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Paolo Zagaglia

Personal Details

First Name:Paolo
Middle Name:
Last Name:Zagaglia
Suffix:
RePEc Short-ID:pza65
[This author has chosen not to make the email address public]
https://www.unibo.it/sitoweb/paolo.zagaglia/en

Affiliation

(50%) Rimini Centre for Economic Analysis (RCEA)

Rimini, Italy
http://www.rcea.org/

: +390541434142
+39054155431
Via Patara, 3, 47921 Rimini (RN)
RePEc:edi:rcfeait (more details at EDIRC)

(50%) Alma Mater Studiorum - University of Bologna, School of Political Science

http://www.politicalsciences.unibo.it/en/index.htm
Bologna

Research output

as
Jump to: Working papers Articles

Working papers

  1. Paolo Zagaglia, 2014. "International portfolio allocation with European fixed-income funds: What scope for Italian funds?," Working Paper series 18_14, Rimini Centre for Economic Analysis.
  2. R. Cesari & M. Marzo & P. Zagaglia, 2012. "Effective Trade Execution," Working Papers wp836, Dipartimento Scienze Economiche, Universita' di Bologna.
  3. M. Marzo & P. Zagaglia, 2012. "Bonds Transaction Services and the Term Structure of Interest Rates: Implications for Equilibrium Determinacy," Working Papers wp821, Dipartimento Scienze Economiche, Universita' di Bologna.
  4. Liberati, Caterina & Marzo, Massimiliano & Zagaglia, Paolo & Zappa, Paola, 2012. "Structural distortions in the Euro interbank market: the role of 'key players' during the recent market turmoil," MPRA Paper 40223, University Library of Munich, Germany.
  5. Gabrielsen, A. & Zagaglia, Paolo & Kirchner, A. & Liu, Z., 2012. "Forecasting Value-at-Risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework," MPRA Paper 39294, University Library of Munich, Germany.
  6. A. Gabrielsen & M. Marzo & P. Zagaglia, 2011. "Measuring market liquidity: An introductory survey," Working Papers wp802, Dipartimento Scienze Economiche, Universita' di Bologna.
  7. M. Marzo & L. Zhoushi & P. Zagaglia, 2011. "The Relationship Between Financial Risk Premia and Macroeconomic Volatility: Issues and Perspectives on the Run-Up to the Turmoil," Working Papers wp732, Dipartimento Scienze Economiche, Universita' di Bologna.
  8. M. Marzo & D. Ritelli & P. Zagaglia, 2011. "Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method," Working Papers wp797, Dipartimento Scienze Economiche, Universita' di Bologna.
  9. Massimiliano Marzo & Paolo Zagaglia, 2011. "Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run," Working Paper series 20_11, Rimini Centre for Economic Analysis.
  10. Marzo, Massimiliano & Zagaglia, Paolo, 2011. "Equilibrium selection in a cashless economy with transaction frictions in the bond market," MPRA Paper 31680, University Library of Munich, Germany.
  11. Paolo Zagaglia, 2011. "Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback," Working Paper series 19_11, Rimini Centre for Economic Analysis.
  12. Zagaglia, Paolo, 2010. "Informed trading in the Euro money market for term lending," MPRA Paper 20415, University Library of Munich, Germany.
  13. M. Marzo & P. Zagaglia, 2010. "Lo 'shock' Lehman Brothers: una tempesta dentro la tempesta? L'esperienza degli ETF LYXOR su Euro MTS," Working Papers 703, Dipartimento Scienze Economiche, Universita' di Bologna.
  14. Massimiliano Marzo & Paolo Zagaglia, 2010. "Gold and the U.S. Dollar: Tales from the Turmoil," Working Paper series 08_10, Rimini Centre for Economic Analysis.
  15. L. Marattin & M. Marzo & P. Zagaglia, 2010. "A welfare perspective on the fiscal-monetary policy mix: The role of alternative fiscal instruments," Working Papers wp720, Dipartimento Scienze Economiche, Universita' di Bologna.
  16. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.
  17. Marzo, Massimiliano & Zagaglia, Paolo, 2009. "A Further Look at the 2004 Reform of the Operational Framework of the ECB," Research Papers in Economics 2009:8, Stockholm University, Department of Economics.
  18. Zagaglia, Paolo, 2009. "Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?," Research Papers in Economics 2009:11, Stockholm University, Department of Economics.
  19. Marzo, Massimiliano & Zagaglia, Paolo, 2009. "The Comovements Along the Term Structure of Oil Forwards in Periods of High and Low Volatility: How Tight Are They?," Research Papers in Economics 2009:1, Stockholm University, Department of Economics.
  20. Zagaglia, Paolo, 2009. "Monetary Asset Substitution in the Euro Area," MPRA Paper 17878, University Library of Munich, Germany.
  21. Zagaglia, Paolo, 2009. "What Drives the Term Structure in the Euro Area? Evidence from a Model with Feedback," Research Papers in Economics 2009:12, Stockholm University, Department of Economics.
  22. Zagaglia, Paolo, 2009. "Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model," Research Papers in Economics 2009:7, Stockholm University, Department of Economics.
  23. Zagaglia, Paolo, 2008. "The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight?," Research Papers in Economics 2008:5, Stockholm University, Department of Economics.
  24. Marzo, Massimiliano & Romagnoli , Silvia & Zagaglia, Paolo, 2008. "A Continuous-Time Model of the Term Structure of Interest Rates with Fiscal-Monetary Policy Interactions," Research Papers in Economics 2008:6, Stockholm University, Department of Economics.
  25. Marzo, Massimiliano & Zagaglia, Paolo, 2008. "Determinacy of Interest Rate Rules with Bond Transaction Services in a Cashless Economy," Research Papers in Economics 2008:7, Stockholm University, Department of Economics.
  26. Spargoli, Fabrizio & Zagaglia, Paolo, 2008. "The co-movements along the forward curve of natural gas futures : a structural view," Research Discussion Papers 26/2008, Bank of Finland.
  27. Marzo, Massimiliano & Zagaglia, Paolo, 2007. "Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets," Research Papers in Economics 2007:11, Stockholm University, Department of Economics.
  28. Spargoli, Fabrizio & Zagaglia, Paolo, 2007. "The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model," Research Papers in Economics 2007:15, Stockholm University, Department of Economics.
  29. Zagaglia, Paolo, 2007. "Distortionary Tax Instruments and Implementable Monetary Policy," Research Papers in Economics 2007:5, Stockholm University, Department of Economics.
  30. Spargoli, Fabrizio & Zagaglia, Paolo, 2007. "Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations," Research Papers in Economics 2007:16, Stockholm University, Department of Economics.
  31. Marzo, Massimiliano & Zagaglia, Paolo, 2007. "Volatility forecasting for crude oil futures," Research Papers in Economics 2007:9, Stockholm University, Department of Economics.
  32. Zagaglia, Paolo, 2006. "The Predictive Power of the Yield Spread under the Veil of Time," Research Papers in Economics 2006:4, Stockholm University, Department of Economics.
  33. Marzo, Massimiliano & Strid, Ingvar & Zagaglia, Paolo, 2006. "Optimal Opportunistic Monetary Policy in a New-Keynesian Model," Research Papers in Economics 2006:8, Stockholm University, Department of Economics.
  34. Zagaglia, Paolo, 2006. "Does the Yield Spread Predict the Output Gap in the U.S.?," Research Papers in Economics 2006:5, Stockholm University, Department of Economics.
  35. Paolo Zagaglia & Massimiliano Marzo & Ingvar Strid, 2006. "Optimal Simple Nonlinear Rules for Monetary Policy in a New-Keynesian Model," Computing in Economics and Finance 2006 392, Society for Computational Economics.
  36. Massimiliano Marzo & Ulf Sodestrom & Paolo Zagaglia, 2006. "Monetary Policy and the Term Structure: A Fully Structural DSGE approach," Computing in Economics and Finance 2006 352, Society for Computational Economics.
  37. Paolo ZAGAGLIA, 2002. "Matlab Implementation of the AIM Algorithm: A Beginner's Guide," Working Papers 169, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  38. Paolo ZAGAGLIA, 2002. "On (Sub)Optimal Monetary Policy Rules under Untied Fiscal Hands," Working Papers 162, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

