Nicola Borri
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Nicola Borri & Pietro Reichlin, 2020.
"Online Appendix to "Optimal Taxation with Home Ownership and Wealth Inequality","
Online Appendices
19-19, Review of Economic Dynamics.
- Nicola Borri & Pietro Reichlin, 2021. "Optimal Taxation with Home Ownership and Wealth Inequality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 64-84, April.
Cited by:
- Bonnet, Odran & Chapelle, Guillaume & Trannoy, Alain & Wasmer, Etienne, 2021.
"Land is back, it should be taxed, it can be taxed,"
European Economic Review, Elsevier, vol. 134(C).
- Odran Bonnet & Guillaume Chapelle & Alain Trannoy & Etienne Wasmer, 2021. "Land is back, it should be taxed, it can be taxed," Post-Print hal-03238443, HAL.
- Wasmer, Etienne & Bonnet, Odran & Chapelle, Guillaume & Trannoy, Alain, 2021. "Land is back, it should be taxed, it can be taxed," CEPR Discussion Papers 15845, C.E.P.R. Discussion Papers.
- Spencer Bastani & Sebastian Koehne, 2022. "How Should Consumption Be Taxed?," CESifo Working Paper Series 10038, CESifo.
- Moore, Rachel & Pecoraro, Brandon, 2021. "Quantitative Analysis of a Wealth Tax in the United States: Exclusions, Evasion, and Expenditures," MPRA Paper 109120, University Library of Munich, Germany.
- Shulu Che & Ronald Ravinesh Kumar & Peter J. Stauvermann, 2021. "Taxation of Land and Economic Growth," Economies, MDPI, vol. 9(2), pages 1-20, April.
- Nicola Borri & Giorgio Di Giorgio, 2020.
"Systemic Risk and the COVID Challenge in the European Banking Sector,"
Working Papers CASMEF
2005, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Borri, Nicola & Giorgio, Giorgio di, 2022. "Systemic risk and the COVID challenge in the european banking sector," Journal of Banking & Finance, Elsevier, vol. 140(C).
Cited by:
- Ling, Aifan & Li, Jinlong & Zhang, Yugui, 2023. "Can firms with higher ESG ratings bear higher bank systemic tail risk spillover?—Evidence from Chinese A-share market," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
- Addi, Abdelhamid & Bouoiyour, Jamal, 2023. "Interconnectedness and extreme risk: Evidence from dual banking systems," Economic Modelling, Elsevier, vol. 120(C).
- Sánchez García, Javier & Cruz Rambaud, Salvador, 2023. "Inflation and systemic risk: A network econometric model," Finance Research Letters, Elsevier, vol. 56(C).
- Huang, Wenli & Lan, Cheng & Xu, Yueling & Zhang, Zhaonan & Zeng, Haijian, 2022. "Does COVID-19 matter for systemic financial risks? Evidence from China's financial and real estate sectors," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
- Tiago F. A. Matos & João C. A. Teixeira & Tiago M. Dutra, 2023. "The contribution of macroprudential policies to banks' resilience: Lessons from the systemic crises and the COVID‐19 pandemic shock," International Review of Finance, International Review of Finance Ltd., vol. 23(4), pages 794-830, December.
- Das, Sanjiv R. & Kalimipalli, Madhu & Nayak, Subhankar, 2022. "Banking networks, systemic risk, and the credit cycle in emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
- Simona Andreea Apostu & Mirela Panait & Làszló Vasa & Constanta Mihaescu & Zbyslaw Dobrowolski, 2022. "NFTs and Cryptocurrencies—The Metamorphosis of the Economy under the Sign of Blockchain: A Time Series Approach," Mathematics, MDPI, vol. 10(17), pages 1-13, September.
- Nicola Borri & Francesco Drago & Chiara Santantonio & Francesco Sobbrio, 2020.
"The "Great Lockdown": Inactive Workers and Mortality by Covid-19,"
CESifo Working Paper Series
8584, CESifo.
- Nicola Borri & Francesco Drago & Chiara Santantonio & Francesco Sobbrio, 2021. "The “Great Lockdown”: Inactive workers and mortality by Covid‐19," Health Economics, John Wiley & Sons, Ltd., vol. 30(10), pages 2367-2382, September.
- Drago, Francesco & Borri, Nicola & Santantonio, Chiara & Sobbrio, Francesco, 2020. "The 'Great Lockdown': Inactive Workers and Mortality by Covid-19," CEPR Discussion Papers 15317, C.E.P.R. Discussion Papers.
Cited by:
- Bisin, Alberto & Moro, Andrea, 2022. "JUE insight: Learning epidemiology by doing: The empirical implications of a Spatial-SIR model with behavioral responses," Journal of Urban Economics, Elsevier, vol. 127(C).
- Guccio, Calogero, 2021. "Measuring resilience and fatality rate during the first wave of COVID-19 pandemic in Northern Italy: a note," EconStor Preprints 231374, ZBW - Leibniz Information Centre for Economics.
- Reichlin, Pietro & Borri, Nicola, 2019.
"Optimal Taxation with Homeownership and Wealth Inequality,"
CEPR Discussion Papers
14144, C.E.P.R. Discussion Papers.
- Nicola Borri & Pietro Reichlin, 2021. "Optimal Taxation with Home Ownership and Wealth Inequality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 64-84, April.
Cited by:
- Bonnet, Odran & Chapelle, Guillaume & Trannoy, Alain & Wasmer, Etienne, 2021.
"Land is back, it should be taxed, it can be taxed,"
European Economic Review, Elsevier, vol. 134(C).
- Odran Bonnet & Guillaume Chapelle & Alain Trannoy & Etienne Wasmer, 2021. "Land is back, it should be taxed, it can be taxed," Post-Print hal-03238443, HAL.
- Wasmer, Etienne & Bonnet, Odran & Chapelle, Guillaume & Trannoy, Alain, 2021. "Land is back, it should be taxed, it can be taxed," CEPR Discussion Papers 15845, C.E.P.R. Discussion Papers.
- Spencer Bastani & Sebastian Koehne, 2022. "How Should Consumption Be Taxed?," CESifo Working Paper Series 10038, CESifo.
- Moore, Rachel & Pecoraro, Brandon, 2021. "Quantitative Analysis of a Wealth Tax in the United States: Exclusions, Evasion, and Expenditures," MPRA Paper 109120, University Library of Munich, Germany.
- Shulu Che & Ronald Ravinesh Kumar & Peter J. Stauvermann, 2021. "Taxation of Land and Economic Growth," Economies, MDPI, vol. 9(2), pages 1-20, April.
- Reichlin, Pietro & Borri, Nicola, 2018.
"Wealth Taxes and Inequality,"
CEPR Discussion Papers
13067, C.E.P.R. Discussion Papers.
Cited by:
- Reichlin, Pietro & Borri, Nicola, 2019.
"Optimal Taxation with Homeownership and Wealth Inequality,"
CEPR Discussion Papers
14144, C.E.P.R. Discussion Papers.
