Details about Lucia Alessi

Access statistics for papers by Lucia Alessi.

Last updated 2022-01-21. Update your information in the RePEc Author Service.

Short-id: pal837

Working Papers

2021

1. Over with carbon? Investors' reaction to the Paris Agreement and the US withdrawal
   Working Papers, Joint Research Centre, European Commission View citations (2)
2. Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios
   Working Papers, Joint Research Centre, European Commission
3. When do investors go green? Evidence from a time-varying asset-pricing model
   Working Papers, Joint Research Centre, European Commission View citations (2)

2020

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

2019

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

2018

7. 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 (Seville site) View citations (5)

2017

8. The European Deposit Insurance Scheme: Assessing risk absorption via SYMBOL
   Working Papers, Joint Research Centre, European Commission View citations (3)

2016

9. The response of asset prices to monetary policy shocks: stronger than thought
   Working Paper Series, European Central Bank View citations (7)
   See also Journal Article in Journal of Applied Econometrics (2019)

2015

10. 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 View citations (28)

2014

11. 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 View citations (73)
    See also Journal Article in Journal of Business & Economic Statistics (2014)
12. Identifying excessive credit growth and leverage
    Working Paper Series, European Central Bank View citations (42)
    See also Journal Article in Journal of Financial Stability (2018)
13. Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options
    ESRB Occasional Paper Series, European Systemic Risk Board View citations (79)

2009

14. 'Real time'early warning indicators for costly asset price boom/bust cycles: a role for global liquidity
    Working Paper Series, European Central Bank View citations (107)
15. A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (12)
16. Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
    Working Paper Series, European Central Bank View citations (17)
17. Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (17)
18. The distribution of households consumption-expenditure budget shares
    Working Paper Series, European Central Bank View citations (4)
    See also Journal Article in Structural Change and Economic Dynamics (2012)

2008

19. A review of nonfundamentalness and identification in structural VAR models
    Working Paper Series, European Central Bank View citations (7)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) View citations (10)
20. A robust criterion for determining the number of static factors in approximate factor models
    Working Paper Series, European Central Bank View citations (20)
    Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) View citations (4)
21. 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)

2007

22. 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
    See also Journal Article in Advances in Complex Systems (ACS) (2009)
23. 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 View citations (4)
    See also Journal Article in Empirical Economics (2010)

2006

24. 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 View citations (3)
25. 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 View citations (10)
26. 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 View citations (4)

Journal Articles

2021

1. Travelling down the green brick road: a status quo assessment of the EU taxonomy
   Macroprudential Bulletin, 2021, 15 View citations (1)
2. What greenium matters in the stock market? The role of greenhouse gas emissions and environmental disclosures
   Journal of Financial Stability, 2021, 54, (C) View citations (12)

2020

3. 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 View citations (4)

2019

4. The response of asset prices to monetary policy shocks: Stronger than thought
   Journal of Applied Econometrics, 2019, 34, (5), 661-672 View citations (15)
   See also Working Paper (2016)

2018

5. Identifying excessive credit growth and leverage
   Journal of Financial Stability, 2018, 35, (C), 215-225 View citations (73)
   Also in Financial Stability Review, 2014, 1 (2014) View citations (44)
   See also Working Paper (2014)

2014

6. 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 View citations (73)
   See also Working Paper (2014)
7. On policymakers’ loss functions and the evaluation of early warning systems: Comment
   Economics Letters, 2014, 124, (3), 338-340 View citations (8)
8. Rejoinder
   Journal of Business & Economic Statistics, 2014, 32, (4), 514-515

2013

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

2012

10. The distribution of household consumption-expenditure budget shares
    Structural Change and Economic Dynamics, 2012, 23, (1), 69-91 View citations (2)
    See also Working Paper (2009)

2011

11. Non‐Fundamentalness in Structural Econometric Models: A Review
    International Statistical Review, 2011, 79, (1), 16-47 View citations (40)
12. 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 View citations (267)

2010

13. Improved penalization for determining the number of factors in approximate factor models
    Statistics & Probability Letters, 2010, 80, (23-24), 1806-1813 View citations (196)
14. On the distributional properties of household consumption expenditures: the case of Italy
    Empirical Economics, 2010, 38, (3), 717-741 View citations (12)
    See also Working Paper (2007)

2009

15. Global liquidity as an early warning indicator for asset price boom/bust cycles
    Research Bulletin, 2009, 8, 7-9 View citations (115)
16. 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 View citations (4)
    See also Working Paper (2007)