EconPapers    
Economics at your fingertips  
 

Details about Marcello Pericoli

E-mail:
Workplace:Banca d'Italia (Bank of Italy), (more information at EDIRC)

Access statistics for papers by Marcello Pericoli.

Last updated 2019-01-22. Update your information in the RePEc Author Service.

Short-id: ppe177


Jump to Journal Articles

Working Papers

2018

  1. Macroeconomics determinants of the correlation between stocks and bonds
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
  2. Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)

2017

  1. Monetary policy surprises over time
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (2)
    See also Journal Article in Quarterly Journal of Finance (QJF) (2018)

2015

  1. Decomposing euro area sovereign spreads: credit, liquidity and convenience
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)
  2. Forecaster heterogeneity, surprises and financial markets
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (2)
  3. Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (3)

2014

  1. Fiscal Policy and Macroeconomic Imbalances
    Workshop and Conferences, Bank of Italy, Economic Research and International Relations Area Downloads View citations (2)

2013

  1. Macroeconomic and monetary policy surprises and the term structure of interest rates
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
  2. Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (100)
    See also Journal Article in International Finance (2013)

2012

  1. Expected inflation and inflation risk premium in the euro area and in the United States
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
  2. Real term structure and inflation compensation in the euro area
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)
    See also Journal Article in International Journal of Central Banking (2014)

2009

  1. Bond risk premia, macroeconomic fundamentals and the exchange rate
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2008) Downloads

    See also Journal Article in International Review of Economics & Finance (2012)

2007

  1. A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors
    MPRA Paper, University Library of Munich, Germany Downloads

2006

  1. Canonical term-structure models with observable factors and the dynamics of bond risk premiums
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (5)
    See also Journal Article in Journal of Money, Credit and Banking (2008)
  2. The CAPM and the risk appetite index; theoretical differences and empirical similarities
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (2)

2005

  1. Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (2)

2002

  1. Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (37)
    See also Journal Article in Journal of International Money and Finance (2005)

2001

  1. A Primer on Financial Contagion
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (20)
    See also Journal Article in Journal of Economic Surveys (2003)
  2. Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test
    Working Papers, Economic Growth Center, Yale University Downloads View citations (28)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2001) Downloads View citations (51)
    Center Discussion Papers, Yale University, Economic Growth Center (2001) Downloads View citations (36)

2000

  1. Stock Values and Fundamentals: Link or Irrationality?
    Working Papers, Banca Italia - Servizio di Studi
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2000) Downloads View citations (2)

1999

  1. The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (3)
    See also Journal Article in Economic Modelling (2002)

1992

  1. Single Market Emu and Widening. Responses to Three Institutional Shocks in the European Community
    Department of Economics Working Papers, Department of Economics, University of Trento, Italia

Journal Articles

2018

  1. Monetary Policy Surprises over Time
    Quarterly Journal of Finance (QJF), 2018, 08, (01), 1-60 Downloads View citations (2)
    See also Working Paper (2017)

2014

  1. Real Term Structure and Inflation Compensation in the Euro Area
    International Journal of Central Banking, 2014, 10, (1), 1-42 Downloads View citations (2)
    See also Working Paper (2012)

2013

  1. Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis
    International Finance, 2013, 16, (2), 131-160 Downloads View citations (73)
    See also Working Paper (2013)

2012

  1. Bond risk premia, macroeconomic fundamentals and the exchange rate
    International Review of Economics & Finance, 2012, 22, (1), 42-65 Downloads View citations (9)
    See also Working Paper (2009)

2009

  1. Capital Asset Pricing Model and the Risk Appetite Index: Theoretical Differences, Empirical Similarities and Implementation Problems*
    International Finance, 2009, 12, (2), 123-150 Downloads

2008

  1. Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia
    Journal of Money, Credit and Banking, 2008, 40, (7), 1471-1488 Downloads View citations (24)
    See also Working Paper (2006)

2005

  1. 'Some contagion, some interdependence': More pitfalls in tests of financial contagion
    Journal of International Money and Finance, 2005, 24, (8), 1177-1199 Downloads View citations (291)
    See also Working Paper (2002)

2003

  1. A Primer on Financial Contagion
    Journal of Economic Surveys, 2003, 17, (4), 571-608 Downloads View citations (272)
    See also Working Paper (2001)

2002

  1. The impact of news on the exchange rate of the lira and long-term interest rates
    Economic Modelling, 2002, 19, (4), 611-639 Downloads View citations (15)
    See also Working Paper (1999)
 
Page updated 2019-08-17