Details about Marcello Pericoli

Access statistics for papers by Marcello Pericoli.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: ppe177

Working Papers

2022

1. An analysis of objective inflation expectations and inflation risk premia
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (5)
2. Sovereign spreads and economic fundamentals: an econometric analysis
   Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (3)

2019

3. An assessment of recent trends in market-based expected iflation in the euro area
   Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (2)

2018

4. Macroeconomics determinants of the correlation between stocks and bonds
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (5)
5. 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 View citations (3)
   See also Journal Article Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models*, Journal of Financial Econometrics, Oxford University Press (2022) (2022)

2017

6. Monetary policy surprises over time
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (6)
   See also Journal Article Monetary Policy Surprises over Time, Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd. (2018) View citations (1) (2018)

2015

7. Decomposing euro area sovereign spreads: credit, liquidity and convenience
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (5)
8. Forecaster heterogeneity, surprises and financial markets
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (5)
9. 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 View citations (8)

2014

10. Fiscal Policy and Macroeconomic Imbalances
    Workshop and Conferences, Bank of Italy, Economic Research and International Relations Area View citations (3)

2013

11. 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 View citations (1)
12. 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 View citations (130)
    See also Journal Article Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis, International Finance, Wiley Blackwell (2013) View citations (121) (2013)

2012

13. 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 View citations (3)
14. 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 View citations (2)
    See also Journal Article Real Term Structure and Inflation Compensation in the Euro Area, International Journal of Central Banking, International Journal of Central Banking (2014) View citations (6) (2014)

2009

15. Bond risk premia, macroeconomic fundamentals and the exchange rate
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (2)
    See also Journal Article Bond risk premia, macroeconomic fundamentals and the exchange rate, International Review of Economics & Finance, Elsevier (2012) View citations (18) (2012)

2007

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

2006

17. 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 View citations (6)
    See also Journal Article Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia, Journal of Money, Credit and Banking, Blackwell Publishing (2008) View citations (29) (2008)
18. 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 View citations (3)

2005

19. 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 View citations (2)

2002

20. Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (48)
    See also Journal Article 'Some contagion, some interdependence': More pitfalls in tests of financial contagion, Journal of International Money and Finance, Elsevier (2005) View citations (380) (2005)

2001

21. A Primer on Financial Contagion
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (25)
    See also Journal Article A Primer on Financial Contagion, Journal of Economic Surveys, Wiley Blackwell (2003) View citations (358) (2003)
22. Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test
    Working Papers, Economic Growth Center, Yale University View citations (59)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2001) View citations (61)
    Center Discussion Papers, Yale University, Economic Growth Center (2001) View citations (58)

2000

23. 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) View citations (1)

1999

24. 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 View citations (2)
    See also Journal Article The impact of news on the exchange rate of the lira and long-term interest rates, Economic Modelling, Elsevier (2002) View citations (25) (2002)

1992

25. 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

2022

1. Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models*
   (Pricing the Term Structure with Linear Regressions)
   Journal of Financial Econometrics, 2022, 20, (5), 807-838
   See also Working Paper Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models, Temi di discussione (Economic working papers) (2018) View citations (3) (2018)

2020

2. On risk factors of the stock–bond correlation
   International Finance, 2020, 23, (3), 392-416

2018

3. Monetary Policy Surprises over Time
   Quarterly Journal of Finance (QJF), 2018, 08, (01), 1-60 View citations (1)
   See also Working Paper Monetary policy surprises over time, Temi di discussione (Economic working papers) (2017) View citations (6) (2017)

2014

4. Real Term Structure and Inflation Compensation in the Euro Area
   International Journal of Central Banking, 2014, 10, (1), 1-42 View citations (6)
   See also Working Paper Real term structure and inflation compensation in the euro area, Temi di discussione (Economic working papers) (2012) View citations (2) (2012)

2013

5. Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis
   International Finance, 2013, 16, (2), 131-160 View citations (121)
   See also Working Paper Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis, Temi di discussione (Economic working papers) (2013) View citations (130) (2013)

2012

6. Bond risk premia, macroeconomic fundamentals and the exchange rate
   International Review of Economics & Finance, 2012, 22, (1), 42-65 View citations (18)
   See also Working Paper Bond risk premia, macroeconomic fundamentals and the exchange rate, Temi di discussione (Economic working papers) (2009) (2009)

2009

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

2008

8. 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 View citations (29)
   Also in Journal of Money, Credit and Banking, 2008, 40, (7), 1471-1488 (2008) View citations (3)
   See also Working Paper Canonical term-structure models with observable factors and the dynamics of bond risk premiums, Temi di discussione (Economic working papers) (2006) View citations (6) (2006)

2005

9. 'Some contagion, some interdependence': More pitfalls in tests of financial contagion
   Journal of International Money and Finance, 2005, 24, (8), 1177-1199 View citations (380)
   See also Working Paper Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion, CEPR Discussion Papers (2002) View citations (48) (2002)

2003

10. A Primer on Financial Contagion
    Journal of Economic Surveys, 2003, 17, (4), 571-608 View citations (358)
    See also Working Paper A Primer on Financial Contagion, Temi di discussione (Economic working papers) (2001) View citations (25) (2001)

2002

11. The impact of news on the exchange rate of the lira and long-term interest rates
    Economic Modelling, 2002, 19, (4), 611-639 View citations (25)
    See also Working Paper The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates, Temi di discussione (Economic working papers) (1999) View citations (2) (1999)