Articles

  1. Massimiliano Marzo & Paolo Zagaglia, 2018. "Macroeconomic Stability in a Model with Bond Transaction Services," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 6(1), pages 1-27, February.
  2. Paolo Zagaglia, 2017. "International diversification for portfolios of European fixed-income mutual funds: The case of core EMU countries," Managerial Finance, Emerald Group Publishing, vol. 43(2), pages 242-262, February.
  3. Alexandros Gabrielsen & Axel Kirchner & Zhuoshi Liu & Paolo Zagaglia, 2015. "Forecasting Value-At-Risk With Time-Varying Variance, Skewness And Kurtosis In An Exponential Weighted Moving Average Framework," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-29.
  4. Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa, 2015. "Drivers of demand and supply in the Euro interbank market: the role of “Key Players” during the recent turmoil," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(3), pages 207-250, August.
  5. Marzo, Massimiliano & Zagaglia, Paolo, 2014. "Asymmetric information and term lending in the Euro money market: Evidence from the beginning of the turmoil," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 487-499.
  6. Marattin, Luigi & Marzo, Massimiliano & Zagaglia, Paolo, 2013. "Distortionary tax instruments and implementable monetary policy," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 219-243.
  7. Paolo Zagaglia, 2013. "Hedging Italian Equity Mutual Fund Returns during the Recent Financial Turmoil: A Duration-Dependent Markov-Switching Approach," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 3(3), pages 1-20.
  8. Paolo Zagaglia, 2013. "Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 383-430, November.
  9. Paolo Zagaglia & Massimiliano Marzo, 2013. "Gold and the U.S. dollar: tales from the turmoil," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 571-582, March.
  10. Paolo Zagaglia & Massimilano Marzo, 2013. "The Impact of the 2004 Reform of the Operational Framework of the ECB:Structural GARCH Evidence," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 2(1), pages 1-8.
  11. Massimiliano Marzo & Paolo Zagaglia, 2012. "Trading directions and the pricing of Euro interbank deposits in the long run," Applied Economics Letters, Taylor & Francis Journals, vol. 19(18), pages 1827-1839, December.
  12. Alexandros Gabrielsen & Massimiliano Marzo & Paolo Zagaglia, 2012. "Measuring and Modelling the Market Liquidity of Stocks: Methods and Issues," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 1(4), pages 1-8.
  13. Marattin, Luigi & Marzo, Massimiliano & Zagaglia, Paolo, 2011. "A welfare perspective on the fiscal–monetary policy mix: The role of alternative fiscal instruments," Journal of Policy Modeling, Elsevier, vol. 33(6), pages 920-952.
  14. Zagaglia, Paolo, 2010. "Macroeconomic factors and oil futures prices: A data-rich model," Energy Economics, Elsevier, vol. 32(2), pages 409-417, March.
  15. Paolo Zagaglia, 2010. "The sources of volatility transmission in the Euro area money market: from longer maturities to the overnight?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(9), pages 865-868.
  16. Paolo Zagaglia, 2010. "Did the turmoil affect money-market segmentation in the Euro area?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(18), pages 1783-1788.
  17. Massimiliano Marzo & Paolo Zagaglia, 2010. "Volatility forecasting for crude oil futures," Applied Economics Letters, Taylor & Francis Journals, vol. 17(16), pages 1587-1599.
  18. Paolo Zagaglia, 2009. "Fractional integration of inflation rates: a note," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1103-1105.
  19. Marzo, Massimiliano & Strid, Ingvar & Zagaglia, Paolo, 2009. "Nonlinearity in monetary policy: A reconsideration of the opportunistic approach to disinflation," Structural Change and Economic Dynamics, Elsevier, vol. 20(4), pages 288-300, December.
  20. Marzo, Massimiliano & Zagaglia, Paolo, 2008. "A note on the conditional correlation between energy prices: Evidence from future markets," Energy Economics, Elsevier, vol. 30(5), pages 2454-2458, September.
  21. Paolo Zagaglia, 2007. "Operational Fiscal and Monetary Policy with Staggered Wage and Price Dynamics," Finnish Economic Papers, Finnish Economic Association, vol. 20(2), pages 121-138, Autumn.
  22. Paolo Zagaglia, 2006. "How reliable are Taylor rules? A view from asymmetry in the U.S. Fed funds rate," Economics Bulletin, AccessEcon, vol. 5(14), pages 1-11.
  23. Paolo Zagaglia, 2005. "Solving Rational-Expectations Models through the Anderson-Moore Algorithm: An Introduction to the Matlab Implementation," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 91-106, August.
  24. Paolo Zagaglia, 2002. "On (Sub)Optimal Monetary Policy Rules under Untied Fiscal Hands," Rivista italiana degli economisti, Società editrice il Mulino, issue 2, pages 219-248.