- Nicola Borri & Pietro Reichlin, 2021. "Optimal Taxation with Home Ownership and Wealth Inequality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 64-84, April.
- Nicola Borri & Pietro Reichlin, 2020.
"Online Appendix to "Optimal Taxation with Home Ownership and Wealth Inequality","
Online Appendices
19-19, Review of Economic Dynamics.
- Nicola Borri & Pietro Reichlin, 2021. "Optimal Taxation with Home Ownership and Wealth Inequality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 64-84, April.
- Reichlin, Pietro & Borri, Nicola, 2019.
"Optimal Taxation with Homeownership and Wealth Inequality,"
CEPR Discussion Papers
14144, C.E.P.R. Discussion Papers.
- Reichlin, Pietro & Borri, Nicola, 2015.
"The Housing Cost Disease,"
CEPR Discussion Papers
10756, C.E.P.R. Discussion Papers.
- Borri, Nicola & Reichlin, Pietro, 2018. "The housing cost disease," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 106-123.
Cited by:
- Grossmann, Volker & Larin, Benjamin & Löfflad, Hans Torben & Steger, Thomas, 2021. "Distributional consequences of surging housing rents," Journal of Economic Theory, Elsevier, vol. 196(C).
- Odran Bonnet & Guillaume Chapelle & Alain Trannoy & Etienne Wasmer, 2019.
"Secular trends in Wealth and Heterogeneous Capital: Land is back...and should be taxed,"
Sciences Po publications
92, Sciences Po.
- Odran Bonnet & Guillaume Flamerie de La Chapelle & Alain Trannoy & Etienne Wasmer, 2019. "Secular Trends in Wealth and Heterogeneous Capital: Land is Back... and Should Be Taxed," SciencePo Working papers Main hal-03570837, HAL.
- Odran Bonnet & Guillaume Flamerie de La Chapelle & Alain Trannoy & Etienne Wasmer, 2019. "Secular trends in Wealth and Heterogeneous Capital: Land is back...and should be taxed," SciencePo Working papers Main hal-03541411, HAL.
- Odran Bonnet & Guillaume Flamerie de La Chapelle & Alain Trannoy & Etienne Wasmer, 2019. "Secular Trends in Wealth and Heterogeneous Capital: Land is Back... and Should Be Taxed," Working Papers hal-03570837, HAL.
- Odran Bonnet & Guillaume Flamerie de La Chapelle & Alain Trannoy & Etienne Wasmer, 2019. "Secular trends in Wealth and Heterogeneous Capital: Land is back...and should be taxed," Working Papers hal-03541411, HAL.
- Odran Bonnet & Guillaume Chapelle & Alain Trannoy & Etienne Wasmer, 2019. "Secular Trends in Wealth and Heterogeneous Capital: Land is Back... and Should Be Taxed," Sciences Po Economics Discussion Papers 2019-14, Sciences Po Departement of Economics.
- Odran Bonnet & Guillaume Chapelle & Alain Trannoy & Etienne Wasmer, 2019. "Secular Trends in Wealth and Heterogeneous Capital: Land is Back... and Should Be Taxed," Sciences Po publications 2019-14, Sciences Po.
- Roberto Torrini, 2016.
"Labour, profit and housing rent shares in Italian GDP: long-run trends and recent patterns,"
Questioni di Economia e Finanza (Occasional Papers)
318, Bank of Italy, Economic Research and International Relations Area.
- Roberto Torrini, 2015. "Labour, Profit and Housing Rent Shares in Italian GDP: Long-Run Trends and Recent Patterns," Politica economica, Società editrice il Mulino, issue 3, pages 275-314.
- Gianni La Cava, 2016.
"Housing Prices, Mortgage Interest Rates and the Rising Share of Capital Income in the United States,"
RBA Research Discussion Papers
rdp2016-04, Reserve Bank of Australia.
- Gianni La Cava, 2016. "Housing prices, mortgage interest rates and the rising share of capital income in the United States," BIS Working Papers 572, Bank for International Settlements.
- Steger, Thomas Michael & Grossmann, Volker, 2016.
"Das House-Kapital: A Theory of Wealth-to-Income Ratios,"
VfS Annual Conference 2016 (Augsburg): Demographic Change
145936, Verein für Socialpolitik / German Economic Association.
- Volker Grossmann & Thomas Steger, 2016. "Das House-Kapital: A Theory of Wealth-to-Income Ratios," CESifo Working Paper Series 5844, CESifo.
- Mérő, Bence & Borsos, András & Hosszú, Zsuzsanna & Oláh, Zsolt & Vágó, Nikolett, 2023. "A high-resolution, data-driven agent-based model of the housing market," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
- Michele Battisti & Giovanni Bernardo & Andrea Mario Lavezzi & Giuseppe Maggio, 2019. "Shooting down the price: evidence from mafia homicides and housing market volatility," Working Paper series 19-05, Rimini Centre for Economic Analysis.
- Reichlin, Pietro & Borri, Nicola, 2019.
"Optimal Taxation with Homeownership and Wealth Inequality,"
CEPR Discussion Papers
14144, C.E.P.R. Discussion Papers.
- Nicola Borri & Pietro Reichlin, 2021. "Optimal Taxation with Home Ownership and Wealth Inequality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 64-84, April.
- Steger, Thomas & Grossmann, Volker & Larin, Benjamin & Löfflad, Hans Torben, 2019. "Distributional Effects of Surging Housing Costs under Schwabe`s Law of Rent," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203613, Verein für Socialpolitik / German Economic Association.
- Thomas Steger & Volker Grossmann, 2017.
"Das House-Kapital: A Long Term Housing & Macro Model,"
2017 Meeting Papers
549, Society for Economic Dynamics.
- Volker Grossman & Thomas Steger, 2017. "Das House-Kapital: A Long Term Housing & Macro Model," IMF Working Papers 2017/080, International Monetary Fund.
- Nicola Borri & Pietro Reichlin, 2020.
"Online Appendix to "Optimal Taxation with Home Ownership and Wealth Inequality","
Online Appendices
19-19, Review of Economic Dynamics.
- Nicola Borri & Pietro Reichlin, 2021. "Optimal Taxation with Home Ownership and Wealth Inequality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 64-84, April.
- Volker Grossmann & Benjamin Larin & Hans Torben Löfflad & Thomas Steger, 2019. "Distributional effects of surging housing costs under Schwabe's Law," CESifo Working Paper Series 7684, CESifo.
- Reichlin, Pietro & Borri, Nicola, 2018. "Wealth Taxes and Inequality," CEPR Discussion Papers 13067, C.E.P.R. Discussion Papers.
- Saha, Anuradha, 2023. "Land and housing: The twin forces of non-balanced growth," Journal of Macroeconomics, Elsevier, vol. 76(C).
- Nicola Borri & Marianna Caccavaio & Giorgio Di Giorgio & Alberto Maria Sorrentino, 2012.
