Details about Piergiorgio Alessandri

Access statistics for papers by Piergiorgio Alessandri.

Last updated 2025-04-07. Update your information in the RePEc Author Service.

Short-id: pal407

Working Papers

2023

1. Are the Effects of Uncertainty Shocks Big or Small?
   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) (2023) View citations (7)
   See also Journal Article Are the effects of uncertainty shocks big or small?, European Economic Review, Elsevier (2023) View citations (7) (2023)
2. Decomposing the monetary policy multiplier
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2023) View citations (3)
3. Natural gas and the macroeconomy: not all energy shocks are alike
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (7)

2022

4. The macroeconomic cost of climate volatility
   Papers, arXiv.org View citations (7)
   Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2022) View citations (5)
   Working Papers, Queen Mary University of London, School of Economics and Finance (2021) View citations (9)

2021

5. 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 Financial Crises, Macroprudential Policy and the Reliability of Credit-to-GDP Gaps, IMF Economic Review, Palgrave Macmillan (2022) View citations (3) (2022)
6. The Real Effects of Financial Uncertainty Shocks: A Daily Identification Approach
   Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. View citations (3)
   Also in Working Papers, Red Nacional de Investigadores en Economía (RedNIE) (2021) View citations (3)

2020

7. 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

8. 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 (11)

2017

9. Bank lending in uncertain times
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (20)
   Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2017) View citations (17)
   See also Journal Article Bank lending in uncertain times, European Economic Review, Elsevier (2020) View citations (45) (2020)
10. 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 (39)
11. Online Appendix to "Financial conditions and density forecasts for US output and inflation"
    Online Appendices, Review of Economic Dynamics View citations (64)
    See also Journal Article Financial conditions and density forecasts for US output and inflation, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2017) View citations (87) (2017)
12. 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 (6)
    Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2016) View citations (2)

2015

13. 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 (24)
14. 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 (12)
15. 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 Tracking Banks’ Systemic Importance Before and After the Crisis, International Finance, Wiley Blackwell (2015) View citations (4) (2015)

2014

16. 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)
17. Financial Conditions and Density Forecasts for US Output and Inflation
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (19)
    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 (4)
    See also Journal Article Financial conditions and density forecasts for US output and inflation, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2017) View citations (87) (2017)
18. Financial Regimes and Uncertainty Shocks
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (40)
    Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2014) View citations (42)
    See also Journal Article Financial regimes and uncertainty shocks, Journal of Monetary Economics, Elsevier (2019) View citations (181) (2019)
19. 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)
20. Shadow banks and macroeconomic instability
    Bank of England working papers, Bank of England View citations (11)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2013) View citations (11)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2013) View citations (23)
    See also Journal Article Shadow Banks and Macroeconomic Instability, Journal of Money, Credit and Banking, Blackwell Publishing (2017) View citations (46) (2017)
21. 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 Simple Banking: Profitability and the Yield Curve, Journal of Money, Credit and Banking, Blackwell Publishing (2015) View citations (129) (2015)

2010

22. An economic capital model integrating credit and interest rate risk in the banking book
    Bank of England working papers, Bank of England View citations (43)
    Also in Working Paper Series, European Central Bank (2009) View citations (6)
    See also Journal Article An economic capital model integrating credit and interest rate risk in the banking book, Journal of Banking & Finance, Elsevier (2010) View citations (43) (2010)

2009

23. Funding Liquidity Risk in a Quantitative Model of Systemic Stability
    Working Papers Central Bank of Chile, Central Bank of Chile View citations (130)
    Also in Bank of England working papers, Bank of England (2009) View citations (102)
    See also Chapter Funding Liquidity Risk in a Quantitative Model of Systemic Stability, Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile (2011) View citations (8) (2011)

2004

24. 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

25. 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 (5)

Journal Articles

2023

1. Are the effects of uncertainty shocks big or small?
   European Economic Review, 2023, 158, (C) View citations (7)
   See also Working Paper Are the Effects of Uncertainty Shocks Big or Small?, Documentos de Trabajo (2023) View citations (2) (2023)

2022

2. Financial Crises, Macroprudential Policy and the Reliability of Credit-to-GDP Gaps
   IMF Economic Review, 2022, 70, (4), 625-667 View citations (3)
   See also Working Paper Financial crises, macroprudential policy and the reliability of credit-to-GDP gaps, ESRB Working Paper Series (2021) (2021)

2020

3. Bank lending in uncertain times
   European Economic Review, 2020, 128, (C) View citations (45)
   See also Working Paper Bank lending in uncertain times, Temi di discussione (Economic working papers) (2017) View citations (20) (2017)

2019

4. Financial regimes and uncertainty shocks
   Journal of Monetary Economics, 2019, 101, (C), 31-46 View citations (181)
   See also Working Paper Financial Regimes and Uncertainty Shocks, Working Papers (2014) View citations (40) (2014)

2017

5. Financial conditions and density forecasts for US output and inflation
   Review of Economic Dynamics, 2017, 24, 66-78 View citations (87)
   See also Working Paper Online Appendix to "Financial conditions and density forecasts for US output and inflation", Online Appendices (2017) View citations (64) (2017)
   Working Paper Financial Conditions and Density Forecasts for US Output and Inflation, Working Papers (2014) View citations (19) (2014)
   Software Item Code and data files for "Financial conditions and density forecasts for US output and inflation", Computer Codes (2017) (2017)
6. Shadow Banks and Macroeconomic Instability
   Journal of Money, Credit and Banking, 2017, 49, (7), 1483-1516 View citations (46)
   See also Working Paper Shadow banks and macroeconomic instability, Bank of England working papers (2014) View citations (11) (2014)

2015

7. Simple Banking: Profitability and the Yield Curve
   Journal of Money, Credit and Banking, 2015, 47, (1), 143-175 View citations (129)
   See also Working Paper Simple banking: profitability and the yield curve, Temi di discussione (Economic working papers) (2014) View citations (6) (2014)
8. Tracking Banks’ Systemic Importance Before and After the Crisis
   International Finance, 2015, 18, (2), 157-186 View citations (4)
   See also Working Paper Tracking banks' systemic importance before and after the crisis, Questioni di Economia e Finanza (Occasional Papers) (2015) View citations (2) (2015)

2010

9. 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 (43)
   See also Working Paper An economic capital model integrating credit and interest rate risk in the banking book, Bank of England working papers (2010) View citations (43) (2010)

2009

10. Towards a Framework for Quantifying Systemic Stability
    International Journal of Central Banking, 2009, 5, (3), 47-81 View citations (34)

2008

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

2006

12. 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 (8)
   See also Working Paper Funding Liquidity Risk in a Quantitative Model of Systemic Stability, Central Bank of Chile (2009) View citations (130) (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 Financial conditions and density forecasts for US output and inflation, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2017) View citations (87) (2017)