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

  1. Liberati, Caterina & Marzo, Massimiliano & Zagaglia, Paolo & Zappa, Paola, 2012. "Structural distortions in the Euro interbank market: the role of 'key players' during the recent market turmoil," MPRA Paper 40223, University Library of Munich, Germany.

    Cited by:

    1. Marek Lubiński, 2013. "Międzybankowy rynek pieniężny i zarażenie," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 5-6, pages 19-41.

  2. Gabrielsen, A. & Zagaglia, Paolo & Kirchner, A. & Liu, Z., 2012. "Forecasting Value-at-Risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework," MPRA Paper 39294, University Library of Munich, Germany.

    Cited by:

    1. Wentao Hu, 2019. "calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty," Papers 1908.00982, arXiv.org.
    2. Ji Cao, 2017. "How does the underlying affect the risk-return profiles of structured products?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(1), pages 27-47, February.
    3. Zoran Ivanovski & Zoran Narasanov & Nadica Ivanovska, 2015. "Volatility And Kurtosis At Emerging Markets: Comparative Analysis Of Macedonian Stock Exchange And Six Stock Markets From Central And Eastern Europe," Economy & Business Journal, International Scientific Publications, Bulgaria, vol. 9(1), pages 84-93.
    4. Radu Lupu, 2014. "Simultaneity of Tail Events for Dynamic Conditional Distributions of Stock Market Index Returns," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 49-64, December.
    5. André Lucas & Xin Zhang, 2014. "Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting," Tinbergen Institute Discussion Papers 14-092/IV/DSF77, Tinbergen Institute, revised 09 Sep 2015.
    6. Ivanovski, Zoran & Stojanovski, Toni & Narasanov, Zoran, 2015. "Volatility And Kurtosis Of Daily Stock Returns At Mse," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 6(2), pages 209-221.

  3. A. Gabrielsen & M. Marzo & P. Zagaglia, 2011. "Measuring market liquidity: An introductory survey," Working Papers wp802, Dipartimento Scienze Economiche, Universita' di Bologna.

    Cited by:

    1. Afego, Pyemo N., 2017. "Effects of changes in stock index compositions: A literature survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 228-239.
    2. Mark D. Flood & John C. Liechty & Thomas Piontek, 2015. "Systemwide Commonalities in Market Liquidity," Working Papers 15-11, Office of Financial Research, US Department of the Treasury.
    3. OUATTARA, Aboudou, 2016. "Impact of the transition to continous trading on emerging financial market's liquidity : Case study of the West Africa Regional Exchange Market (BRVM)," MPRA Paper 75391, University Library of Munich, Germany.
    4. Opazo, Luis & Raddatz, Claudio & Schmukler, Sergio L., 2014. "Institutional investors and long-term investment : evidence from Chile," Policy Research Working Paper Series 6922, The World Bank.
    5. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
    6. Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Post-Print halshs-00940251, HAL.
    7. Auer, Benjamin R. & Rottmann, Horst, 2018. "Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?," Weidener Diskussionspapiere 64, University of Applied Sciences Amberg-Weiden (OTH).
    8. Gunther Capelle-Blancard, 2017. "Curbing the Growth of Stock Trading? Order-to-Trade Ratios and Financial Transaction Taxes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01441828, HAL.
    9. Thomas Krabichler & Josef Teichmann, 2020. "A constraint-based notion of illiquidity," Papers 2004.12394, arXiv.org.
    10. Kalak, Izidin El & Azevedo, Alcino & Hudson, Robert & Karim, Mohamad Abd, 2017. "Stock liquidity and SMEs’ likelihood of bankruptcy: Evidence from the US market," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1383-1393.
    11. Carmen Broto & Matías Lamas, 2016. "Measuring market liquidity in us fixed income markets: a new synthetic indicator," Working Papers 1608, Banco de España;Working Papers Homepage.
    12. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2013. "Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals," Working Papers on Finance 1318, University of St. Gallen, School of Finance.
    13. Richard Bookstaber & Mark Paddrik, 2015. "An Agent-Based Model of Liquidity," Working Papers 15-18, Office of Financial Research, US Department of the Treasury.
    14. Stefano Alderighi, 2017. "A note on how to enhance liquidity in emerging markets by levering on trading participants," Economics Bulletin, AccessEcon, vol. 37(4), pages 2526-2532.
    15. Anton Golub & Gregor Chliamovitch & Alexandre Dupuis & Bastien Chopard, 2014. "Multi-scale Representation of High Frequency Market Liquidity," Papers 1402.2198, arXiv.org.

  4. Massimiliano Marzo & Paolo Zagaglia, 2011. "Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run," Working Paper series 20_11, Rimini Centre for Economic Analysis.

    Cited by:

    1. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.

  5. Marzo, Massimiliano & Zagaglia, Paolo, 2011. "Equilibrium selection in a cashless economy with transaction frictions in the bond market," MPRA Paper 31680, University Library of Munich, Germany.