"Systemic Risk and the European Banking Sector,"
Working Papers CASMEF
1211, Dipartimento di Economia e Finanza, LUISS Guido Carli.
Cited by:
- Gabriela-Victoria Anghelache & Dumitru-Cristian Oanea, 2016. "Romanian Commercial Banks’ Systemic Risk and Its Determinants: A CoVAR Approach," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(3), pages 96-109, July.
- Kleinow, Jacob & Moreira, Fernando, 2016. "Systemic risk among European banks: A copula approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 27-42.
- Jacob Kleinow & Tobias Nell, 2015. "Determinants of systemically important banks: the case of Europe," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 7(4), pages 446-476, November.
- Gabriela Anghelache & Dumitru-Cristian Oanea, 2014. "Main Romanian Commercial Banks’ Systemic Risk during Financial Crisis: a CoVar Approach," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(2), pages 069-080, December.
- Adrien Verdelhan & Nicola Borri, 2010.
"Sovereign Risk Premia,"
2010 Meeting Papers
1122, Society for Economic Dynamics.
Cited by:
- Karen K. Lewis, 2011.
"Global Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
- Karen K. Lewis, 2011. "Global asset pricing," Globalization Institute Working Papers 88, Federal Reserve Bank of Dallas.
- Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
- Michael Kumhof & Romain Rancière & Pablo Winant, 2015.
"Inequality, Leverage, and Crises,"
PSE-Ecole d'économie de Paris (Postprint)
halshs-01207208, HAL.
- Michael Kumhof & Romain Rancière & Pablo Winant, 2015. "Inequality, Leverage, and Crises," American Economic Review, American Economic Association, vol. 105(3), pages 1217-1245, March.
- Romain Ranciere & Michael Kumhof, 2011. "Inequality, Leverage and Crises," 2011 Meeting Papers 1374, Society for Economic Dynamics.
- Michael Kumhof & Romain Rancière & Pablo Winant, 2015. "Inequality, Leverage, and Crises," PSE - Labex "OSE-Ouvrir la Science Economique" halshs-01207208, HAL.
- Michael Kumhof & Romain Rancière & Pablo Winant, 2015. "Inequality, Leverage, and Crises," Post-Print halshs-01207208, HAL.
- Mr. Romain Ranciere & Mr. Michael Kumhof, 2010. "Inequality, Leverage and Crises," IMF Working Papers 2010/268, International Monetary Fund.
- Rancière, Romain & Kumhof, Michael, 2011. "Inequality, Leverage and Crises," CEPR Discussion Papers 8179, C.E.P.R. Discussion Papers.
- Javier Bianchi & Juan Carlos Hatchondo & Leonardo Martinez, 2012.
"International Reserves and Rollover Risk,"
NBER Working Papers
18628, National Bureau of Economic Research, Inc.
- Javier Bianchi & Juan Carlos Hatchondo & Leonardo Martinez, 2013. "International reserves and rollover risk," Working Paper 13-01, Federal Reserve Bank of Richmond.
- Javier Bianchi & Juan Carlos Hatchondo & Leonardo Martinez, 2016. "International Reserves and Rollover Risk," Working Papers 735, Federal Reserve Bank of Minneapolis.
- Javier Bianchi & Juan Carlos Hatchondo & Leonardo Martinez, 2018. "International Reserves and Rollover Risk," American Economic Review, American Economic Association, vol. 108(9), pages 2629-2670, September.
- Javier Bianchi & Juan Carlos Hatchondo, 2013. "International reserves and rollover risk," Globalization Institute Working Papers 151, Federal Reserve Bank of Dallas.
- Javier Bianchi & Juan Carlos Hatchondo & Mr. Leonardo Martinez, 2013. "International Reserves and Rollover Risk," IMF Working Papers 2013/033, International Monetary Fund.
- Dennis Bonam & Jasper Lukkezen, 2019. "Fiscal and Monetary Policy Coordination, Macroeconomic Stability, and Sovereign Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(2-3), pages 581-616, March.
- Aguiar, M. & Chatterjee, S. & Cole, H. & Stangebye, Z., 2016.
"Quantitative Models of Sovereign Debt Crises,"
Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1697-1755,
Elsevier.
- Mark Aguiar & Satyajit Chatterjee & Harold Cole & Zachary Stangebye, 2016. "Quantitative Models of Sovereign Debt Crises," NBER Working Papers 22125, National Bureau of Economic Research, Inc.
- Alessandro Dovis & Luigi Bocola, 2015. "Indeterminacy in Sovereign Debt Markets: An Empirical Investigation," 2015 Meeting Papers 694, Society for Economic Dynamics.
- Dr. Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.
- Juan Carlos Hatchondo & Leonardo Martinez & Francisco Roch, 2015.
"Fiscal rules and the Sovereign Default Premium,"
CAEPR Working Papers
2015-010, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Juan Carlos Hatchondo & Mr. Francisco Roch & Mr. Leonardo Martinez, 2012. "Fiscal Rules and the Sovereign Default Premium," IMF Working Papers 2012/030, International Monetary Fund.
- Juan Carlos Hatchondo & Leonardo Martinez & Francisco Roch, 2012. "Fiscal rules and the sovereign default premium," Working Paper 12-01, Federal Reserve Bank of Richmond.
- Leonardo Martinez & Francisco Roch & Juan Hatchondo, 2015. "Fiscal rules and the sovereign default premium," 2015 Meeting Papers 1262, Society for Economic Dynamics.
- Trebesch, Christoph & Meyer, Josefin & Reinhart, Carmen, 2022.
"Sovereign Bonds since Waterloo,"
CEPR Discussion Papers
13514, C.E.P.R. Discussion Papers.
- Meyer, Josefin & Reinhart, Carmen M. & Trebesch, Christoph, 2021. "Sovereign bonds since Waterloo," Kiel Working Papers 2206, Kiel Institute for the World Economy (IfW Kiel).
- Josefin Meyer & Carmen M Reinhart & Christoph Trebesch, 2022. "Sovereign Bonds Since Waterloo," The Quarterly Journal of Economics, Oxford University Press, vol. 137(3), pages 1615-1680.
- Josefin Meyer & Carmen M. Reinhart & Christoph Trebesch, 2019. "Sovereign Bonds since Waterloo," NBER Working Papers 25543, National Bureau of Economic Research, Inc.
- Meyer, Josefin & Reinhart, Carmen M. & Trebesch, Christoph, 2019. "Sovereign Bonds since Waterloo," Working Papers 12, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
- Meyer,Josefin & Reinhart,Carmen M. & Trebesch,Christoph, 2022. "Sovereign Bonds since Waterloo," Policy Research Working Paper Series 9906, The World Bank.
- Meyer, Josefin & Reinhart, Carmen M. & Trebesch, Christoph, 2019. "Sovereign Bonds since Waterloo," Working Paper Series rwp19-009, Harvard University, John F. Kennedy School of Government.
- Josefin Meyer & Carmen M. Reinhart & Christoph Trebesch, 2019. "Sovereign Bonds since Waterloo," CESifo Working Paper Series 7506, CESifo.
