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~institution:"Banca d'Italia"
~subject:"FINANCIAL MARKET"
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FINANCIAL MARKET
financial crisis
5
systemic risk
5
corporate bonds
3
inflation risk premium
3
option pricing
3
Bayesian estimation
2
Kalman filter
2
PRICES
2
STOCK MARKET
2
affine term structure
2
banks
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contagion
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credit default swaps
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equity premium
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government debt
2
interest rates
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stochastic volatility
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volatility
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ARCH
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ASSET PRICES
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Asset pricing
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Consumption-based Capital Asset Pricing Model
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Credit Default Swaps
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DIVIDENDS
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Distress Risk Premia
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Euler equation for consumption
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INTEREST RATE
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Italian financial markets history
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MONEY
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Beltratti, A.
1
Caruso, M.
1
Fornari, F.
1
Kurz, M.
1
Kutz, M.
1
Scalia, A.
1
Schneider, M.
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1
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Banca d'Italia
Graduate School of Business, Columbia University
18
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
9
Harvard Institute of Economic Research (HIER), Department of Economics
9
Rodney L. White Center for Financial Research, Wharton School of Business
9
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
5
Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne
5
Department of Economics, Faculty of Business and Economics
5
Economics Division, University of Southampton
5
Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
5
School of Economics, Finance and Marketing, RMIT University
5
Wisconsin Madison - Social Systems
5
Directorate-General Economic and Financial Affairs, European Commission
4
Economics Department, Massachusetts Institute of Technology (MIT)
4
Geneva School of Economics and Management, Université de Genève
4
Groupe de Recherche en Économie Mathématique et Quantitative (GREMAQ), Toulouse School of Economics (TSE)
4
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4
Banco de España
3
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3
Economics Department, University of Manitoba
3
Foerder Institute for Economic Research, Eitan Berglas School of Economics
3
Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE)
3
Institutet för Näringslivsforskning (IFN)
3
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3
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3
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3
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2
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2
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2
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2
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2
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Banca Italia - Servizio di Studi
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RePEc
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1
Stock Prices and Money Velocity: A Multi-Country Analysis.
Caruso, M.
-
Banca d'Italia
-
1996
What kind of information do stock prices offer for predicting velocity? This paper develops previous work by Milton Friedman for the US economy and shows that a wealth effect derived from the stock market has negatively influenced the ratio of nominal income to a broad definition of money in a...
Persistent link: https://www.econbiz.de/10005780692
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2
Coordination and Correlation in Markov Rational Belief Equilibria.
Kutz, M.
;
Schneider, M.
-
Banca d'Italia
-
1996
This paper studies the effect of correlation in the retional beliefs of agents on the volatility of asset prices.
Persistent link: https://www.econbiz.de/10005640924
Saved in:
3
The Equity Premium Is No Puzzle.
Kurz, M.
;
Beltratti, A.
-
Banca d'Italia
-
1996
We examine the equity premium pizzle with the prespective of the theory of Rational Beliefs Equilibrium (RBE) and show that from the perspective of this theory there is no puzzle.
Persistent link: https://www.econbiz.de/10005640936
Saved in:
4
Does Market Transparency Matter? A Case Study.
Vacca, V.
;
Scalia, A.
-
Banca d'Italia
-
1999
We analyse a change in the degree of transparency of MTS, the electronic inter-dealer market for Italian Government bonds, namely the July 1997 move to the anonymity of quotes.
Persistent link: https://www.econbiz.de/10005640926
Saved in:
5
The Probability Density Function of Interest Rates Implied in the Price of Options.
Fornari, F.
;
Violi, R.
-
Banca d'Italia
-
1998
The paper contributes to the stochastic volatility literature by developing simulation schemes for the conditional distributions of the price of long term bonds and their variability based on non-standard distributional assumptions and volatility concepts; it illustrates the potential value of...
Persistent link: https://www.econbiz.de/10005671394
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