    Cited by:

    1. M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.

  6. Paolo Zagaglia, 2011. "Forecasting Long-Term Interest Rates with a Dynamic General Equilibrium Model of the Euro Area: The Role of the Feedback," Working Paper series 19_11, Rimini Centre for Economic Analysis.

    Cited by:

    1. M. Falagiarda & M. Marzo, 2012. "A DSGE model with Endogenous Term Structure," Working Papers wp830, Dipartimento Scienze Economiche, Universita' di Bologna.
    2. Falagiarda, Matteo, 2013. "Evaluating Quantitative Easing: A DSGE Approach," MPRA Paper 49457, University Library of Munich, Germany.

  7. Zagaglia, Paolo, 2010. "Informed trading in the Euro money market for term lending," MPRA Paper 20415, University Library of Munich, Germany.

    Cited by:

    1. C. Liberati & M. Marzo & P. Zagaglia & P. Zappa, 2012. "Structural distortions in the Euro interbank market: The role of ‘key players’ during the recent market turmoil," Working Papers wp841, Dipartimento Scienze Economiche, Universita' di Bologna.

  8. Massimiliano Marzo & Paolo Zagaglia, 2010. "Gold and the U.S. Dollar: Tales from the Turmoil," Working Paper series 08_10, Rimini Centre for Economic Analysis.

    Cited by:

    1. Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian & Wohar, Mark E., 2017. "Do terror attacks predict gold returns? Evidence from a quantile-predictive-regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 276-284.
    2. Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home, 2015. "State-dependent jump risks for American gold futures option pricing," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 115-133.
    3. Kang, Sang Hoon & McIver, Ron P. & Hernandez, Jose Arreola, 2019. "Co-movements between Bitcoin and Gold: A wavelet coherence analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    4. Chung-Shin Liu & Meng-Shiuh Chang & Ximing Wu & Chin Man Chui, 2016. "Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew- copula approach," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1763-1789, November.
    5. Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Forecasting Realized Gold Volatility: Is there a Role of Geopolitical Risks?," Working Papers 201943, University of Pretoria, Department of Economics.
    6. Zhao, Yanping & Chang, Hsu-Ling & Su, Chi-Wei & Nian, Rui, 2015. "Gold bubbles: When are they most likely to occur?," Japan and the World Economy, Elsevier, vol. 34, pages 17-23.
    7. Ghazali, Mohd Fahmi & Lean, Hooi Hooi & Bahari, Zakaria, 2015. "Sharia compliant gold investment in Malaysia: Hedge or safe haven?," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 192-204.
    8. Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014. "Gold and exchange rates: Downside risk and hedging at different investment horizons," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 267-279.
    9. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "Are precious metals a hedge against exchange-rate movements? An empirical exploration using bayesian additive regression trees," The North American Journal of Economics and Finance, Elsevier, vol. 38(C), pages 27-38.
    10. Shih-Kuei Lin & Yu-Min Lian & Szu-Lang Liao, 2014. "Pricing gold options under Markov-modulated jump-diffusion processes," Applied Financial Economics, Taylor & Francis Journals, vol. 24(12), pages 825-836, June.
    11. Mehmet Balcilar & Rangan Gupta & Christian Pierdzioch, 2017. "On exchange-rate movements and gold-price fluctuations: evidence for gold-producing countries from a nonparametric causality-in-quantiles test," International Economics and Economic Policy, Springer, vol. 14(4), pages 691-700, October.
    12. Kanjilal, Kakali & Ghosh, Sajal, 2017. "Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model," Resources Policy, Elsevier, vol. 52(C), pages 358-365.
    13. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2016. "A quantile-boosting approach to forecasting gold returns," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 38-55.
    14. Reboredo, Juan C. & Rivera-Castro, Miguel A., 2014. "Can gold hedge and preserve value when the US dollar depreciates?," Economic Modelling, Elsevier, vol. 39(C), pages 168-173.
    15. Joscha Beckmann & Robert Czudaj, 2013. "Oil and gold price dynamics in a multivariate cointegration framework," International Economics and Economic Policy, Springer, vol. 10(3), pages 453-468, September.
    16. Qureshi, Saba & Rehman, Ijaz Ur & Qureshi, Fiza, 2018. "Does gold act as a safe haven against exchange rate fluctuations? The case of Pakistan rupee," Journal of Policy Modeling, Elsevier, vol. 40(4), pages 685-708.
    17. Ahmed, Walid M.A., 2020. "Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin," Journal of Economics and Business, Elsevier, vol. 108(C).
    18. He, Qing & Guo, Yongxiu & Yu, Jishuang, 2020. "Nonlinear dynamics of gold and the dollar," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    19. Balcilar, Mehmet & Gupta, Rangan & Pierdzioch, Christian, 2016. "Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test," Resources Policy, Elsevier, vol. 49(C), pages 74-80.
    20. Białkowski, Jędrzej & Bohl, Martin T. & Stephan, Patrick M. & Wisniewski, Tomasz P., 2015. "The gold price in times of crisis," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 329-339.

  9. L. Marattin & M. Marzo & P. Zagaglia, 2010. "A welfare perspective on the fiscal-monetary policy mix: The role of alternative fiscal instruments," Working Papers wp720, Dipartimento Scienze Economiche, Universita' di Bologna.

