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Citations of
Massimo Sbracia

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Finicelli, Andrea & Pagano, Patrizio & Sbracia, Massimo, 2009. "Ricardian selection," MPRA Paper 16950, University Library of Munich, Germany. [Downloadable!]
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    Cited by:

    1. Finicelli, Andrea & Pagano, Patrizio & Sbracia, Massimo, 2009. "Trade-revealed TFP," MPRA Paper 16951, University Library of Munich, Germany. [Downloadable!]
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  2. Finicelli, Andrea & Pagano, Patrizio & Sbracia, Massimo, 2009. "Trade-revealed TFP," MPRA Paper 16951, University Library of Munich, Germany. [Downloadable!]
    Other versions:

    Cited by:

    1. Finicelli, Andrea & Pagano, Patrizio & Sbracia, Massimo, 2009. "Ricardian selection," MPRA Paper 16950, University Library of Munich, Germany. [Downloadable!]
      Other versions:

  3. Marcello Pericoli & Massimo Sbracia, 2006. "The CAPM and the risk appetite index; theoretical differences and empirical similarities," Temi di discussione (Economic working papers) 586, Bank of Italy, Economic Research Department. [Downloadable!]

    Cited by:

    1. Gai, Prasanna & Vause, Nicholas, 2005. "Measuring Investors' Risk Appetite," MPRA Paper 818, University Library of Munich, Germany. [Downloadable!]
    2. Stefano Nobili & Gerardo Palazzo, 2008. "A beta based framework for (lower) bond risk premia," Temi di discussione (Economic working papers) 689, Bank of Italy, Economic Research Department. [Downloadable!]
    3. Prasanna Gai & Nicholas Vause, . "Measuring investors' risk appetite," Bank of England working papers 283, Bank of England. [Downloadable!]

  4. Finicelli, Andrea & Liccardi, Alessandra & Sbracia, Massimo, 2005. "A New Indicator of Competitiveness for Italy and the Main Industrial and Emerging Countries," MPRA Paper 4703, University Library of Munich, Germany. [Downloadable!]

    Cited by:

    1. Finicelli, Andrea & Sbracia, Massimo & Zaghini, Andrea, 2008. "A disaggregated analysis of the export performance of some industrial and emerging countries," MPRA Paper 11000, University Library of Munich, Germany. [Downloadable!]
    2. Matteo Bugamelli & Fabiano Schivardi & Roberta Zizza, 2008. "The Euro and Firm Restructuring," NBER Working Papers 14454, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  5. Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002. "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers 3310, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Marie Brière & Ariane Chapelle & Ariane Szafarz, 2008. "No contagion, only globalization and flight to quality," Working Papers DULBEA 08-22.RS, Université libre de Bruxelles, Department of Applied Economics (DULBEA). [Downloadable!]
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    2. Roberta De Santis, 2004. "Has Trade Structure Any Importance in the Trasmission of Currency Shocks? An Empirical Application for Central and Eastern European Acceding Countries to Eu," ISAE Working Papers 43, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
    3. Quinn, Dennis & Voth, Hans-Joachim, 2008. "Free Flows, Limited Diversification: Explaining the Fall and Rise of Stock Market Correlations, 1890-2001," CEPR Discussion Papers 7013, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    4. Dirk Baur & Renee Fry, 2006. "Endogenous Contagion - A Panel Data Analysis," CAMA Working Papers 2006-09, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    5. Guido de Blasio & Giorgio Nuzzo, 2006. "The Legacy of History for Economic Development: The Case of Putnam's Social Capital," Temi di discussione (Economic working papers) 591, Bank of Italy, Economic Research Department. [Downloadable!]
    6. Ahlgren, Niklas & Antell, Jan, 2008. "Cobreaking of Stock Prices and Contagion," Working Papers 537, Hanken School of Economics. [Downloadable!]
    7. Reint Gropp & Gerard Moerman, 2003. "Measurement of contagion in banks’ equity prices," Working Paper Series 297, European Central Bank. [Downloadable!]
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    8. Alberto Locarno, 2006. "Imperfect knowledge, adaptive learning and the bias against activist monetary policies," Temi di discussione (Economic working papers) 590, Bank of Italy, Economic Research Department. [Downloadable!]
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    9. Massimiliano Affinito & Fabio Farabullini, 2006. "An empirical analysis of national differences in the retail bank interest rates of the euro area," Temi di discussione (Economic working papers) 589, Bank of Italy, Economic Research Department. [Downloadable!]
    10. Alessandro Rebucci, 2003. "Measuring Contagion With A Bayesian Time-Varying Coefficient Model," Working Papers. Serie AD 2003-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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    11. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2008. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," IMF Working Papers 08/286, International Monetary Fund. [Downloadable!]
      Other versions:
    12. Paulo Horta & Carlos Mendes & Isabel Vieira, 2008. "Contagion effects of the US Subprime Crisis on Developed Countries," CEFAGE-UE Working Papers 2008_08, University of Evora, CEFAGE-UE (Portugal). [Downloadable!]
    13. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society. [Downloadable!]
    14. Raffaello Bronzini & Paolo Piselli, 2006. "Determinants of long-run regional productivity: the role of R&D, human capital and public infrastructure," Temi di discussione (Economic working papers) 597, Bank of Italy, Economic Research Department. [Downloadable!]
    15. Claudia Biancotti, 2006. "A Dual-Regime Utility Model for Poverty Analysis," Temi di discussione (Economic working papers) 603, Bank of Italy, Economic Research Department. [Downloadable!]
    16. Alessio De Vincenzo & Claudio Doria & Carmelo Salleo, 2006. "Efficiency vs. agency motivations for bank takeovers: some empirical evidence," Temi di discussione (Economic working papers) 587, Bank of Italy, Economic Research Department. [Downloadable!]
    17. Idier, J., 2006. "Stock exchanges industry consolidation and shock transmission," Documents de Travail 159, Banque de France. [Downloadable!]
    18. Ugo Albertazzi, 2006. "Incentives in universal banks," Temi di discussione (Economic working papers) 572, Bank of Italy, Economic Research Department. [Downloadable!]
    19. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    20. Matesanz, David & Ortega , Guillermo J., 2008. "Network analysis of exchange data: Interdependence drives crisis contagion," MPRA Paper 7720, University Library of Munich, Germany. [Downloadable!]
    21. Paolo Angelini & Francesco Lippi, 2006. "Did inflation really soar after the euro cash changeover? Indirect evidence from ATM withdrawals," Temi di discussione (Economic working papers) 581, Bank of Italy, Economic Research Department. [Downloadable!]
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    22. Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research. [Downloadable!]
    23. Federico Cingano & Alfonso Rosolia, 2006. "People I Know: Workplace Networks and Job Search Outcomes," Temi di discussione (Economic working papers) 600, Bank of Italy, Economic Research Department. [Downloadable!]
    24. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2003. "Unanticipated Shocks and Systemic Influences: The Impact of Contagion in Global Equity Markets in 1998," IMF Working Papers 03/84, International Monetary Fund. [Downloadable!]
    25. Alessio Ciarlone & Giorgio Trebeschi, 2006. "A Multinomial Approach to Early Warning Systems for Debt Crises," Temi di discussione (Economic working papers) 588, Bank of Italy, Economic Research Department. [Downloadable!]
    26. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge. [Downloadable!]
    27. Guido de Blasio, 2006. "Production or consumption? Disentangling the skill-agglomeration connection," Temi di discussione (Economic working papers) 571, Bank of Italy, Economic Research Department. [Downloadable!]
    28. Jokipii , Terhi & Lucey, Brian, 2006. "Contagion and interdependence: measuring CEE banking sector co-movements," Research Discussion Papers 15/2006, Bank of Finland. [Downloadable!]
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    29. Philip Lane & Sébastien Wälti, 2006. "The Euro and Financial Integration," The Institute for International Integration Studies Discussion Paper Series iiisdp139, IIIS. [Downloadable!]
    30. Colavecchio , Roberta & Funke, Michael, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets," BOFIT Discussion Papers 17/2007, Bank of Finland, Institute for Economies in Transition. [Downloadable!]
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    31. Sabrina Di Addario & Eleonora Patacchini, 2006. "Is there an urban wage premium in Italy?," Temi di discussione (Economic working papers) 570, Bank of Italy, Economic Research Department. [Downloadable!]
    32. Diana Marina Del COlle, & Paolo Finaldi Russo & Andrea Generale, 2006. "The Causes and Consequences of Venture Capital Financing. An Analysis based on a Sample of Italian Firms," Temi di discussione (Economic working papers) 584, Bank of Italy, Economic Research Department. [Downloadable!]
