Details about Jean-Yves Gnabo

Access statistics for papers by Jean-Yves Gnabo.

Last updated 2024-10-09. Update your information in the RePEc Author Service.

Short-id: pgn9

Working Papers

2022

1. Assessing the sources of heterogeneity in eurozone response to unconventional monetary policy
   Post-Print, HAL View citations (1)
   See also Journal Article Assessing the sources of heterogeneity in eurozone response to unconventional monetary policy, Applied Economics, Taylor & Francis Journals (2022) View citations (2) (2022)
2. Contagion in the Banking Industry: a Robust-to-Endogeneity Analysis
   Working Papers, HAL View citations (1)

2020

3. Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   See also Journal Article Common short selling and excess comovement: Evidence from a sample of LSE stocks, Journal of Financial Markets, Elsevier (2023) View citations (3) (2023)

2019

4. A multilevel analysis to systemic exposure: insights from local and system-wide information
   Papers, arXiv.org
5. Making a difference: European mutual funds distinctiveness and peers’ performance
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
   See also Journal Article Making a Difference: European Mutual Funds Distinctiveness and Peers’ Performance, Finance, Presses universitaires de Grenoble (2020) (2020)

2018

6. Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science
   Papers, arXiv.org View citations (3)
7. Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (38)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (5)

2017

8. Understanding the decision-making process of sovereign wealth funds: The case of Temasek
   Post-Print, HAL View citations (4)
   Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2016)
   Working Papers, HAL (2016)

2016

9. Assessing the role of interbank network structure in business and financial cycle analysis
   Working Paper Research, National Bank of Belgium View citations (5)
10. Sovereign Wealth Funds’ cross-border investments: assessing the role of country-level drivers and spatial competition
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans View citations (1)
    See also Journal Article Sovereign wealth funds’ cross-border investments: Assessing the role of country-level drivers and spatial competition, Journal of International Money and Finance, Elsevier (2017) View citations (9) (2017)

2015

11. Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (5)
    See also Journal Article Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions, Journal of Financial and Quantitative Analysis, Cambridge University Press (2018) View citations (56) (2018)

2008

12. Interdependencies between Monetary Policy and Foreign Exchange Intervention under Inflation Targeting: The Case of Brazil and the Czech Republic
    WIDER Working Paper Series, World Institute for Development Economic Research (UNU-WIDER) View citations (2)

2006

13. Intervention policy of the BoJ: a unified approach
    DULBEA Working Papers, ULB -- Universite Libre de Bruxelles View citations (32)

Journal Articles

2024

1. Climate litigation and financial markets: A disciplinary effect?
   International Review of Financial Analysis, 2024, 95, (PB) View citations (1)

2023

2. Common short selling and excess comovement: Evidence from a sample of LSE stocks
   Journal of Financial Markets, 2023, 65, (C) View citations (3)
   See also Working Paper Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks, Cambridge Working Papers in Economics (2020) (2020)
3. Corporate lobbying and firm performance variability
   Finance Research Letters, 2023, 58, (PC)
4. Decentralized Autonomous Organizations (DAOs): Catalysts for enhanced market efficiency
   Finance Research Letters, 2023, 58, (PB)
5. Firm performance and the crowd effect in lobbying competition
   Finance Research Letters, 2023, 53, (C) View citations (1)

2022

6. Assessing the sources of heterogeneity in eurozone response to unconventional monetary policy
   Applied Economics, 2022, 54, (48), 5549-5574 View citations (2)
   See also Working Paper Assessing the sources of heterogeneity in eurozone response to unconventional monetary policy, Post-Print (2022) View citations (1) (2022)
7. Monetary policy and portfolio rebalancing: Evidence from European equity mutual funds
   Journal of Financial Stability, 2022, 63, (C) View citations (3)

2020

8. Making a Difference: European Mutual Funds Distinctiveness and Peers’ Performance
   Finance, 2020, 41, (2), 7-51
   See also Working Paper Making a difference: European mutual funds distinctiveness and peers’ performance, LIDAM Discussion Papers CORE (2019) (2019)

2018

9. Effective network inference through multivariate information transfer estimation
   Physica A: Statistical Mechanics and its Applications, 2018, 499, (C), 376-394
10. Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions
    Journal of Financial and Quantitative Analysis, 2018, 53, (3), 1371-1390 View citations (56)
    See also Working Paper Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions, Working Papers ECARES (2015) View citations (5) (2015)

2017

11. Sovereign wealth funds’ cross-border investments: Assessing the role of country-level drivers and spatial competition
    Journal of International Money and Finance, 2017, 76, (C), 68-87 View citations (9)
    See also Working Paper Sovereign Wealth Funds’ cross-border investments: assessing the role of country-level drivers and spatial competition, LEO Working Papers / DR LEO (2016) View citations (1) (2016)

2016

12. Economic policy uncertainty and risk spillovers in the Eurozone
    Journal of International Money and Finance, 2016, 65, (C), 24-45 View citations (94)
13. The importance of conflicts of interest in attributing sovereign credit ratings
    International Review of Law and Economics, 2016, 47, (C), 48-66 View citations (3)

2015

14. Risk management, nonlinearity and aggressiveness in monetary policy: The case of the US Fed
    Journal of Banking & Finance, 2015, 55, (C), 281-294 View citations (18)

2014

15. Assessing the contribution of banks, insurance and other financial services to systemic risk
    Journal of Banking & Finance, 2014, 47, (C), 270-287 View citations (109)
16. System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies
    Journal of International Money and Finance, 2014, 48, (PA), 147-174 View citations (14)
17. The intra-day impact of communication on euro-dollar volatility and jumps
    Journal of International Money and Finance, 2014, 43, (C), 131-154 View citations (34)

2012

18. Do jumps mislead the FX market?
    Quantitative Finance, 2012, 12, (10), 1521-1532 View citations (4)

2009

19. Announcements, financial operations or both? Generalizing central banks' FX reaction functions
    Journal of the Japanese and International Economies, 2009, 23, (4), 367-394 View citations (13)
20. Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (1), 94-111 View citations (14)
21. Foreign-exchange intervention strategies and market expectations: insights from Japan
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (3), 432-446 View citations (11)

2008

22. Foreign Exchange Intervention Policy: With or Without Transparency? The Case of Japan
    Economie Internationale, 2008, (113), 5-34 View citations (1)

Chapters

2024

1. Sovereign Wealth Funds During Crises
   Springer