    Cited by:

    1. M. Frömmel & R. Kruse, 2009. "Interest rate convergence in the EMS prior to European Monetary Union," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 09/610, Ghent University, Faculty of Economics and Business Administration.
    2. FRANCESCO FELICI & Barbara Annicchiarico & Fabio Di Dio, 2012. "Structural Reforms and the Potential Effects on the Italian Economy," EcoMod2012 5073, EcoMod.
    3. Artzrouni, Marc & Tramontana, Fabio, 2014. "The debt trap: A two-compartment train wreck… and how to avoid it," Journal of Policy Modeling, Elsevier, vol. 36(2), pages 241-256.
    4. Barbara Annicchiarico & Fabio Di Dio & Francesco Felici, 2012. "Structural Reforms and the Potential Effects on the Italian Economy," CEIS Research Paper 227, Tor Vergata University, CEIS, revised 29 Mar 2012.
    5. Artzrouni, Marc & Tramontana, Fabio, 2013. "The debt trap: a two-compartment train wreck," MPRA Paper 47578, University Library of Munich, Germany.
    6. Lamo, Ana & Pérez, Javier J. & Schuknecht, Ludger, 2013. "Are government wages interlinked with private sector wages?," Journal of Policy Modeling, Elsevier, vol. 35(5), pages 697-712.
    7. Acocella, Nicola & Beqiraj, Elton & Di Bartolomeo, Giovanni & Di Pietro, Marco & Felici, Francesco, 2019. "An evaluation of alternative fiscal adjustment plans," EconStor Preprints 209707, ZBW - Leibniz Information Centre for Economics.

  10. Zagaglia, Paolo, 2009. "Forecasting with a DSGE Model of the term Structure of Interest Rates: The Role of the Feedback," Research Papers in Economics 2009:14, Stockholm University, Department of Economics.

    Cited by:

    1. Federico GIRI, 2014. "Does Interbank Market Matter for Business Cycle Fluctuation? An Estimated DSGE Model with Financial Frictions for the Euro Area," Working Papers 398, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    2. John Nana Francois & Ryan S Mattson, 2019. "Divisia Monetary Aggregates for Developing Economies: Some Theory," Economics Bulletin, AccessEcon, vol. 39(3), pages 2221-2227.
    3. Semko, Roman, 2011. "Bayesian estimation of small-scale DSGE model of the Ukrainian economy," MPRA Paper 35215, University Library of Munich, Germany.

  11. Zagaglia, Paolo, 2009. "Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?," Research Papers in Economics 2009:11, Stockholm University, Department of Economics.

    Cited by:

    1. Carla Soares & Paulo M.M. Rodrigues, 2011. "Determinants of the EONIA spread and the financial crisis," Working Papers w201112, Banco de Portugal, Economics and Research Department.
    2. Bertrand Blancheton & Christian Bordes & Samuel Maveyraud & Philippe Rous, 2012. "Risk of liquidity and contagion of the crisis on the US, UK and Euro Zone money markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00785515, HAL.

  12. Zagaglia, Paolo, 2009. "What Drives the Term Structure in the Euro Area? Evidence from a Model with Feedback," Research Papers in Economics 2009:12, Stockholm University, Department of Economics.

    Cited by:

    1. Marattin, Luigi & Paesani, Paolo & Salotti, Simone, 2011. "Fiscal shocks, public debt, and long-term interest rate dynamics," Working Papers 14/2011, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE).

  13. Zagaglia, Paolo, 2009. "Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model," Research Papers in Economics 2009:7, Stockholm University, Department of Economics.

    Cited by:

    1. Zhao, Yang & Li, Jianping & Yu, Lean, 2017. "A deep learning ensemble approach for crude oil price forecasting," Energy Economics, Elsevier, vol. 66(C), pages 9-16.
    2. Urom, Christian & Onwuka, Kevin O. & Uma, Kalu E. & Yuni, Denis N., 2020. "Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns," International Economics, Elsevier, vol. 161(C), pages 10-29.
    3. Krzysztof Drachal, 2018. "Determining Time-Varying Drivers of Spot Oil Price in a Dynamic Model Averaging Framework," Energies, MDPI, Open Access Journal, vol. 11(5), pages 1-24, May.
    4. Natanelov, Valeri & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2013. "Crude oil–corn–ethanol – nexus: A contextual approach," Energy Policy, Elsevier, vol. 63(C), pages 504-513.
    5. Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
    6. Degiannakis, Stavros & Filis, George & Arora, Vipin, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," MPRA Paper 96270, University Library of Munich, Germany.
    7. Han, Liyan & Lv, Qiuna & Yin, Libo, 2017. "Can investor attention predict oil prices?," Energy Economics, Elsevier, vol. 66(C), pages 547-558.
    8. Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
    9. Schalck, Christophe & Chenavaz, Régis, 2015. "Oil commodity returns and macroeconomic factors: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 33(C), pages 290-303.
    10. Kyle Olsen & James Mjelde & David Bessler, 2015. "Price formulation and the law of one price in internationally linked markets: an examination of the natural gas markets in the USA and Canada," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(1), pages 117-142, January.
    11. Amendola, Alessandra & Candila, Vincenzo & Scognamillo, Antonio, 2015. "On the influence of the U.S. monetary policy on the crude oil price volatility," 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy 207860, Italian Association of Agricultural and Applied Economics (AIEAA).
    12. Naser, Hanan, 2016. "Estimating and forecasting the real prices of crude oil: A data rich model using a dynamic model averaging (DMA) approach," Energy Economics, Elsevier, vol. 56(C), pages 75-87.
    13. Kyle E. Binder & Mohsen Pourahmadi & James W. Mjelde, 2020. "The role of temporal dependence in factor selection and forecasting oil prices," Empirical Economics, Springer, vol. 58(3), pages 1185-1223, March.
    14. Duangnate, Kannika & Mjelde, James W., 2017. "Comparison of data-rich and small-scale data time series models generating probabilistic forecasts: An application to U.S. natural gas gross withdrawals," Energy Economics, Elsevier, vol. 65(C), pages 411-423.
    15. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2018. "Forecasting the prices of crude oil using the predictor, economic and combined constraints," Economic Modelling, Elsevier, vol. 75(C), pages 237-245.
    16. Wajdi Hamza Dawod Alredany, 2018. "A Regression Analysis of Determinants Affecting Crude Oil Price," International Journal of Energy Economics and Policy, Econjournals, vol. 8(4), pages 110-119.
    17. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1-2), pages 557-567, January.
    18. Naser, Hanan & Ahmed, Abdul Rashid, 2016. "Oil Price Shocks and Stock Market Performance in Emerging Economies: Some Evidence using FAVAR Models," MPRA Paper 77868, University Library of Munich, Germany.
    19. Natanelov, Valeri & Alam, Mohammad Jahangir & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011. "Is There Co-Movement of Agricultural Commodities Futures Prices and Crude Oil?," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114626, European Association of Agricultural Economists.
    20. Libo Yin & Liyan Han, 2016. "Macroeconomic impacts on commodity prices: China vs. the United States," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 489-500, March.
    21. Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
    22. Li, Sufang & Zhang, Hu & Yuan, Di, 2019. "Investor attention and crude oil prices: Evidence from nonlinear Granger causality tests," Energy Economics, Elsevier, vol. 84(C).
    23. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    24. Natanelov, Valeri & Alam, Mohammad J. & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011. "Is there co-movement of agricultural commodities futures prices and crude oil?," Energy Policy, Elsevier, vol. 39(9), pages 4971-4984, September.
    25. Kyle E. Binder & James W. Mjelde, 2018. "Projecting impacts of carbon dioxide emission reductions in the US electric power sector: evidence from a data-rich approach," Climatic Change, Springer, vol. 151(2), pages 143-155, November.

