of alternative fiscal instruments
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna View citations (1)
    See also Journal Article in Journal of Policy Modeling (2011)
12. Gold and the U.S. Dollar: Tales from the Turmoil
    Working Paper Series, The Rimini Centre for Economic Analysis
    Also in MPRA Paper, University Library of Munich, Germany (2010)
13. Informed Trading in the Euro Money Market for Term Lending
    Working Paper Series, The Rimini Centre for Economic Analysis
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (3)
14. 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

2009

15. A Further Look at the 2004 Reform of the Operational Framework of the ECB
    Research Papers in Economics, Stockholm University, Department of Economics
    Also in Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2009)
16. Distortionary tax instruments and implementable monetary policy
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna
    Also in Research Papers in Economics, Stockholm University, Department of Economics (2007) View citations (1)
    See also Journal Article in International Review of Economics & Finance (2013)
17. 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 View citations (1)
18. Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model
    Research Papers in Economics, Stockholm University, Department of Economics View citations (4)
    See also Journal Article in Energy Economics (2010)
19. Monetary Asset Substitution in the Euro Area
    MPRA Paper, University Library of Munich, Germany
20. Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?
    Research Papers in Economics, Stockholm University, Department of Economics
    Also in Research Discussion Papers, Bank of Finland (2008)
21. 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
22. What Drives the Term Structure in the Euro Area? Evidence from a Model with Feedback
    Research Papers in Economics, Stockholm University, Department of Economics View citations (1)

2008

23. 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
    Also in Research Discussion Papers, Bank of Finland (2008)
24. Determinacy of Interest Rate Rules with Bond Transaction Services in a Cashless Economy
    Research Papers in Economics, Stockholm University, Department of Economics View citations (4)
    Also in Research Discussion Papers, Bank of Finland (2008) View citations (1)
25. 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
    See also Journal Article in Applied Economics Letters (2010)
26. The co-movements along the forward curve of natural gas futures: a structural view
    Research Discussion Papers, Bank of Finland View citations (1)

2007

27. Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations
    Research Papers in Economics, Stockholm University, Department of Economics
28. Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
    Research Papers in Economics, Stockholm University, Department of Economics
    Also in Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna (2007)
29. The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model
    Research Papers in Economics, Stockholm University, Department of Economics View citations (2)
30. Volatility Forecasting for Crude Oil Futures
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna View citations (1)
    Also in Research Papers in Economics, Stockholm University, Department of Economics (2007) View citations (1)
    See also Journal Article in Applied Economics Letters (2010)

2006

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

2002

36. Matlab Implementation of the AIM Algorithm: A Beginner's Guide
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali
37. On (Sub) Optimal Monetary Policy Rules under Untied Fiscal Hands
    Research Papers in Economics, Stockholm University, Department of Economics View citations (1)
    Also in Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali (2002) View citations (12)
    See also Journal Article in Rivista Italiana degli Economisti (2002)

Journal Articles

2013

1. Distortionary tax instruments and implementable monetary policy
   International Review of Economics & Finance, 2013, 25, (C), 219-243
   See also Working Paper (2009)

2012

2. Trading directions and the pricing of Euro interbank deposits in the long run
   Applied Economics Letters, 2012, 19, (18), 1827-1839
   See also Working Paper (2011)

2011

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

2010

4. Did the turmoil affect money-market segmentation in the Euro area?
   Applied Economics Letters, 2010, 17, (18), 1783-1788
5. Macroeconomic factors and oil futures prices: A data-rich model
   Energy Economics, 2010, 32, (2), 409-417 View citations (2)
   See also Working Paper (2009)
6. 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
   See also Working Paper (2008)
7. Volatility forecasting for crude oil futures
   Applied Economics Letters, 2010, 17, (16), 1587-1599
   See also Working Paper (2007)

2009

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

2008

10. A note on the conditional correlation between energy prices: Evidence from future markets
    Energy Economics, 2008, 30, (5), 2454-2458 View citations (2)

2007

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

2006

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

2005

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

2002

14. On (Sub) Optimal Monetary Policy Rules under Untied Fiscal Hands
    Rivista Italiana degli Economisti, 2002, 7, (2), 219-248
    Also in Rivista italiana degli economisti, 2002, (2), 219-248 (2002) View citations (1)
    See also Working Paper (2002)