- Josefin Meyer & Carmen M. Reinhart & Christoph Trebesch, 2022. "Sovereign Bonds since Waterloo," Discussion Papers of DIW Berlin 1993, DIW Berlin, German Institute for Economic Research.
- Reitz, Stefan & Umlandt, Dennis, 2019.
"Foreign exchange dealer asset pricing,"
Discussion Papers
39/2019, Deutsche Bundesbank.
- Stefan Reitz & Dennis Umlandt, 2019. "Foreign Exchange Dealer Asset Pricing," Working Paper Series 2019-08, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Cosmin Ilut & Peter Benczur, 2010.
"Evidence for Relational Contracts in Sovereign Bank Lending,"
2010 Meeting Papers
91, Society for Economic Dynamics.
- Péter Benczúr & Cosmin L. Ilut, 2016. "Evidence For Relational Contracts In Sovereign Bank Lending," Journal of the European Economic Association, European Economic Association, vol. 14(2), pages 375-404, April.
- Péter Benczúr & Cosmin L. Ilut, 2016. "Evidence for Relational Contracts in Sovereign Bank Lending," Journal of the European Economic Association, European Economic Association, vol. 14(2), pages 375-404.
- Peter Benczur & Cosmin L. Ilut, 2014. "Evidence for Relational Contracts in Sovereign Bank Lending," NBER Working Papers 20391, National Bureau of Economic Research, Inc.
- Sergio Rebelo & Neng Wang & Jinqiang Yang, 2018.
"Rare Disasters, Financial Development, and Sovereign Debt,"
NBER Working Papers
25031, National Bureau of Economic Research, Inc.
- Rebelo, Sérgio & Wang, Neng & Yang, Jinqiang, 2018. "Rare Disasters, Financial Development, and Sovereign Debt," CEPR Discussion Papers 13202, C.E.P.R. Discussion Papers.
- Cristina Arellano & Yan Bai, 2013.
"Linkages across sovereign debt markets,"
Staff Report
491, Federal Reserve Bank of Minneapolis.
- Yan Bai & Cristina Arellano, 2012. "Linkages across sovereign debt markets," 2012 Meeting Papers 414, Society for Economic Dynamics.
- Cristina Arellano & Yan Bai, 2013. "Linkages across Sovereign Debt Markets," NBER Working Papers 19548, National Bureau of Economic Research, Inc.
- Demian Pouzo & Ignacio Presno, 2015. "Sovereign Default Risk and Uncertainty Premia," Papers 1512.06960, arXiv.org.
- Johri, Alok & Khan, Shahed & Sosa-Padilla, César, 2022.
"Interest rate uncertainty and sovereign default risk,"
Journal of International Economics, Elsevier, vol. 139(C).
- Alok Johri & Shahed K. Khan & Cesar Sosa-Padilla, 2018. "Interest Rate Uncertainty and Sovereign Default Risk," Department of Economics Working Papers 2018-17, McMaster University.
- Shahed Khan & Alok Johri & Cesar Sosa-Padilla, 2017. "Interest Rate Uncertainty and Sovereign Default Risk," 2017 Meeting Papers 1192, Society for Economic Dynamics.
- Alok Johri & Shahed Khan & Cesar Sosa-Padilla, 2020. "Interest Rate Uncertainty and Sovereign Default Risk," Department of Economics Working Papers 2020-13, McMaster University.
- Alok Johri & Shahed Khan & César Sosa-Padilla, 2020. "Interest Rate Uncertainty and Sovereign Default Risk," Working Papers 31, Red Nacional de Investigadores en Economía (RedNIE).
- Alok Johri & Shahed Khan & César Sosa-Padilla, 2020. "Interest Rate Uncertainty and Sovereign Default Risk," NBER Working Papers 27639, National Bureau of Economic Research, Inc.
- Shahed Khan & Cesar Sosa-Padilla & Alok Johri, 2016. "Interest Rate Uncertainty and Sovereign Default Risk," 2016 Meeting Papers 1676, Society for Economic Dynamics.
- Asonuma, Tamon, 2014.
"Sovereign defaults, external debt and real exchange rate dynamics,"
MPRA Paper
55133, University Library of Munich, Germany.
- Mr. Tamon Asonuma, 2016. "Sovereign Defaults, External Debt, and Real Exchange Rate Dynamics," IMF Working Papers 2016/037, International Monetary Fund.
- Cristina Arellano & Ananth Ramanarayanan, 2008.
"Default and the maturity structure in sovereign bonds,"
Staff Report
410, Federal Reserve Bank of Minneapolis.
- Cristina Arellano & Ananth Ramanarayanan, 2008. "Default and the maturity structure in sovereign bonds," Globalization Institute Working Papers 19, Federal Reserve Bank of Dallas.
- Ananth Ramanarayanan & Cristina Arellano, 2008. "Default and the Maturity Structure in Sovereign Bonds," 2008 Meeting Papers 479, Society for Economic Dynamics.
- Cristina Arellano & Ananth Ramanarayanan, 2012. "Default and the Maturity Structure in Sovereign Bonds," Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 187-232.
- Leonardo Martinez & Cesar Sosa Padilla & Juan Hatchondo, 2012.
"Debt dilution and sovereign default risk,"
2012 Meeting Papers
974, Society for Economic Dynamics.
- Juan Carlos Hatchondo & Leonardo Martinez & Cesar Sosa-Padilla, 2014. "Debt Dilution and Sovereign Default Risk," Department of Economics Working Papers 2014-06, McMaster University.
- Juan Carlos Hatchondo & Leonardo Martinez & César Sosa-Padilla, 2016. "Debt Dilution and Sovereign Default Risk," Journal of Political Economy, University of Chicago Press, vol. 124(5), pages 1383-1422.
- Mr. Leonardo Martinez & Juan Carlos Hatchondo & Cesar Sosa Padilla, 2011. "Debt Dilution and Sovereign Default Risk," IMF Working Papers 2011/070, International Monetary Fund.
- Juan Carlos Hatchondo & Leonardo Martinez, 2012. "Debt dilution and sovereign default risk," Working Paper 10-08, Federal Reserve Bank of Richmond.
- Juan Carlos Hatchondo & Leonardo Martinez & Cesar Sosa-Padilla, 2015. "Debt Dilution and Sovereign Default Risk," CAEPR Working Papers 2015-012, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Marina Azzimonti & Vincenzo Quadrini, 2019. "International spillovers and `ex-ante' efficient bailouts," 2019 Meeting Papers 318, Society for Economic Dynamics.
- Flavia Corneli & Emanuele Tarantino, 2011. "Reserve management and sovereign debt cost in a world with liquidity crises," Temi di discussione (Economic working papers) 797, Bank of Italy, Economic Research and International Relations Area.
- Mark Aguiar & Manuel Amador, 2013. "Sovereign Debt: A Review," NBER Working Papers 19388, National Bureau of Economic Research, Inc.