  14. Zagaglia, Paolo, 2008. "The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight?," Research Papers in Economics 2008:5, Stockholm University, Department of Economics.

    Cited by:

    1. Hernandis, Lucía & Torró, Hipòlit, 2013. "The information content of Eonia swap rates before and during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5316-5328.

  15. Marzo, Massimiliano & Zagaglia, Paolo, 2008. "Determinacy of Interest Rate Rules with Bond Transaction Services in a Cashless Economy," Research Papers in Economics 2008:7, Stockholm University, Department of Economics.

    Cited by:

    1. Marzo, Massimiliano & Zagaglia, Paolo, 2011. "Equilibrium selection in a cashless economy with transaction frictions in the bond market," MPRA Paper 31680, University Library of Munich, Germany.
    2. M. Marzo & P. Zagaglia, 2012. "Bonds Transaction Services and the Term Structure of Interest Rates: Implications for Equilibrium Determinacy," Working Papers wp821, Dipartimento Scienze Economiche, Universita' di Bologna.

  16. Spargoli, Fabrizio & Zagaglia, Paolo, 2008. "The co-movements along the forward curve of natural gas futures : a structural view," Research Discussion Papers 26/2008, Bank of Finland.

    Cited by:

    1. Massimiliano Marzo & Paolo Zagaglia, 2010. "Gold and the U.S. Dollar: Tales from the Turmoil," Working Paper series 08_10, Rimini Centre for Economic Analysis.
    2. Herwartz, Helmut & Roestel, Jan, 2018. "A structural approach to identify financial transmission in distinguished scenarios of crises," Economics Working Papers 2018-08, Christian-Albrechts-University of Kiel, Department of Economics.

  17. Spargoli, Fabrizio & Zagaglia, Paolo, 2007. "The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model," Research Papers in Economics 2007:15, Stockholm University, Department of Economics.

    Cited by:

    1. Spargoli, Fabrizio & Zagaglia, Paolo, 2008. "The co-movements along the forward curve of natural gas futures : a structural view," Research Discussion Papers 26/2008, Bank of Finland.
    2. Ashima Goyal & Shruti Tripathi, 2012. "Regulations and price discovery: oil spot and futures markets," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-016, Indira Gandhi Institute of Development Research, Mumbai, India.
    3. Morales, Lucía & Andreosso-O'Callaghan, Bernadette, 2011. "Comparative analysis on the effects of the Asian and global financial crises on precious metal markets," Research in International Business and Finance, Elsevier, vol. 25(2), pages 203-227, June.

  18. Zagaglia, Paolo, 2007. "Distortionary Tax Instruments and Implementable Monetary Policy," Research Papers in Economics 2007:5, Stockholm University, Department of Economics.

    Cited by:

    1. Paolo Zagaglia, 2007. "Operational Fiscal and Monetary Policy with Staggered Wage and Price Dynamics," Finnish Economic Papers, Finnish Economic Association, vol. 20(2), pages 121-138, Autumn.

  19. Marzo, Massimiliano & Zagaglia, Paolo, 2007. "Volatility forecasting for crude oil futures," Research Papers in Economics 2007:9, Stockholm University, Department of Economics.

    Cited by:

    1. Amélie Charles & Olivier Darné, 2012. "Volatility Persistence in Crude Oil Markets," Working Papers hal-00719387, HAL.
    2. Zhang, Yue-Jun & Yao, Ting & He, Ling-Yun & Ripple, Ronald, 2019. "Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 302-317.
    3. Haugom, Erik & Langeland, Henrik & Molnár, Peter & Westgaard, Sjur, 2014. "Forecasting volatility of the U.S. oil market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 1-14.
    4. Samir MABROUK, 2017. "Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 7(1), pages 63-80, January.
    5. Yue-Jun Zhang & Ting Yao & Ling-Yun He, 2015. "Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models?," Papers 1512.01676, arXiv.org.
    6. Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
    7. Wen, Fenghua & Gong, Xu & Cai, Shenghua, 2016. "Forecasting the volatility of crude oil futures using HAR-type models with structural breaks," Energy Economics, Elsevier, vol. 59(C), pages 400-413.
    8. Charles, Amélie & Darné, Olivier, 2017. "Forecasting crude-oil market volatility: Further evidence with jumps," Energy Economics, Elsevier, vol. 67(C), pages 508-519.
    9. Aloui, Chaker & Mabrouk, Samir, 2010. "Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models," Energy Policy, Elsevier, vol. 38(5), pages 2326-2339, May.
    10. Jakobsson, Kristofer & Söderbergh, Bengt & Snowden, Simon & Li, Chuan-Zhong & Aleklett, Kjell, 2012. "Oil exploration and perceptions of scarcity: The fallacy of early success," Energy Economics, Elsevier, vol. 34(4), pages 1226-1233.
    11. Raúl De Jesús Gutiérrez & Reyna Vergara González & Miguel A. Díaz Carreño, 2015. "Predicción de la volatilidad en el mercado del petróleo mexicano ante la presencia de efectos asimétricos," Revista Cuadernos de Economía, Universidad Nacional de Colombia -FCE - CID, March.
    12. Chaker Aloui & Hela BEN HAMIDA, 2015. "Estimation and Performance Assessment of Value-at-Risk and Expected Shortfall Based on Long-Memory GARCH-Class Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 65(1), pages 30-54, January.
    13. Li, Haiqi & Kim, Hyung-Gun & Park, Sung Y., 2015. "The role of financial speculation in the energy future markets: A new time-varying coefficient approach," Economic Modelling, Elsevier, vol. 51(C), pages 112-122.
    14. Agbeyegbe, Terence D., 2015. "An inverted U-shaped crude oil price return-implied volatility relationship," Review of Financial Economics, Elsevier, vol. 27(C), pages 28-45.
    15. Chaker Aloui, 2015. "Volatility forecasting and risk management in some MENA stock markets: a nonlinear framework," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 5(2), pages 160-192.
    16. Samet Günay, 2015. "Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 979-985.
    17. Qadan, Mahmoud & Nama, Hazar, 2018. "Investor sentiment and the price of oil," Energy Economics, Elsevier, vol. 69(C), pages 42-58.
    18. Xu, Bing & Ouenniche, Jamal, 2012. "A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models," Energy Economics, Elsevier, vol. 34(2), pages 576-583.