    33. Bodart,Vincent & Candelon,Bertrand, 2005. "Evidences of Interdependence and Contagion using a Frequency Domain Framework," Research Memoranda 024, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
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    34. Martin, V. & Dungey & M., 2004. "Empirical Modelling of Contagion: A Review of Methodologies," Econometric Society 2004 Far Eastern Meetings 574, Econometric Society. [Downloadable!]
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    35. Andreas Pick, 2007. "Financial contagion and tests using instrumental variables," DNB Working Papers 139, Netherlands Central Bank, Research Department. [Downloadable!]
    36. Antonio Diez de los Rios, 2004. "Exchange Rate Regimes, Globalisation And The Cost Of Capital In Emerging Markets," Working Papers wp2004_02, CEMFI. [Downloadable!]
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    37. Antonio Scalia, 2006. "Is foreign exchange intervention effective? Some micro-analytical evidence from the Czech Republic," Temi di discussione (Economic working papers) 579, Bank of Italy, Economic Research Department. [Downloadable!]
    38. Marçal, Emerson F. & Valls Pereira, Pedro L., 2008. "Testando A Hipótese De Contágio A Partir De Modelos Multivariados De Volatilidade
      [Testing the contagion hypotheses using multivariate volatility models]      ," MPRA Paper 10356, University Library of Munich, Germany. [Downloadable!]
    39. Dennis Quinn & Joachim Voth, 2006. "A Century of Global Equity Market Correlations," Economics Working Papers 1119, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008. [Downloadable!]
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    40. Antonio Di Cesare, 2006. "Do market-based indicators anticipate rating agencies? Evidence for international banks," Temi di discussione (Economic working papers) 593, Bank of Italy, Economic Research Department. [Downloadable!]
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    41. Pavlova, Anna & Rigobon, Roberto, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," CEPR Discussion Papers 6647, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    42. Sarai Criado Nuevo, . "Some critics to the contagion correlation test," Working Papers on International Economics and Finance 05-01, FEDEA. [Downloadable!]
    43. Antonio Ciccone & Federico Cingano & Piero Cipollone, 2006. "The private and social return to schooling in Italy," Temi di discussione (Economic working papers) 569, Bank of Italy, Economic Research Department. [Downloadable!]
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    44. Fabio Busetti & Silvia Fabiani & Andrew Harvey, 2006. "Convergences of prices and rates of inflation," Temi di discussione (Economic working papers) 575, Bank of Italy, Economic Research Department. [Downloadable!]
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    45. Susanna Iranzo & Fabiano Schivardi & Elisa Tosetti, 2006. "Skill dispersion and firm productivity; an analysis with employer-employee matched data," Temi di discussione (Economic working papers) 577, Bank of Italy, Economic Research Department. [Downloadable!]
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    46. Massimo Caruso, 2006. "Stock market fluctuations and money demand in Italy, 1913-2003," Temi di discussione (Economic working papers) 576, Bank of Italy, Economic Research Department. [Downloadable!]
    47. Ugo Albertazzi & Leonardo Gambacorta, 2006. "Bank profitability and the business cycle," Temi di discussione (Economic working papers) 601, Bank of Italy, Economic Research Department. [Downloadable!]
    48. Bayoumi, Tamim & Fazio, Giorgio & Kumar, Manmohan & MacDonald, Ronald, 2003. "Fatal Attraction," CEPR Discussion Papers 3870, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    49. cipollone piero & Anita Guelfi, 2006. "The value of flexible contracts; evidence from an italian panel of industrial firms," Temi di discussione (Economic working papers) 583, Bank of Italy, Economic Research Department. [Downloadable!]
    50. Jesus Gonzalo & Jose Olmo, 2005. "Contagion Versus Flight To Quality In Financial Markets," Economics Working Papers we051810, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    51. Mody, Ashoka & Taylor, Mark P., 2006. "Regional Vulnerability : The Case of East Asia," The Warwick Economics Research Paper Series (TWERPS) 776, University of Warwick, Department of Economics. [Downloadable!]
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    52. Christos Floros, 2005. "Price Linkages Between the US, Japan and UK Stock Markets," Financial Markets and Portfolio Management, Springer, vol. 19(2), pages 169-178, August. [Downloadable!] (restricted)
    53. Marcello Pericoli & Massimo Sbracia, 2006. "The CAPM and the risk appetite index; theoretical differences and empirical similarities," Temi di discussione (Economic working papers) 586, Bank of Italy, Economic Research Department. [Downloadable!]
    54. Thomas Lagoarde-Segot & Brian Lucey, 2006. "Financial Contagion in Emerging Markets: Evidence from the Middle East and North Africa," The Institute for International Integration Studies Discussion Paper Series iiisdp114, IIIS. [Downloadable!]
    55. Manner, Hans & Candelon, Bertrand, 2007. "Testing for Asset Market Linkages: A new Approach based on Time-Varying Copulas," Research Memoranda 052, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    56. Harry Kelejian & George Tavlas & George Hondroyiannis, 2006. "A Spatial Modelling Approach to Contagion Among Emerging Economies," Open Economies Review, Springer, vol. 17(4), pages 423-441, December. [Downloadable!] (restricted)
    57. Mario Quagliariello, 2006. "BanksÂ’ Riskiness Over the Business Cicle: a Panel Analysis on Italian Intermediaries," Temi di discussione (Economic working papers) 599, Bank of Italy, Economic Research Department. [Downloadable!]
    58. Patrizio Pagano & Massimiliano Pisani, 2006. "Risk-Adjusted Forecasts of Oil Prices," Temi di discussione (Economic working papers) 585, Bank of Italy, Economic Research Department. [Downloadable!]
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    59. Elisabetta Iossa & Giuliana Palumbo, 2006. "Overoptimism and Lender Liability in the Consumer Credit Market," Temi di discussione (Economic working papers) 598, Bank of Italy, Economic Research Department. [Downloadable!]
    60. Roberta Fiori & Simonetta Iannotti, 2006. "Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks' Interest Rate Risk Exposure," Temi di discussione (Economic working papers) 602, Bank of Italy, Economic Research Department. [Downloadable!]
    61. Silvia Magri, 2006. "Debt maturity of Italian firms," Temi di discussione (Economic working papers) 574, Bank of Italy, Economic Research Department. [Downloadable!]
    62. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2004. "The effects of systemic crises when investors can be crisis ignorant," Research Paper ERS-2004-027-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    63. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]