- Luigi Bocola & Guido Lorenzoni, 2017.
"Financial Crises, Dollarization, and Lending of Last Resort in Open Economies,"
NBER Working Papers
23984, National Bureau of Economic Research, Inc.
- Luigi Bocola & Guido Lorenzoni, 2020. "Financial Crises, Dollarization, and Lending of Last Resort in Open Economies," American Economic Review, American Economic Association, vol. 110(8), pages 2524-2557, August.
- Wenxin Du & Jesse Schreger, 2013.
"Local Currency Sovereign Risk,"
International Finance Discussion Papers
1094, Board of Governors of the Federal Reserve System (U.S.).
- Wenxin Du & Jesse Schreger, 2014. "Local Currency Sovereign Risk," Working Paper 102321, Harvard University OpenScholar.
- Borri, Nicola, 2018. "Local currency systemic risk," Emerging Markets Review, Elsevier, vol. 34(C), pages 111-123.
- Mr. Luis Catão & Rui Mano, 2015.
"Default Premium,"
IMF Working Papers
2015/167, International Monetary Fund.
- Catão, Luis A.V. & Mano, Rui C., 2017. "Default premium," Journal of International Economics, Elsevier, vol. 107(C), pages 91-110.
- Jeanneret, Alexandre & Souissi, Slim, 2016. "Sovereign defaults by currency denomination," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 197-222.
- Marina Azzimonti & Vincenzo Quadrini, 2019.
"International Spillovers and Bailouts,"
Department of Economics Working Papers
19-06, Stony Brook University, Department of Economics.
- Marina Azzimonti & Vincenzo Quadrini, 2018. "International Spillovers and Bailouts," NBER Working Papers 25011, National Bureau of Economic Research, Inc.
- Ignacio Presno & Demian Pouzo, 2012. "Sovereign Default Risk and Uncertainty Premia," 2012 Meeting Papers 608, Society for Economic Dynamics.
- Flavia Corneli & Emanuele Tarantino, 2015.
"Sovereign debt and reserves with liquidity and productivity crises,"
Temi di discussione (Economic working papers)
1012, Bank of Italy, Economic Research and International Relations Area.
- Corneli, Flavia & Tarantino, Emanuele, 2016. "Sovereign debt and reserves with liquidity and productivity crises," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 166-194.
- Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2020. "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," Journal of Finance, American Finance Association, vol. 75(6), pages 3097-3138, December.
- Cristina Arellano & Yan Bai & Sandra Lizarazo, 2017.
"Sovereign Risk Contagion,"
Staff Report
559, Federal Reserve Bank of Minneapolis.
- Cristina Arellano & Yan Bai & Sandra Lizarazo, 2017. "Sovereign Risk Contagion," NBER Working Papers 24031, National Bureau of Economic Research, Inc.
- Luigi Bocola & Alessandro Dovis, 2016.
"Self-Fulfilling Debt Crises: A Quantitative Analysis,"
NBER Working Papers
22694, National Bureau of Economic Research, Inc.
- Luigi Bocola & Alessandro Dovis, 2019. "Self-Fulfilling Debt Crises: A Quantitative Analysis," American Economic Review, American Economic Association, vol. 109(12), pages 4343-4377, December.
- Alessandro Dovis & Luigi Bocola, 2016. "Self_fulfilling Debt Crises: A Quantitative Analysis," 2016 Meeting Papers 1218, Society for Economic Dynamics.
- Coroneo, Laura & Pastorello, Sergio, 2020.
"European spreads at the interest rate lower bound,"
Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
- Laura Coroneo & Sergio Pastorello, 2017. "European spreads at the interest rate lower bound," Discussion Papers 17/10, Department of Economics, University of York.
- Jeanneret, Alexandre, 2018. "Sovereign credit spreads under good/bad governance," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 230-246.
- Christoph Große Steffen & Maximilian Podstawski, 2016.
"Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets,"
Discussion Papers of DIW Berlin
1602, DIW Berlin, German Institute for Economic Research.
- Grosse Steffen, Christoph & Podstawski, Maximilian, 2017. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168101, Verein für Socialpolitik / German Economic Association.
- Jens Hilscher & Yves Nosbusch, 2010.
"Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt,"
Review of Finance, European Finance Association, vol. 14(2), pages 235-262.
- Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007.
- Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2014.
"Political Risk Spreads,"
NBER Working Papers
19786, National Bureau of Economic Research, Inc.
- Geert Bekaert & Campbell R Harvey & Christian T Lundblad & Stephan Siegel, 2014. "Political risk spreads," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 45(4), pages 471-493, May.
- Kieran Walsh, 2014. "Portfolio Choice and Partial Default in Emerging Markets: a quantitative analysis," 2014 Meeting Papers 789, Society for Economic Dynamics.
- Eichler, Stefan & Plaga, Timo, 2020. "The economic record of the government and sovereign bond and stock returns around national elections," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Nitschka, Thomas, 2018. "Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 44-54.
- Yildirim, Zekeriya, 2016. "Global financial conditions and asset markets: Evidence from fragile emerging economies," Economic Modelling, Elsevier, vol. 57(C), pages 208-220.
- Yasin Kursat Onder, 2015.
"Liquidity Crises, Liquidity Lines and Sovereign Risk,"
Working Papers
1536, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Yasin Kürsat Önder, 2021. "Liquidity Crises, Liquidity Lines and Sovereign Risk," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1029, Ghent University, Faculty of Economics and Business Administration.
- Kürşat Önder, Yasin, 2022. "Liquidity crises, liquidity lines and sovereign risk," Journal of Development Economics, Elsevier, vol. 154(C).
- Ina Simonovska & Espen Henriksen, 2013. "Time-Varying Risk Premia and Capital Flows to Developing Countries," 2013 Meeting Papers 1258, Society for Economic Dynamics.
- Peter Benczur & Cosmin Ilut, 2011. "Evidence for Dynamic Contracts in Sovereign Bank Lending," Working Papers 11-06, Duke University, Department of Economics.
- Luigi Bocola & Guido Lorenzoni, 2017. "Financial Crises and Lending of Last Resort in Open Economies," Staff Report 557, Federal Reserve Bank of Minneapolis.
- Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2016. "Political risk and international valuation," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 1-23.
- Zachary Stangebye & Satyajit Chatterjee & Harold Cole & Mark Aguiar, 2016. "Self-Fulfilling Sovereign Debt Crises," 2016 Meeting Papers 360, Society for Economic Dynamics.
- Aguiar, Mark & Amador, Manuel, 2014. "Sovereign Debt," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 647-687, Elsevier.
- Moretti, Laura, 2011. "Transparency and emerging market bond spreads," CFS Working Paper Series 2011/14, Center for Financial Studies (CFS).
- Joel M. David & Espen Henriksen & Ina Simonovska, 2014.
"The Risky Capital of Emerging Markets,"
NBER Working Papers
20769, National Bureau of Economic Research, Inc.
