Details about Piergiorgio Alessandri

Access statistics for papers by Piergiorgio Alessandri.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pal407

Working Papers

2022

1. The macroeconomic cost of climate volatility
   Papers, arXiv.org View citations (2)
   Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2022)

2021

2. Financial crises, macroprudential policy and the reliability of credit-to-GDP gaps
   ESRB Working Paper Series, European Systemic Risk Board
   Also in Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area (2020) View citations (1)
   See also Journal Article in IMF Economic Review (2022)
3. The Real Effects of Financial Uncertainty Shocks: A Daily Identification Approach
   Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. View citations (2)
   Also in Working Papers, Red Nacional de Investigadores en Economía (RedNIE) (2021) View citations (2)

2020

4. Uncertainty matters: evidence from a high-frequency identification strategy
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (7)

2019

5. Financial Conditions and 'Growth at Risk' in Italy
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (6)

2017

6. Bank lending in uncertain times
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (19)
   Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2017) View citations (16)
   See also Journal Article in European Economic Review (2020)
7. Non-performing loans and the supply of bank credit: evidence from Italy
   Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (29)
8. Online Appendix to "Financial conditions and density forecasts for US output and inflation"
   Online Appendices, Review of Economic Dynamics View citations (45)
   See also Journal Article in Review of Economic Dynamics (2017)
9. The financial stability dark side of monetary policy
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (5)
   Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2016) View citations (2)

2015

10. A note on the implementation of the countercyclical capital buffer in Italy
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (19)
11. Prudential policy at times of stagnation: a view from the trenches
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (11)
12. Tracking banks' systemic importance before and after the crisis
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (2)
    See also Journal Article in International Finance (2015)

2014

13. Everything you always wanted to know about systemic importance (but were afraid to ask)
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (1)
14. Financial Conditions and Density Forecasts for US Output and Inflation
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (18)
    Also in CReMFi Discussion Papers, CReMFi, School of Economics and Finance, QMUL (2014) View citations (20)
    Joint Research Papers, Centre for Central Banking Studies, Bank of England (2013) View citations (3)
    See also Journal Article in Review of Economic Dynamics (2017)
15. Financial Regimes and Uncertainty Shocks
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (39)
    Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2014) View citations (41)
    See also Journal Article in Journal of Monetary Economics (2019)
16. Financial indicators and density forecasts for US output and inflation
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (7)
17. Shadow banks and macroeconomic instability
    Bank of England working papers, Bank of England View citations (11)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) View citations (23)
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2013) View citations (10)
    See also Journal Article in Journal of Money, Credit and Banking (2017)
18. Simple banking: profitability and the yield curve
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (6)
    Also in Bank of England working papers, Bank of England (2012) View citations (11)
    See also Journal Article in Journal of Money, Credit and Banking (2015)

2010

19. An economic capital model integrating credit and interest rate risk in the banking book
    Bank of England working papers, Bank of England View citations (41)
    Also in Working Paper Series, European Central Bank (2009) View citations (6)
    See also Journal Article in Journal of Banking & Finance (2010)

2009

20. Funding Liquidity Risk in a Quantitative Model of Systemic Stability
    Working Papers Central Bank of Chile, Central Bank of Chile View citations (129)
    Also in Bank of England working papers, Bank of England (2009) View citations (101)
    See also Chapter (2011)

2004

21. Aggregate Consumption and the Stock Market: Should We Worry about Non-linear Wealth Effects?
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics

2000

22. European and Euro-meditterranean Agreements: same simulation analysis on the effects of the EU trade policy
    KITeS Working Papers, KITeS, Centre for Knowledge, Internationalization and Technology Studies, Universita' Bocconi, Milano, Italy View citations (4)

Journal Articles

2022

1. Financial Crises, Macroprudential Policy and the Reliability of Credit-to-GDP Gaps
   IMF Economic Review, 2022, 70, (4), 625-667
   See also Working Paper (2021)

2020

2. Bank lending in uncertain times
   European Economic Review, 2020, 128, (C) View citations (26)
   See also Working Paper (2017)

2019

3. Financial regimes and uncertainty shocks
   Journal of Monetary Economics, 2019, 101, (C), 31-46 View citations (109)
   See also Working Paper (2014)

2017

4. Financial conditions and density forecasts for US output and inflation
   Review of Economic Dynamics, 2017, 24, 66-78 View citations (55)
   See also Software Item (2017)
   Working Paper (2017)
   Working Paper (2014)
5. Shadow Banks and Macroeconomic Instability
   Journal of Money, Credit and Banking, 2017, 49, (7), 1483-1516 View citations (33)
   See also Working Paper (2014)

2015

6. Simple Banking: Profitability and the Yield Curve
   Journal of Money, Credit and Banking, 2015, 47, (1), 143-175 View citations (103)
   See also Working Paper (2014)
7. Tracking Banks’ Systemic Importance Before and After the Crisis
   International Finance, 2015, 18, (2), 157-186 View citations (4)
   See also Working Paper (2015)

2010

8. An economic capital model integrating credit and interest rate risk in the banking book
   Journal of Banking & Finance, 2010, 34, (4), 730-742 View citations (40)
   See also Working Paper (2010)

2009

9. Towards a Framework for Quantifying Systemic Stability
   International Journal of Central Banking, 2009, 5, (3), 47-81 View citations (32)

2008

10. Miller and Modigliani, Predictive Return Regressions and Cointegration*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (2), 181-207 View citations (1)

2006

11. Bubbles and fads in the stock market: another look at the experience of the US
    International Journal of Finance & Economics, 2006, 11, (3), 195-203 View citations (8)

Chapters

2011

1. Banking on the State
   Chapter 13 in The International Financial Crisis Have the Rules of Finance Changed?, 2011, pp 169-195 View citations (6)
2. Funding Liquidity Risk in a Quantitative Model of Systemic Stability
   Chapter 12 in Financial Stability, Monetary Policy, and Central Banking, 2011, vol. 15, pp 371-410 View citations (7)
   See also Working Paper (2009)

Software Items

2017

1. Code and data files for "Financial conditions and density forecasts for US output and inflation"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article in Review of Economic Dynamics (2017)