  20. Zagaglia, Paolo, 2006. "The Predictive Power of the Yield Spread under the Veil of Time," Research Papers in Economics 2006:4, Stockholm University, Department of Economics.

    Cited by:

    1. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.

  21. Marzo, Massimiliano & Strid, Ingvar & Zagaglia, Paolo, 2006. "Optimal Opportunistic Monetary Policy in a New-Keynesian Model," Research Papers in Economics 2006:8, Stockholm University, Department of Economics.

    Cited by:

    1. Luigi MARATTIN & Massimiliano MARZO & Paolo ZAGAGLIA, "undated". "Distortionary Tax Instruments and Implementable Monetary Policy," EcoMod2010 259600110, EcoMod.
    2. L. Marattin & S. Salotti, 2009. "The Response of Private Consumption to Different Public Spending Categories: VAR Evidence from UK," Working Papers 670, Dipartimento Scienze Economiche, Universita' di Bologna.
    3. Paolo Zagaglia, 2007. "Operational Fiscal and Monetary Policy with Staggered Wage and Price Dynamics," Finnish Economic Papers, Finnish Economic Association, vol. 20(2), pages 121-138, Autumn.

  22. Zagaglia, Paolo, 2006. "Does the Yield Spread Predict the Output Gap in the U.S.?," Research Papers in Economics 2006:5, Stockholm University, Department of Economics.

    Cited by:

    1. Dalu Zhang & Peter Moffatt, 2012. "The yield curve as a leading indicator in economic forecasting in the U.K," University of East Anglia Applied and Financial Economics Working Paper Series 035, School of Economics, University of East Anglia, Norwich, UK..
    2. Dalu Zhang & Peter Moffatt, 2013. "Time series non-linearity in the real growth / recession-term spread relationship," University of East Anglia Applied and Financial Economics Working Paper Series 047, School of Economics, University of East Anglia, Norwich, UK..
    3. Arif Dar & Amaresh Samantaraya & Firdous Shah, 2014. "The predictive power of yield spread: evidence from wavelet analysis," Empirical Economics, Springer, vol. 46(3), pages 887-901, May.

  23. Paolo ZAGAGLIA, 2002. "Matlab Implementation of the AIM Algorithm: A Beginner's Guide," Working Papers 169, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

    Cited by:

    1. Stefania BUSSOLETTI & Roberto ESPOSTI, 2004. "Regional Convergence, Structural Funds and the Role of Agricolture in the EU. A Panel-Data Approach," Working Papers 220, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    2. Marcello MESSORI & Alberto ZAZZARO, 2004. "Monetary profits within the circuit: Ponzi finance oer "mors tua, vita mea"?," Working Papers 200, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    3. Elvio MATTIOLI, 2003. "The measurement of coherence in the evaluation of criteria and its effects or ranking problems illustrated using a multicriteria decision method," Working Papers 199, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    4. Roberto ESPOSTI & Pierpaolo PIERANI, 2005. "Price, Private Demand and Optimal Provision of Public R&D in Italian Agriculture," Working Papers 238, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    5. Ugo FRATESI, 2003. "Innovation Diffusion and the Evolution of Regional Disparities," Working Papers 186, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    6. Gary S. Anderson, 2010. "A reliable and computationally efficient algorithm for imposing the saddle point property in dynamic models," Finance and Economics Discussion Series 2010-13, Board of Governors of the Federal Reserve System (U.S.), revised 2010.
    7. Renato BALDUCCI, 2005. "Public Expenditure and Economic Growth. A critical extension of Barro's (1990) model," Working Papers 240, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    8. Nicola MATTEUCCI & Alessandro STERLACCHINI, 2003. "ICT and Employment Growth in Italian Industries," Working Papers 193, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

  24. Paolo ZAGAGLIA, 2002. "On (Sub)Optimal Monetary Policy Rules under Untied Fiscal Hands," Working Papers 162, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

    Cited by:

    1. V. Anton Muscatelli & Tiziano Ropele & Patrizio Tirelli, 2004. "Fiscal and Monetary Policy Interactions in a New Keynesian Model with Liquidity Constraints," Working Papers 83, University of Milano-Bicocca, Department of Economics, revised Nov 2004.
    2. Muscatelli, V. Anton & Tirelli, Patrizio & Trecroci, Carmine, 2004. "Fiscal and monetary policy interactions: Empirical evidence and optimal policy using a structural New-Keynesian model," Journal of Macroeconomics, Elsevier, vol. 26(2), pages 257-280, June.
    3. Anton Muscatelli & Patrizio Tirelli & Carmine Trecroci, 2004. "Can Fiscal Policy Help Macroeconomic Stabilisation? Evidence from a New Keynesian Model with Liquidity Constraints," CESifo Working Paper Series 1171, CESifo.