- Ina Simonovska & Espen Henriksen & Joel David, 2016. "The Risky Capital of Emerging Markets," 2016 Meeting Papers 125, Society for Economic Dynamics.
- Juan Carlos Hatchondo & Cesar Sosa-Padilla & Leonardo Martinez, 2010. "Debt dilution, overborrowing, and sovereign default risk," 2010 Meeting Papers 481, Society for Economic Dynamics.
- Filippo Brutti & Philip Sauré, 2012.
"Transmission of Sovereign Risk in the Euro Crisis,"
Working Papers
12.01, Swiss National Bank, Study Center Gerzensee.
- Brutti, Filippo & Sauré, Philip, 2015. "Transmission of sovereign risk in the Euro crisis," Journal of International Economics, Elsevier, vol. 97(2), pages 231-248.
- Fabrice Tourre, 2017. "A Macro-Finance Approach to Sovereign Debt Spreads and Returns," 2017 Meeting Papers 13, Society for Economic Dynamics.
- Juan Passadore, 2015. "Illiquidity in Sovereign Debt Markets," 2015 Meeting Papers 191, Society for Economic Dynamics.
- Li, Yulin & Wald, John K. & Wang, Zijun, 2020. "Sovereign bonds, coskewness, and monetary policy regimes," Journal of Financial Stability, Elsevier, vol. 50(C).
- Sandro C. Andrade & Vidhi Chhaochharia, 2018. "The Costs of Sovereign Default: Evidence from the Stock Market," Review of Financial Studies, Society for Financial Studies, vol. 31(5), pages 1707-1751.
- Karen K. Lewis, 2011.
"Global Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
Articles
- Borri, Nicola & Giorgio, Giorgio di, 2022.
"Systemic risk and the COVID challenge in the european banking sector,"
Journal of Banking & Finance, Elsevier, vol. 140(C).
See citations under working paper version above.
- Nicola Borri & Giorgio Di Giorgio, 2020. "Systemic Risk and the COVID Challenge in the European Banking Sector," Working Papers CASMEF 2005, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Nicola Borri & Kirill Shakhnov, 2022.
"The Cross-Section of Cryptocurrency Returns [A simple estimation of bid-ask spreads from daily close, high, and low prices],"
The Review of Asset Pricing Studies, Oxford University Press, vol. 12(3), pages 667-705.
Cited by:
- Saggese, Pietro & Belmonte, Alessandro & Dimitri, Nicola & Facchini, Angelo & Böhme, Rainer, 2023. "Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform," Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 251-270.
- Emanuele Citera & Francesco De Pretis, 2023. "An Information Theory Approach to the Stock and Cryptocurrency Market: A Statistical Equilibrium Perspective," Papers 2310.04907, arXiv.org.
- Crépellière, Tommy & Pelster, Matthias & Zeisberger, Stefan, 2023. "Arbitrage in the market for cryptocurrencies," Journal of Financial Markets, Elsevier, vol. 64(C).
- Reinhart, Carmen & Graf von Luckner, Clemens & Rogoff, Kenneth, 2023.
"Decrypting New Age International Capital Flows,"
CEPR Discussion Papers
17859, C.E.P.R. Discussion Papers.
- Clemens Graf von Luckner & Carmen M. Reinhart & Kenneth S. Rogoff, 2021. "Decrypting New Age International Capital Flows," NBER Working Papers 29337, National Bureau of Economic Research, Inc.
- Graf von Luckner, Clemens & Reinhart, Carmen M. & Rogoff, Kenneth, 2023. "Decrypting new age international capital flows," Journal of Monetary Economics, Elsevier, vol. 138(C), pages 104-122.
- Graf Von Luckner,Clemens Mathis Henrik,Reinhart,Carmen M.,Rogoff,Kenneth S., 2021. "Decrypting New Age International Capital Flows," Policy Research Working Paper Series 9794, The World Bank.
- Zhang, Zehua & Zhao, Ran, 2023. "Good volatility, bad volatility, and the cross section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Nicola Borri & Francesco Drago & Chiara Santantonio & Francesco Sobbrio, 2021.
"The “Great Lockdown”: Inactive workers and mortality by Covid‐19,"
Health Economics, John Wiley & Sons, Ltd., vol. 30(10), pages 2367-2382, September.
See citations under working paper version above.
- Nicola Borri & Francesco Drago & Chiara Santantonio & Francesco Sobbrio, 2020. "The "Great Lockdown": Inactive Workers and Mortality by Covid-19," CESifo Working Paper Series 8584, CESifo.
- Drago, Francesco & Borri, Nicola & Santantonio, Chiara & Sobbrio, Francesco, 2020. "The 'Great Lockdown': Inactive Workers and Mortality by Covid-19," CEPR Discussion Papers 15317, C.E.P.R. Discussion Papers.
- Nicola Borri & Kirill Shakhnov, 2021.
"Global Risk in Long-Term Sovereign Debt,"
The Review of Asset Pricing Studies, Oxford University Press, vol. 11(3), pages 654-693.
Cited by:
- Andrade, Sandro C. & Ekponon, Adelphe & Jeanneret, Alexandre, 2023. "Sovereign risk premia and global macroeconomic conditions," Journal of Financial Economics, Elsevier, vol. 147(1), pages 172-197.
- Maxim Nikitin & Branko Urošević, 2022. "Globalisation, Exchange Rate Regimes, and Financial Contagion," Russian Journal of Money and Finance, Bank of Russia, vol. 81(4), pages 3-33, December.
- Nicola Borri & Pietro Reichlin, 2021.
"Optimal Taxation with Home Ownership and Wealth Inequality,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 64-84, April.
See citations under working paper version above.
- Reichlin, Pietro & Borri, Nicola, 2019. "Optimal Taxation with Homeownership and Wealth Inequality," CEPR Discussion Papers 14144, C.E.P.R. Discussion Papers.
- Nicola Borri & Pietro Reichlin, 2020. "Online Appendix to "Optimal Taxation with Home Ownership and Wealth Inequality"," Online Appendices 19-19, Review of Economic Dynamics.
- Nicola Borri & Pietro Reichlin, 2020. "Code and data files for "Optimal Taxation with Home Ownership and Wealth Inequality"," Computer Codes 19-19, Review of Economic Dynamics.
- Borri, Nicola & Shakhnov, Kirill, 2020.
"Regulation spillovers across cryptocurrency markets,"
Finance Research Letters, Elsevier, vol. 36(C).
Cited by:
- Raphael Auer & Marc Farag & Ulf Lewrick & Lovrenc Orazem & Markus Zoss, 2022.
"Banking in the shadow of Bitcoin? The institutional adoption of cryptocurrencies,"
BIS Working Papers
1013, Bank for International Settlements.
- Raphael Auer & Marc Farag & Ulf Lewrick & Lovrenc Orazem & Markus Zoss & Raphael A. Auer, 2023. "Banking in the Shadow of Bitcoin? The Institutional Adoption of Cryptocurrencies," CESifo Working Paper Series 10355, CESifo.