  6. Alessandro Prati & Massimo Sbracia, 2002. "Currency crises and uncertainty about fundamentals," Temi di discussione (Economic working papers) 446, Bank of Italy, Economic Research Department. [Downloadable!]
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    Cited by:

    1. Christina Bannier, 2003. "The Role of Information Disparity in the 1994/95 Mexican Peso," International Finance 0310001, EconWPA. [Downloadable!]
    2. Selim Elekdag & Prakash Kannan, 2009. "Incorporating Market Information into the Construction of the Fan Chart," IMF Working Papers 09/178, International Monetary Fund. [Downloadable!]
    3. Sanne Zwart, 2005. "Liquidity runs with endogenous information acquisition," Economics Working Papers ECO2005/18, European University Institute. [Downloadable!]
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    4. Mark Carlson & Galina B. Hale, 2006. "Rating Agencies and Sovereign Debt Rollover," The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 0(2). [Downloadable!]
    5. Jean-Pierre ALLEGRET & Camille CORNAND, 2006. "The pros and cons of higher transparency : the case of speculative attacks," Discussion Papers (REL - Recherches Economiques de Louvain) 2006031, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    6. Paolo Angelini, 2002. "Liquidity and Announcement Effects in the Euro Area," Temi di discussione (Economic working papers) 451, Bank of Italy, Economic Research Department. [Downloadable!]
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    7. Franklin Allen & Elena Carletti, 2007. "Banks, Markets and Liquidity," RBA Annual Conference Volume, in: Christopher Kent & Jeremy Lawson (ed.), The Structure and Resilience of the Financial System Reserve Bank of Australia. [Downloadable!]
    8. Christian Hellwig, 2002. "Signaling in a Global Game: Coordination and Policy Traps (J.P.E., June 2006)," UCLA Economics Online Papers 209, UCLA Department of Economics. [Downloadable!]
    9. Gaston R. Gelos & Shang-Jin Wei, 2002. "Transparency and International Investor Behavior," IMF Working Papers 02/174, International Monetary Fund. [Downloadable!]
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    10. Bryan Routledge & Stanley Zin, 2009. "Model Uncertainty and Liquidity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(4), pages 543-566, October. [Downloadable!] (restricted)
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    11. Marco Ottaviani & Peter Norman Sørensen, 2004. "The Strategy of Professional Forecasting," FRU Working Papers 2004/05, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
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    12. Charalambos Christofides & Christian B. Mulder & Andrew Tiffin, 2003. "The Link Between Adherence to International Standards of Good Practice, Foreign Exchange Spreads, and Ratings," IMF Working Papers 03/74, International Monetary Fund. [Downloadable!]
    13. Christina E. Bannier, 2003. "Privacy or Publicity - Who Drives the Wheel?," Game Theory and Information 0309006, EconWPA. [Downloadable!]
    14. Manuela Goretti, 2005. "The Brazilian currency turmoil of 2002: a nonlinear analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 289-306. [Downloadable!]
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    15. Louise Allsopp, 2003. "Speculative behaviour, debt default and contagion: A stylised framework of the Latin American Crisis 2001-2002," Reserve Bank of New Zealand Discussion Paper Series DP2003/10, Reserve Bank of New Zealand. [Downloadable!]
    16. Christina E. Bannier & Jochen Michaelis, 2003. "The Role of Information Disparity in the Mexican Peso Crisis 1994/95: Empirical Evidence," Discussion Papers in Economics 44/03, University of Kassel, Institute of Economics. [Downloadable!]
    17. Silvia Magri, 2002. "Italian households' debt: determinants of demand and supply," Temi di discussione (Economic working papers) 454, Bank of Italy, Economic Research Department. [Downloadable!]
    18. Francisco Peñaranda & Jón Daníelsson, 2007. "On the Impact of Fundamentals, Liquidity and Coordination on Market Stability," Economics Working Papers 1003, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
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  7. Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia, 2001. "Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test," Working Papers 822, Economic Growth Center, Yale University. [Downloadable!]
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    Cited by:

    1. Dirk Baur & Renee Fry, 2006. "Endogenous Contagion - A Panel Data Analysis," CAMA Working Papers 2006-09, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    2. Diana Zhumabekova & Mardi Dungey, 2001. "Factor analysis of a model of stock market returns using simulation-based estimation techniques," Pacific Basin Working Paper Series 01-08, Federal Reserve Bank of San Francisco. [Downloadable!]
    3. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2004. "Empirical Modeling of Contagion: A Review of Methodologies," IMF Working Papers 04/78, International Monetary Fund. [Downloadable!]
      Other versions:
    4. Monica Paiella, 2001. "Limited Financial Market Participation: A Transaction Cost-Based Explanation," Temi di discussione (Economic working papers) 415, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    5. Erika Corona & Sabrina Ecca & Michele Marchesi & Alessio Setzu, 2008. "The Interplay Between Two Stock Markets and a Related Foreign Exchange Market: A Simulation Approach," Computational Economics, Springer, vol. 32(1), pages 99-119, September. [Downloadable!] (restricted)
    6. Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002. "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers 3310, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    7. Massimo Sbracia & Andrea Zaghini, 2001. "The Role of the Banking System in the International Transmission of Shocks," Temi di discussione (Economic working papers) 409, Bank of Italy, Economic Research Department. [Downloadable!]
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    8. Sarai Criado Nuevo, . "Some critics to the contagion correlation test," Working Papers on International Economics and Finance 05-01, FEDEA. [Downloadable!]
    9. William N.Goetzmann & Lingfeng Li & K.Geert Rouwenhorst, 2003. "Long-Term Global Market Correlations," DNB Staff Reports (discontinued) 98, Netherlands Central Bank. [Downloadable!]
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    10. gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance 0406003, EconWPA. [Downloadable!]
    11. R-P. Berben & W.J. Jansen, 2001. "Comovement in International Equity Markets: a Sectoral View," MEB Series (discontinued) 2001-11, Netherlands Central Bank, Monetary and Economic Policy Department. [Downloadable!]
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    12. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS. [Downloadable!]

  8. Marcello Pericoli & Massimo Sbracia, 2001. "A Primer on Financial Contagion," Temi di discussione (Economic working papers) 407, Bank of Italy, Economic Research Department. [Downloadable!]
    Published as:

    Cited by:

    1. Dirk Baur & Renee Fry, 2006. "Endogenous Contagion - A Panel Data Analysis," CAMA Working Papers 2006-09, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    2. Ahlgren, Niklas & Antell, Jan, 2008. "Cobreaking of Stock Prices and Contagion," Working Papers 537, Hanken School of Economics. [Downloadable!]
    3. Pereira, Pedro L. Valls, 2009. "Testing the hypothesis of contagion using multivariate volatility models," Textos para discussão 174, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]
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    4. Michael Chui & Simon Hall & Ashley Taylor, . "Crisis spillovers in emerging market economies: interlinkages, vulnerabilities and investor behaviour," Bank of England working papers 212, Bank of England. [Downloadable!]
    5. John Beirne & Guglielmo Maria Caporale & Marianne Schulze-Ghattas & Nicola Spagnolo, 2008. "Volatility Spillovers and Contagion from Mature to Emerging Stock Markets," IMF Working Papers 08/286, International Monetary Fund. [Downloadable!]
      Other versions:
    6. Giampiero Gallo & Edoardo Otranto, 2007. "Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach," Econometrics Working Papers Archive wp2007_11, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
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    7. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society. [Downloadable!]
    8. Thomas J. Flavin and Ekaterini Panopoulou, 2007. "Detecting Shift and Pure Contagion in East Asian Equity Markets: A Unified Approach," The Institute for International Integration Studies Discussion Paper Series iiisdp236, IIIS. [Downloadable!]
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    9. MArdi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin & Chrismin Tang, 2008. "Are Financial Crises Alike?," CAMA Working Papers 2008-15, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    10. Toivanen, Mervi, 2009. "Financial interlinkages and risk of contagion in the Finnish interbank market," Research Discussion Papers 6/2009, Bank of Finland. [Downloadable!]
    11. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    12. Mardi Dungey & Renee Fry & Vance Martin & Brenda González-Hermosillo, 2004. "Empirical Modeling of Contagion: A Review of Methodologies," IMF Working Papers 04/78, International Monetary Fund. [Downloadable!]
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    13. Marc Pröpper & Iman van Lelyveld & Ronald Heijmans, 2008. "Towards a Network Description of Interbank Payment Flows," DNB Working Papers 177, Netherlands Central Bank, Research Department. [Downloadable!]
    14. Jeffrey A. Edwards & Frank C. Thames & Martin S. Edwards, 2006. "Measuring the Dissemination of Volatility across Levels of Development," The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 0(2). [Downloadable!]
    15. Monica Paiella, 2001. "Limited Financial Market Participation: A Transaction Cost-Based Explanation," Temi di discussione (Economic working papers) 415, Bank of Italy, Economic Research Department. [Downloadable!]
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    16. Gómez Déniz, Emilio & León Santana, Miguel, 2005. "Un modelo de tarificación Bonus-Malus bajo el principio Esscher con tarifas más competitivas/A Bonus-Malus System with more Competitive rates by using the Esscher Principle," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 79-91, Abril. [Downloadable!] (restricted)
    17. Melisso Boschi & Aditya Goenka, 2006. "Habit formation and the transmission of financial crises," Economics Discussion Papers 608, University of Essex, Department of Economics. [Downloadable!]
    18. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge. [Downloadable!]
    19. Shaun Bond & Mardi Dungey & Renée Fry, 2006. "A Web Of Shocks: Crises Across Asian Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 32(3), pages 253-274, May. [Downloadable!] (restricted)
    20. Giorgio Fazio & Tamim Bayoumi & Manmohan S. Kumar & Ronald MacDonald, 2003. "Fatal Attraction: A New Measure of Contagion," IMF Working Papers 03/80, International Monetary Fund. [Downloadable!]
    21. Oscar Villar & Esther Vayá, 2005. "Financial Contagion between Economies - an Exploratory Spatial Analysis," ERSA conference papers ersa05p574, European Regional Science Association. [Downloadable!]
    22. Melisso Boschi & Aditya Goenka, 2007. "Relative Risk Aversion And The Transmission Of Financial Crises," CAMA Working Papers 2007-28, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    23. Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2002. "Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion," CEPR Discussion Papers 3310, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    24. Renee Fry & Vance L. Martin & Chrismin Tang, 2008. "A New Class Of Tests Of Contagion With Applications To Real Estate Markets," CAMA Working Papers 2008-01, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    25. Massimo Sbracia & Andrea Zaghini, 2001. "The Role of the Banking System in the International Transmission of Shocks," Temi di discussione (Economic working papers) 409, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    26. Vanessa Mattiussi & Giulia Iori, 2006. "Currency Futures Volatility during the 1997 East Asian Crisis: An Application of Fourier Analysis," City University Economics Discussion Papers 06/09, Department of Economics, City University, London. [Downloadable!]
