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Details about Lucia Alessi

Workplace:Joint Research Centre, European Commission, (more information at EDIRC)

Access statistics for papers by Lucia Alessi.

Last updated 2025-02-07. Update your information in the RePEc Author Service.

Short-id: pal837


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Working Papers

2024

  1. Quantitative assessment of the financial materiality of climate physical risks: a case study
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission Downloads
  2. Towards a Framework for a New Research Ecosystem
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission Downloads
    Also in Papers, arXiv.org (2023) Downloads

2022

  1. A sustainability transition on the move? Evidence based on the disconnect from market fundamentals
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission Downloads
  2. Accounting for climate transition risk in banks' capital requirements
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission Downloads View citations (2)
    See also Journal Article Accounting for climate transition risk in banks’ capital requirements, Journal of Financial Stability, Elsevier (2024) Downloads View citations (1) (2024)

2021

  1. Over with carbon? Investors' reaction to the Paris Agreement and the US withdrawal
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission Downloads View citations (7)
    See also Journal Article Over with carbon? Investors’ reaction to the Paris Agreement and the US withdrawal, Journal of Financial Stability, Elsevier (2024) Downloads View citations (2) (2024)
  2. Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission Downloads View citations (4)
    See also Journal Article Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios, International Review of Financial Analysis, Elsevier (2022) Downloads View citations (18) (2022)
  3. When do investors go green? Evidence from a time-varying asset-pricing model
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission Downloads View citations (3)
    See also Journal Article When do investors go green? Evidence from a time-varying asset-pricing model, International Review of Financial Analysis, Elsevier (2023) Downloads View citations (1) (2023)

2020

  1. The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads View citations (4)
    Also in JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission (2020) Downloads View citations (4)

2019

  1. Anatomy of a Sovereign Debt Crisis: CDS Spreads and Real-Time Macroeconomic Data
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission Downloads View citations (2)
  2. What drives bank coverage ratios: Evidence from the euro area
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission Downloads

2018

  1. The resilience of EU Member States to the financial and economic crisis. What are the characteristics of resilient behaviour?
    JRC Research Reports, Joint Research Centre Downloads View citations (7)

2017

  1. The European Deposit Insurance Scheme: Assessing risk absorption via SYMBOL
    JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission Downloads View citations (3)

2016

  1. The response of asset prices to monetary policy shocks: stronger than thought
    Working Paper Series, European Central Bank Downloads View citations (8)
    See also Journal Article The response of asset prices to monetary policy shocks: Stronger than thought, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) Downloads View citations (23) (2019)

2015

  1. Comparing different early warning systems: Results from a horse race competition among members of the Macro-prudential Research Network
    MPRA Paper, University Library of Munich, Germany Downloads View citations (31)

2014

  1. Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences
    Working Paper Series, European Central Bank Downloads View citations (83)
    See also Journal Article Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) Downloads View citations (83) (2014)
  2. Identifying excessive credit growth and leverage
    Working Paper Series, European Central Bank Downloads View citations (42)
    See also Journal Article Identifying excessive credit growth and leverage, Journal of Financial Stability, Elsevier (2018) Downloads View citations (116) (2018)
  3. Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options
    ESRB Occasional Paper Series, European Systemic Risk Board Downloads View citations (88)

2009

  1. 'Real time'early warning indicators for costly asset price boom/bust cycles: a role for global liquidity
    Working Paper Series, European Central Bank Downloads View citations (153)
  2. A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (13)
  3. Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
    Working Paper Series, European Central Bank Downloads View citations (19)
  4. Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (17)
  5. The distribution of households consumption-expenditure budget shares
    Working Paper Series, European Central Bank Downloads View citations (4)
    See also Journal Article The distribution of household consumption-expenditure budget shares, Structural Change and Economic Dynamics, Elsevier (2012) Downloads View citations (5) (2012)

2008

  1. A review of nonfundamentalness and identification in structural VAR models
    Working Paper Series, European Central Bank Downloads View citations (8)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) Downloads View citations (10)
  2. A robust criterion for determining the number of static factors in approximate factor models
    Working Paper Series, European Central Bank Downloads View citations (20)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) Downloads View citations (4)
  3. The Distribution of Consumption-Expenditure Budget Shares. Evidence from Italian Households
    Papers on Economics and Evolution, Philipps University Marburg, Department of Geography
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2008) Downloads

2007

  1. On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads
    See also Journal Article ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS, Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd. (2009) Downloads View citations (6) (2009)
  2. On the distributional properties of household consumption expenditures. The case of Italy
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads View citations (4)
    See also Journal Article On the distributional properties of household consumption expenditures: the case of Italy, Empirical Economics, Springer (2010) Downloads View citations (12) (2010)

2006

  1. A Dynamic Factor Analysis of Business Cycle on Firm-Level Data
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads View citations (3)
  2. Dynamic Factor GARCH: Multivariate Volatility Forecast for a Large Number of Series
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads View citations (10)
  3. Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Downloads View citations (4)