- Cao, Guangxi & Xie, Wenhao, 2021. "The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Fairouz Mustafa & Suman Lodh & Monomita Nandy & Vikas Kumar, 2022. "Coupling of cryptocurrency trading with the sustainable environmental goals: Is it on the cards?," Business Strategy and the Environment, Wiley Blackwell, vol. 31(3), pages 1152-1168, March.
- Daniele Bianchi & Mykola Babiak, 2021. "A Factor Model for Cryptocurrency Returns," CERGE-EI Working Papers wp710, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Ajithakumari Vijayappan Nair Biju & Ann Susan Thomas, 2023. "Uncertainties and ambivalence in the crypto market: an urgent need for a regional crypto regulation," SN Business & Economics, Springer, vol. 3(8), pages 1-21, August.
- Akanksha Jalan & Roman Matkovskyy & Andrew Urquhart & Larisa Yarovaya, 2023.
"The role of interpersonal trust in cryptocurrency adoption,"
Post-Print
hal-03946536, HAL.
- Jalan, Akanksha & Matkovskyy, Roman & Urquhart, Andrew & Yarovaya, Larisa, 2023. "The role of interpersonal trust in cryptocurrency adoption," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
- Jinxin Cui & Aktham Maghyereh, 2022. "Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
- Lee, Jangyoun & Oh, Taehee, 2022. "The Kimchi premium and bitcoin-cashing outlets," Finance Research Letters, Elsevier, vol. 50(C).
- Gradojevic, Nikola & Tsiakas, Ilias, 2021. "Volatility cascades in cryptocurrency trading," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 252-265.
- Cao, Guangxi & Xie, Wenhao, 2022. "Asymmetric dynamic spillover effect between cryptocurrency and China's financial market: Evidence from TVP-VAR based connectedness approach," Finance Research Letters, Elsevier, vol. 49(C).
- Daehan Kim & Mehmet Huseyin Bilgin & Doojin Ryu, 2021. "Are suspicious activity reporting requirements for cryptocurrency exchanges effective?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-17, December.
- Copestake, Alexander & Furceri, Davide & Gonzalez-Dominguez, Pablo, 2023. "Crypto market responses to digital asset policies," Economics Letters, Elsevier, vol. 222(C).
- Arpaci, Ibrahim, 2023. "Predictors of financial sustainability for cryptocurrencies: An empirical study using a hybrid SEM-ANN approach," Technological Forecasting and Social Change, Elsevier, vol. 196(C).
- Yousaf, Imran & Yarovaya, Larisa, 2022. "The relationship between trading volume, volatility and returns of Non-Fungible Tokens: evidence from a quantile approach," Finance Research Letters, Elsevier, vol. 50(C).
- Luca Mungo & Silvia Bartolucci & Laura Alessandretti, 2023. "Cryptocurrency co-investment network: token returns reflect investment patterns," Papers 2301.02027, arXiv.org, revised Jan 2023.
- Rehman, Mobeen Ur & Katsiampa, Paraskevi & Zeitun, Rami & Vo, Xuan Vinh, 2023. "Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies," Emerging Markets Review, Elsevier, vol. 55(C).
- Raphael Auer & Marc Farag & Ulf Lewrick & Lovrenc Orazem & Markus Zoss, 2022.
"Banking in the shadow of Bitcoin? The institutional adoption of cryptocurrencies,"
BIS Working Papers
1013, Bank for International Settlements.
- Borri, Nicola, 2019.
"Conditional tail-risk in cryptocurrency markets,"
Journal of Empirical Finance, Elsevier, vol. 50(C), pages 1-19.
Cited by:
- Huang, Xiaoran & Lin, Juan & Wang, Peng, 2022. "Are institutional investors marching into the crypto market?," Economics Letters, Elsevier, vol. 220(C).
- Duan, Kun & Li, Zeming & Urquhart, Andrew & Ye, Jinqiang, 2021. "Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach," International Review of Financial Analysis, Elsevier, vol. 75(C).
- Fousekis, Panos & Grigoriadis, Vasilis, 2022. "Conditional tail price risk spillovers in coffee markets across quality, physical space, and time: Empirical analysis with penalized quantile regressions," Economic Modelling, Elsevier, vol. 106(C).
- V. Sasidevan & Nils Bertschinger, 2019. "Systemic Risk: Fire-Walling Financial Systems Using Network-Based Approaches," Papers 1912.05273, arXiv.org.
- Naeem, Muhammad Abubakr & Lucey, Brian M. & Karim, Sitara & Ghafoor, Abdul, 2022. "Do financial volatilities mitigate the risk of cryptocurrency indexes?," Finance Research Letters, Elsevier, vol. 50(C).
- Yaya, OlaOluwa S & Ogbonna, Ephraim A & Olubusoye, Olusanya E, 2018.
"How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?,"
MPRA Paper
91253, University Library of Munich, Germany.
- Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Olubusoye, Olusanya E., 2019. "How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 531(C).
- Damian Zięba, 2019. "Lévy processes on the cryptocurrency market," Working Papers 2019-15, Faculty of Economic Sciences, University of Warsaw.
- Pennoni, Fulvia & Bartolucci, Francesco & Forte, Gianfranco & Ametrano, Ferdinando, 2020.
"Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model,"
MPRA Paper
106150, University Library of Munich, Germany.
- Fulvia Pennoni & Francesco Bartolucci & Gianfranco Forte & Ferdinando Ametrano, 2022. "Exploring the dependencies among main cryptocurrency log‐returns: A hidden Markov model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(1), February.
- Jalan, Akanksha & Matkovskyy, Roman, 2023. "Systemic risks in the cryptocurrency market: Evidence from the FTX collapse," Finance Research Letters, Elsevier, vol. 53(C).
- Zhengyang Bao & Andreas Leibbrandt & ple391, 2019. "Thar she resurges: The case of assets that lack positive fundamental value," Monash Economics Working Papers 12-19, Monash University, Department of Economics.
- Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022.
"Vulnerability-CoVaR: Investigating the Crypto-market,"
Papers
2203.10777, arXiv.org.
- Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: investigating the crypto-market," Quantitative Finance, Taylor & Francis Journals, vol. 22(9), pages 1731-1745, September.
- Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2020.
"Tail Risk Measurement In Crypto-Asset Markets,"
DEM Working Papers Series
186, University of Pavia, Department of Economics and Management.
- Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
- He Siyun & Ibragimov Rustam, 2022. "Predictability of cryptocurrency returns: evidence from robust tests," Dependence Modeling, De Gruyter, vol. 10(1), pages 191-206, January.
- George Tzagkarakis & Frantz Maurer, 2023. "Horizon-Adaptive Extreme Risk Quantification for Cryptocurrency Assets," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1251-1286, October.
- Cao, Guangxi & Xie, Wenhao, 2021. "The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Qiao, Xingzhi & Zhu, Huiming & Hau, Liya, 2020. "Time-frequency co-movement of cryptocurrency return and volatility: Evidence from wavelet coherence analysis," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Xu, Qiuhua & Zhang, Yixuan & Zhang, Ziyang, 2021. "Tail-risk spillovers in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 38(C).