    27. Pereira, Pedro L. Valls, 2009. "Evaluation of contagion or interdependence in the financial crises of asia and latin america, considering the Macroeconomic fundamentals," Textos para discussão 177, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil). [Downloadable!]
    28. Enzo Weber, 2007. "Who Leads Financial Markets?," SFB 649 Discussion Papers SFB649DP2007-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    29. Giampiero M. Gallo & Margherita Velucchi, 2009. "Market interdependence and financial volatility transmission in East Asia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(1), pages 24-44. [Downloadable!]
    30. Daniel Kohler, 2007. "Carry Trades: Betting Against Safe Haven," University of St. Gallen Department of Economics working paper series 2007 2007-12, Department of Economics, University of St. Gallen. [Downloadable!]
    31. Christina E. Bannier, 2005. "Big Elephants in Small Ponds: Do Large Traders Make Financial Markets More Aggressive?," Discussion Papers in Economics 77/05, University of Kassel, Institute of Economics. [Downloadable!]
      Other versions:
    32. Mark Mink & Jochen Mierau, 2009. "Measuring Stock Market Contagion with an Application to the Sub-prime Crisis," DNB Working Papers 217, Netherlands Central Bank, Research Department. [Downloadable!]
    33. Heiko Hesse & Nathaniel Frank, 2009. "Financial Spillovers to Emerging Markets during the Global Financial Crisis," IMF Working Papers 09/104, International Monetary Fund. [Downloadable!]
    34. Bayoumi, Tamim & Fazio, Giorgio & Kumar, Manmohan & MacDonald, Ronald, 2003. "Fatal Attraction," CEPR Discussion Papers 3870, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    35. Mardi Dungey, 2008. "The Tsunami: Measures of Contagion in the 2007–2008 Credit Crunch," CESifo Forum, Ifo Institute for Economic Research at the University of Munich, vol. 9(4), pages 33-43, December. [Downloadable!]
    36. Manuela Goretti, 2005. "The Brazilian currency turmoil of 2002: a nonlinear analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 289-306. [Downloadable!]
      Other versions:
    37. Matteo Ciccarelli & Alessandro Rebucci, 2003. "Measuring Contagion with a Bayesian Time-Varying Coefficient Model," IMF Working Papers 03/171, International Monetary Fund. [Downloadable!]
      Other versions:
    38. Thomas Flavin & Ekaterini Panopoulou, 2006. "Shift versus traditional contagion in Asian markets," The Institute for International Integration Studies Discussion Paper Series iiisdp176, IIIS. [Downloadable!]
    39. Neeltje van Horen & Henk Jager & Franc Klaassen, 2006. "Foreign Exchange Market Contagion in the Asian Crisis: A Regression-Based Approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 142(2), pages 374-401, July. [Downloadable!] (restricted)
    40. Paulo Horta & Carlos Mendes & Isabel Vieira, 2009. "Contagion Effects of the Subprime Crisis in the European Nyse-Euronext Markets," CEFAGE-UE Working Papers 2009_01, University of Evora, CEFAGE-UE (Portugal). [Downloadable!]
    41. Vance L. Martin & Mardi Dungey, 2007. "Unravelling financial market linkages during crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 89-119. [Downloadable!]
    42. Brenda González-Hermosillo, 2008. "Investors’ Risk Appetite and Global Financial Market Conditions," IMF Working Papers 08/85, International Monetary Fund. [Downloadable!]
    43. Eric Santor, 2003. "Banking Crises and Contagion: Empirical Evidence," Working Papers 03-1, Bank of Canada. [Downloadable!]
    44. Sergio Godoy, 2005. "Emerging Market Spreads at the Turn of The Century: A Roller Coaster Sergio Godoy," Working Papers Central Bank of Chile 339, Central Bank of Chile. [Downloadable!]
    45. Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Economics, Finance and Accounting Department Working Paper Series n1981108.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
      Other versions:
    46. Giampiero M. Gallo & Edoardo Otranto, 2005. "Volatility Transmission in Financial Markets: A New Approach," Econometrics Working Papers Archive wp2005_10, Universita' degli Studi di Firenze, Dipartimento di Statistica "G. Parenti". [Downloadable!]
    47. Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini & Nicola Spagnolo, 2005. "Testing For Financial Contagion Between Developed And Emerging Markets During The 1997 East Asian Crisis," Economics and Finance Discussion Papers 05-08, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
      Other versions:

  9. Massimo Sbracia & Andrea Zaghini, 2001. "The Role of the Banking System in the International Transmission of Shocks," Temi di discussione (Economic working papers) 409, Bank of Italy, Economic Research Department. [Downloadable!]
    Published as:

    Cited by:

    1. Panagiotis Staikouras & Christos Staikouras & Maria-Eleni Agoraki, 2007. "The effect of board size and composition on European bank performance," European Journal of Law and Economics, Springer, vol. 23(1), pages 1-27, February. [Downloadable!] (restricted)
    2. Bruinshoofd,Allard & Candelon,Bertrand & Raabe,Katharina, 2005. "Banking Sector Strength and the Transmission of Currency Crises," Research Memoranda 023, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
      Other versions:
    3. Michael Chui & Simon Hall & Ashley Taylor, . "Crisis spillovers in emerging market economies: interlinkages, vulnerabilities and investor behaviour," Bank of England working papers 212, Bank of England. [Downloadable!]
    4. Zsofia Arvai & Karl Driessen & Inci Otker-Robe, 2009. "Regional Financial Interlinkages and Financial Contagion Within Europe," IMF Working Papers 09/6, International Monetary Fund. [Downloadable!]
    5. Monica Paiella, 2001. "Limited Financial Market Participation: A Transaction Cost-Based Explanation," Temi di discussione (Economic working papers) 415, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    6. Fabio Panetta, 2003. "Evoluzione del sistema bancario e finanziamento dellÂ’economia nel Mezzogiorno," Temi di discussione (Economic working papers) 467, Bank of Italy, Economic Research Department. [Downloadable!]
    7. Reiner Eichenberger & Sergio Rossi, 2004. "Die Deregulierung der Zentralbanken: Auf zu einem internationalen Markt für gute Geldpolitik!," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(III), pages 327-353, September. [Downloadable!]
    8. Sergio Rossi, 2004. "Monetary integration strategies and perspectives of new EU countries," International Review of Applied Economics, Taylor and Francis Journals, vol. 18(4), pages 443-469, October. [Downloadable!] (restricted)
    9. Andrea Cipollini & George Kapetanios, 2006. "Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis," Computing in Economics and Finance 2006 477, Society for Computational Economics. [Downloadable!]
      Other versions:

  10. Massimo Sbracia & Andrea Zaghini, 2000. "Expectations and Information in Second Generation Currency Crises Models," Econometric Society World Congress 2000 Contributed Papers 0462, Econometric Society. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Luca Dedola & Eugenio Gaiotti & Luca Silipo, 2001. "Money demand in the euro area: do national differences matter?," Temi di discussione (Economic working papers) 405, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    2. Emilia Bonaccorsi di Patti & Giorgio Gobbi, 2001. "The Effects of Bank Consolidation and Market Entry on Small Business Lending," Temi di discussione (Economic working papers) 404, Bank of Italy, Economic Research Department. [Downloadable!]
    3. Jean-Pierre Allegret & Camille Cornand, 2005. "The Pros and Cons of Higher Transparency: The Case of Speculative Attacks," Working Papers 0502, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure. [Downloadable!]
    4. Monica Paiella, 2001. "Limited Financial Market Participation: A Transaction Cost-Based Explanation," Temi di discussione (Economic working papers) 415, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    5. Christina E. Bannier, 2003. "Privacy or Publicity - Who Drives the Wheel?," Game Theory and Information 0309006, EconWPA. [Downloadable!]
    6. M. Sbracia & Alessandro Prati, 2002. "Currency Crises and Uncertainty About Fundamentals," IMF Working Papers 02/3, International Monetary Fund. [Downloadable!]
      Other versions:
    7. Dai, Meixing, 2008. "Public debt and currency crisis: how central bank opacity can make things bad?," MPRA Paper 13867, University Library of Munich, Germany. [Downloadable!]

Articles

  1. Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo, 2005. "'Some contagion, some interdependence': More pitfalls in tests of financial contagion," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1177-1199, December. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Marcello Pericoli & Massimo Sbracia, 2003. "A Primer on Financial Contagion," Journal of Economic Surveys, Blackwell Publishing, vol. 17(4), pages 571-608, 09. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Massimo Sbracia & Andrea Zaghini, 2003. "The Role of the Banking System in the International Transmission of Shocks," The World Economy, Blackwell Publishing, vol. 26(5), pages 727-754, 05. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Sbracia, Massimo & Zaghini, Andrea, 2001. "Expectations and information in second generation currency crises models," Economic Modelling, Elsevier, vol. 18(2), pages 203-222, April. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.Sorry, no citations of articles recorded.

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