Details about Lucia Alessi
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
- 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
- Towards a Framework for a New Research Ecosystem
JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission 
Also in Papers, arXiv.org (2023)
2022
- 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
- Accounting for climate transition risk in banks' capital requirements
JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission View citations (2)
See also Journal Article Accounting for climate transition risk in banks’ capital requirements, Journal of Financial Stability, Elsevier (2024) View citations (1) (2024)
2021
- 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 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) View citations (2) (2024)
- 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 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) View citations (18) (2022)
- 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 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) View citations (1) (2023)
2020
- The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices
Working Papers, University of Milano-Bicocca, Department of Economics View citations (4)
Also in JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission (2020) View citations (4)
2019
- 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 View citations (2)
- What drives bank coverage ratios: Evidence from the euro area
JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission
2018
- 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 View citations (7)
2017
- The European Deposit Insurance Scheme: Assessing risk absorption via SYMBOL
JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission View citations (3)
2016
- The response of asset prices to monetary policy shocks: stronger than thought
Working Paper Series, European Central Bank 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) View citations (23) (2019)
2015
- 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 (31)
2014
- 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 (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) View citations (83) (2014)
- Identifying excessive credit growth and leverage
Working Paper Series, European Central Bank View citations (42)
See also Journal Article Identifying excessive credit growth and leverage, Journal of Financial Stability, Elsevier (2018) View citations (116) (2018)
- Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options
ESRB Occasional Paper Series, European Systemic Risk Board View citations (88)
2009
- '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 (153)
- A Robust Criterion for Determining the Number of Factors in Approximate Factor Models
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (13)
- Estimation and forecasting in large datasets with conditionally heteroskedastic dynamic common factors
Working Paper Series, European Central Bank View citations (19)
- Forecasting Large Datasets with Conditionally Heteroskedastic Dynamic Common Factors
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (17)
- The distribution of households consumption-expenditure budget shares
Working Paper Series, European Central Bank View citations (4)
See also Journal Article The distribution of household consumption-expenditure budget shares, Structural Change and Economic Dynamics, Elsevier (2012) View citations (5) (2012)
2008
- A review of nonfundamentalness and identification in structural VAR models
Working Paper Series, European Central Bank View citations (8)
Also in LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2007) View citations (10)
- 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)
- 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
- 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 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) View citations (6) (2009)
- 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 On the distributional properties of household consumption expenditures: the case of Italy, Empirical Economics, Springer (2010) View citations (12) (2010)
2006
- 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)
- 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)
- 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
2024
- Accounting for climate transition risk in banks’ capital requirements
Journal of Financial Stability, 2024, 73, (C) View citations (1)
See also Working Paper Accounting for climate transition risk in banks' capital requirements, JRC Working Papers in Economics and Finance (2022) View citations (2) (2022)
- Accounting for the EU Green Taxonomy: exploring its concept, data and analytics
Accounting Forum, 2024, 48, (3), 365-373
- Over with carbon? Investors’ reaction to the Paris Agreement and the US withdrawal
Journal of Financial Stability, 2024, 71, (C) 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) View citations (7) (2021)
2023
- Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads*
Journal of Financial Econometrics, 2023, 21, (5), 1728-1758
- When do investors go green? Evidence from a time-varying asset-pricing model
International Review of Financial Analysis, 2023, 90, (C) 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) View citations (3) (2021)
2022
- Two sides of the same coin: Green Taxonomy alignment versus transition risk in financial portfolios
International Review of Financial Analysis, 2022, 84, (C) 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) View citations (4) (2021)
2021
- 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 View citations (1)
- Erratum to: Cover your assets: non-performing loans and coverage ratios in Europe
Economic Policy, 2021, 36, (108), 775-775
- Travelling down the green brick road: a status quo assessment of the EU taxonomy
Macroprudential Bulletin, 2021, 15 View citations (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 (65)
2020
- 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 (9)
2019
- The response of asset prices to monetary policy shocks: Stronger than thought
Journal of Applied Econometrics, 2019, 34, (5), 661-672 View citations (23)
See also Working Paper The response of asset prices to monetary policy shocks: stronger than thought, Working Paper Series (2016) View citations (8) (2016)
2018
- Identifying excessive credit growth and leverage
Journal of Financial Stability, 2018, 35, (C), 215-225 View citations (116)
Also in Financial Stability Review, 2014, 1 (2014) View citations (44)
See also Working Paper Identifying excessive credit growth and leverage, Working Paper Series (2014) View citations (42) (2014)
2014
- 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 (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) View citations (83) (2014)
- On policymakers’ loss functions and the evaluation of early warning systems: Comment
Economics Letters, 2014, 124, (3), 338-340 View citations (8)
- Rejoinder
Journal of Business & Economic Statistics, 2014, 32, (4), 514-515
2013
- The common component of firm growth
Structural Change and Economic Dynamics, 2013, 26, (C), 73-82 View citations (3)
2012
- The distribution of household consumption-expenditure budget shares
Structural Change and Economic Dynamics, 2012, 23, (1), 69-91 View citations (5)
See also Working Paper The distribution of households consumption-expenditure budget shares, Working Paper Series (2009) View citations (4) (2009)
2011
- Non‐Fundamentalness in Structural Econometric Models: A Review
International Statistical Review, 2011, 79, (1), 16-47 View citations (45)
- 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 (291)
2010
- Improved penalization for determining the number of factors in approximate factor models
Statistics & Probability Letters, 2010, 80, (23-24), 1806-1813 View citations (209)
- 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 On the distributional properties of household consumption expenditures. The case of Italy, LEM Papers Series (2007) View citations (4) (2007)
2009
- Global liquidity as an early warning indicator for asset price boom/bust cycles
Research Bulletin, 2009, 8, 7-9 View citations (115)
- 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 (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) (2007)
Chapters
2024
- Resilience in the EU Banking Sector and Beyond
Chapter 9 in Banking Resilience and Global Financial Stability, 2024, pp 227-268
2022
- Financial Regulation for Sustainable Finance in the European Landscape
Palgrave Macmillan
- Sustainable Growth in the European Framework and the Role of Finance
Palgrave Macmillan
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