- Ouandlous, Arav & Barkoulas, John T. & Pantos, Themis D., 2022. "Extremity in bitcoin market activity," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
- Victoria Dobrynskaya, 2020.
"Is Downside Risk Priced In Cryptocurrency Market?,"
HSE Working papers
WP BRP 79/FE/2020, National Research University Higher School of Economics.
- Dobrynskaya, Victoria, 2024. "Is downside risk priced in cryptocurrency market?," International Review of Financial Analysis, Elsevier, vol. 91(C).
- Arief Hakim & Khreshna Syuhada, 2023. "Formulating MCoVaR to Quantify Joint Transmissions of Systemic Risk across Crypto and Non-Crypto Markets: A Multivariate Copula Approach," Risks, MDPI, vol. 11(2), pages 1-45, February.
- Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022. "Semi-nonparametric risk assessment with cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
- Yuzhi Cai & Thanaset Chevapatrakul & Danilo V. Mascia, 2021. "How is price explosivity triggered in the cryptocurrency markets?," Annals of Operations Research, Springer, vol. 307(1), pages 37-51, December.
- Lahmiri, Salim & Bekiros, Stelios, 2020. "Intelligent forecasting with machine learning trading systems in chaotic intraday Bitcoin market," Chaos, Solitons & Fractals, Elsevier, vol. 133(C).
- Li, Leon & Miu, Peter, 2023. "Are cryptocurrencies a safe haven for stock investors? A regime-switching approach," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 367-385.
- Qiu, Yue & Wang, Zongrun & Xie, Tian & Zhang, Xinyu, 2021. "Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 179-201.
- Angerer, Martin & Hoffmann, Christian Hugo & Neitzert, Florian & Kraus, Sascha, 2021. "Objective and subjective risks of investing into cryptocurrencies," Finance Research Letters, Elsevier, vol. 40(C).
- Roy, Preeti & Ahmad, Wasim & Sadorsky, Perry & Phani, B.V., 2022. "What do we know about the idiosyncratic risk of clean energy equities?," Energy Economics, Elsevier, vol. 112(C).
- Sonia Arsi & Soumaya Ben Khelifa & Yosra Ghabri & Hela Mzoughi, 2021. "Cryptocurrencies: Key Risks and Challenges," World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi & Samir Saadi (ed.), Cryptofinance A New Currency for a New Economy, chapter 7, pages 121-145, World Scientific Publishing Co. Pte. Ltd..
- Namryoung Lee, 2023. "The Relationship between a Company’s Cryptocurrency Holdings and Its Sustainable Performance—With a Focus on External and Internal Financial Issues and Cash," Sustainability, MDPI, vol. 15(23), pages 1-15, November.
- Pascal Bruhn & Dietmar Ernst, 2022. "Assessing the Risk Characteristics of the Cryptocurrency Market: A GARCH-EVT-Copula Approach," JRFM, MDPI, vol. 15(8), pages 1-28, August.
- Ahmed, Walid M.A. & Al Mafrachi, Mustafa, 2021. "Do higher-order realized moments matter for cryptocurrency returns?," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 483-499.
- Moreno, David & Antoli, Marcos & Quintana, David, 2022. "Benefits of investing in cryptocurrencies when liquidity is a factor," Research in International Business and Finance, Elsevier, vol. 63(C).
- Jinxin Cui & Aktham Maghyereh, 2022. "Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
- Georgios Bampinas & Theodore Panagiotidis, 2024.
"How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?,"
Working Paper series
24-01, Rimini Centre for Economic Analysis.
- Bampinas, Georgios & Panagiotidis, Theodore, 2023. "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," MPRA Paper 117094, University Library of Munich, Germany.
- Davidovic, Milivoje, 2021. "From pandemic to financial contagion: High-frequency risk metrics and Bayesian volatility analysis," Finance Research Letters, Elsevier, vol. 42(C).
- Luo, Di & Mishra, Tapas & Yarovaya, Larisa & Zhang, Zhuang, 2021. "Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
- Giovanni Bonaccolto & Massimiliano Caporin & Bertrand Maillet, 2022.
"Dynamic Large Financial Networks via Conditional Expected Shortfalls,"
Post-Print
hal-03287947, HAL.
- Bonaccolto, Giovanni & Caporin, Massimiliano & Maillet, Bertrand B., 2022. "Dynamic large financial networks via conditional expected shortfalls," European Journal of Operational Research, Elsevier, vol. 298(1), pages 322-336.
- Borri, Nicola & Shakhnov, Kirill, 2020. "Regulation spillovers across cryptocurrency markets," Finance Research Letters, Elsevier, vol. 36(C).
- Yulin Liu & Luyao Zhang, 2022. "Cryptocurrency Valuation: An Explainable AI Approach," Papers 2201.12893, arXiv.org, revised Jul 2023.
- Maghyereh, Aktham & Abdoh, Hussein, 2021. "Time–frequency quantile dependence between Bitcoin and global equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
- Ahmed, Shaker & Grobys, Klaus & Sapkota, Niranjan, 2020. "Profitability of technical trading rules among cryptocurrencies with privacy function," Finance Research Letters, Elsevier, vol. 35(C).
- Borgards, Oliver & Czudaj, Robert L., 2020. "The prevalence of price overreactions in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
- Costantini, Mauro & Maaitah, Ahmad & Mishra, Tapas & Sousa, Ricardo M., 2023. "Bitcoin market networks and cyberattacks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
- Gradojevic, Nikola & Tsiakas, Ilias, 2021. "Volatility cascades in cryptocurrency trading," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 252-265.
- Yukun Liu & Aleh Tsyvinski, 2019.
"Risks and Returns of Cryptocurrency,"
2019 Meeting Papers
160, Society for Economic Dynamics.
- Yukun Liu & Aleh Tsyvinski, 2018. "Risks and Returns of Cryptocurrency," NBER Working Papers 24877, National Bureau of Economic Research, Inc.
- Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors?," Research in International Business and Finance, Elsevier, vol. 64(C).
- Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
- Fousekis, Panos, 2022. "Price risk connectedness in the principal olive oil markets of the EU," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
- Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Raheem, Ibrahim D., 2020. "Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches," Energy Economics, Elsevier, vol. 86(C).
- Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2023.
"Asymmetric Monetary Policy Tradeoffs,"
Working Papers
1404, Barcelona School of Economics.
- Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020. "Asymmetric monetary policy tradeoffs," Economics Working Papers 1742, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2023.
- Anwer, Zaheer & Farid, Saqib & Khan, Ashraf & Benlagha, Noureddine, 2023. "Cryptocurrencies versus environmentally sustainable assets: Does a perfect hedge exist?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 418-431.
- Zhang, Wei & Li, Yi & Xiong, Xiong & Wang, Pengfei, 2021. "Downside risk and the cross-section of cryptocurrency returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
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