Journal Articles

2024

  1. Accounting for climate transition risk in banks’ capital requirements
    Journal of Financial Stability, 2024, 73, (C) Downloads View citations (1)
    See also Working Paper Accounting for climate transition risk in banks' capital requirements, JRC Working Papers in Economics and Finance (2022) Downloads View citations (2) (2022)
  2. Accounting for the EU Green Taxonomy: exploring its concept, data and analytics
    Accounting Forum, 2024, 48, (3), 365-373 Downloads
  3. Over with carbon? Investors’ reaction to the Paris Agreement and the US withdrawal
    Journal of Financial Stability, 2024, 71, (C) Downloads View citations (2)
    See also Working Paper Over with carbon? Investors' reaction to the Paris Agreement and the US withdrawal, JRC Working Papers in Economics and Finance (2021) Downloads View citations (7) (2021)

2023

  1. Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads*
    Journal of Financial Econometrics, 2023, 21, (5), 1728-1758 Downloads
  2. When do investors go green? Evidence from a time-varying asset-pricing model
    International Review of Financial Analysis, 2023, 90, (C) Downloads View citations (1)
    See also Working Paper When do investors go green? Evidence from a time-varying asset-pricing model, JRC Working Papers in Economics and Finance (2021) Downloads View citations (3) (2021)

2022

  1. Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios
    International Review of Financial Analysis, 2022, 84, (C) Downloads View citations (18)
    See also Working Paper Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios, JRC Working Papers in Economics and Finance (2021) Downloads View citations (4) (2021)

2021

  1. Cover your assets: non-performing loans and coverage ratios in Europe
    (Bias-corrected matching estimators for average treatment effects)
    Economic Policy, 2021, 36, (108), 685-733 Downloads View citations (1)
  2. Erratum to: Cover your assets: non-performing loans and coverage ratios in Europe
    Economic Policy, 2021, 36, (108), 775-775 Downloads
  3. Travelling down the green brick road: a status quo assessment of the EU taxonomy
    Macroprudential Bulletin, 2021, 15 Downloads View citations (2)
  4. What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures
    Journal of Financial Stability, 2021, 54, (C) Downloads View citations (65)

2020

  1. The Resilience of EU Member States to the Financial and Economic Crisis
    Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2020, 148, (2), 569-598 Downloads View citations (9)

2019

  1. The response of asset prices to monetary policy shocks: Stronger than thought
    Journal of Applied Econometrics, 2019, 34, (5), 661-672 Downloads View citations (23)
    See also Working Paper The response of asset prices to monetary policy shocks: stronger than thought, Working Paper Series (2016) Downloads View citations (8) (2016)

2018

  1. Identifying excessive credit growth and leverage
    Journal of Financial Stability, 2018, 35, (C), 215-225 Downloads View citations (116)
    Also in Financial Stability Review, 2014, 1 (2014) Downloads View citations (44)

    See also Working Paper Identifying excessive credit growth and leverage, Working Paper Series (2014) Downloads View citations (42) (2014)

2014

  1. Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences
    Journal of Business & Economic Statistics, 2014, 32, (4), 483-500 Downloads View citations (83)
    See also Working Paper Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences, Working Paper Series (2014) Downloads View citations (83) (2014)
  2. On policymakers’ loss functions and the evaluation of early warning systems: Comment
    Economics Letters, 2014, 124, (3), 338-340 Downloads View citations (8)
  3. Rejoinder
    Journal of Business & Economic Statistics, 2014, 32, (4), 514-515 Downloads

2013

  1. The common component of firm growth
    Structural Change and Economic Dynamics, 2013, 26, (C), 73-82 Downloads View citations (3)

2012

  1. The distribution of household consumption-expenditure budget shares
    Structural Change and Economic Dynamics, 2012, 23, (1), 69-91 Downloads View citations (5)
    See also Working Paper The distribution of households consumption-expenditure budget shares, Working Paper Series (2009) Downloads View citations (4) (2009)

2011

  1. Non‐Fundamentalness in Structural Econometric Models: A Review
    International Statistical Review, 2011, 79, (1), 16-47 View citations (45)
  2. Quasi real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity
    European Journal of Political Economy, 2011, 27, (3), 520-533 Downloads View citations (291)

2010

  1. Improved penalization for determining the number of factors in approximate factor models
    Statistics & Probability Letters, 2010, 80, (23-24), 1806-1813 Downloads View citations (209)
  2. On the distributional properties of household consumption expenditures: the case of Italy
    Empirical Economics, 2010, 38, (3), 717-741 Downloads View citations (12)
    See also Working Paper On the distributional properties of household consumption expenditures. The case of Italy, LEM Papers Series (2007) Downloads View citations (4) (2007)

2009

  1. Global liquidity as an early warning indicator for asset price boom/bust cycles
    Research Bulletin, 2009, 8, 7-9 Downloads View citations (115)
  2. ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS
    Advances in Complex Systems (ACS), 2009, 12, (02), 157-167 Downloads View citations (6)
    See also Working Paper On approximating the distributions of goodness-of-fit test statistics based on the empirical distribution function: The case of unknown parameters, LEM Papers Series (2007) Downloads (2007)

Chapters

2024

  1. Resilience in the EU Banking Sector and Beyond
    Chapter 9 in Banking Resilience and Global Financial Stability, 2024, pp 227-268 Downloads

2022

  1. Financial Regulation for Sustainable Finance in the European Landscape
    Palgrave Macmillan
  2. Sustainable Growth in the European Framework and the Role of Finance
    Palgrave Macmillan
 
Page updated 2025-04-01