Articles

  1. Massimiliano Marzo & Paolo Zagaglia, 2018. "Macroeconomic Stability in a Model with Bond Transaction Services," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 6(1), pages 1-27, February.

    Cited by:

    1. Dongfeng Chang & Ryan S. Mattson & Biyan Tang, 2019. "The Predictive Power of the User Cost Spread for Economic Recession in China and the US," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 7(2), pages 1-12, June.
    2. Ryan S. Mattson, 2019. "A Divisia User Cost Interpretation of the Yield Spread Recession Prediction," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(1), pages 1-9, January.

  2. Alexandros Gabrielsen & Axel Kirchner & Zhuoshi Liu & Paolo Zagaglia, 2015. "Forecasting Value-At-Risk With Time-Varying Variance, Skewness And Kurtosis In An Exponential Weighted Moving Average Framework," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-29.
    See citations under working paper version above.
  3. Caterina Liberati & Massimiliano Marzo & Paolo Zagaglia & Paola Zappa, 2015. "Drivers of demand and supply in the Euro interbank market: the role of “Key Players” during the recent turmoil," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(3), pages 207-250, August.

    Cited by:

    1. Brossard, Olivier & Saroyan, Susanna, 2016. "Hoarding and short-squeezing in times of crisis: Evidence from the Euro overnight money market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 163-185.
    2. Giebel, Marek & Kraft, Kornelius, 2018. "Bank credit supply and firm innovation," ZEW Discussion Papers 18-011, ZEW - Leibniz Centre for European Economic Research.

  4. Marzo, Massimiliano & Zagaglia, Paolo, 2014. "Asymmetric information and term lending in the Euro money market: Evidence from the beginning of the turmoil," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(4), pages 487-499.

    Cited by:

    1. Heryán, Tomáš & Tzeremes, Panayiotis G., 2017. "The bank lending channel of monetary policy in EU countries during the global financial crisis," Economic Modelling, Elsevier, vol. 67(C), pages 10-22.

  5. Marattin, Luigi & Marzo, Massimiliano & Zagaglia, Paolo, 2013. "Distortionary tax instruments and implementable monetary policy," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 219-243.
    See citations under working paper version above.
  6. Paolo Zagaglia, 2013. "Forecasting Long-Term Interest Rates with a General-Equilibrium Model of the Euro Area: What Role for Liquidity Services of Bonds?," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 383-430, November.

    Cited by:

    1. Dongfeng Chang & Ryan S. Mattson & Biyan Tang, 2019. "The Predictive Power of the User Cost Spread for Economic Recession in China and the US," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 7(2), pages 1-12, June.
    2. Francois John Nana, 2020. "Foreign official holdings of US treasuries, stock effect and the economy: a DSGE approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 20(1), pages 1-28, January.
    3. Ryan S. Mattson, 2019. "A Divisia User Cost Interpretation of the Yield Spread Recession Prediction," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(1), pages 1-9, January.

  7. Paolo Zagaglia & Massimiliano Marzo, 2013. "Gold and the U.S. dollar: tales from the turmoil," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 571-582, March.
    See citations under working paper version above.
  8. Massimiliano Marzo & Paolo Zagaglia, 2012. "Trading directions and the pricing of Euro interbank deposits in the long run," Applied Economics Letters, Taylor & Francis Journals, vol. 19(18), pages 1827-1839, December.
    See citations under working paper version above.
  9. Marattin, Luigi & Marzo, Massimiliano & Zagaglia, Paolo, 2011. "A welfare perspective on the fiscal–monetary policy mix: The role of alternative fiscal instruments," Journal of Policy Modeling, Elsevier, vol. 33(6), pages 920-952.
    See citations under working paper version above.
  10. Zagaglia, Paolo, 2010. "Macroeconomic factors and oil futures prices: A data-rich model," Energy Economics, Elsevier, vol. 32(2), pages 409-417, March.
    See citations under working paper version above.
  11. Paolo Zagaglia, 2010. "The sources of volatility transmission in the Euro area money market: from longer maturities to the overnight?," Applied Economics Letters, Taylor & Francis Journals, vol. 17(9), pages 865-868.
    See citations under working paper version above.
  12. Massimiliano Marzo & Paolo Zagaglia, 2010. "Volatility forecasting for crude oil futures," Applied Economics Letters, Taylor & Francis Journals, vol. 17(16), pages 1587-1599.
    See citations under working paper version above.
  13. Paolo Zagaglia, 2009. "Fractional integration of inflation rates: a note," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1103-1105.

    Cited by:

    1. Alagidede, Paul & Coleman, Simeon & Cuestas, Juan Carlos, 2010. "Persistence of Inflationary shocks: Implications for West African Monetary Union Membership," Stirling Economics Discussion Papers 2010-11, University of Stirling, Division of Economics.
    2. Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2009. "The Deaton paradox in a long memory context with structural breaks," Faculty Working Papers 03/09, School of Economics and Business Administration, University of Navarra.
    3. Alagidede, Paul & Coleman, Simeon & Cuestas, Juan Carlos, 2012. "Inflationary shocks and common economic trends: Implications for West African monetary union membership," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 460-475.
    4. Daniel Agyapong & Anokye M. Adam, 2012. "Exchange Rate Behaviour: Implication for West African Monetary Zone," 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. 2(4), pages 215-228, October.
    5. Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.

  14. Marzo, Massimiliano & Zagaglia, Paolo, 2008. "A note on the conditional correlation between energy prices: Evidence from future markets," Energy Economics, Elsevier, vol. 30(5), pages 2454-2458, September.

    Cited by:

    1. Cagli, Efe Caglar & Taskin, Dilvin & Evrim Mandaci, Pınar, 2019. "The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models," Energy Economics, Elsevier, vol. 84(C).
    2. Jim Hanly, 2017. "Managing Energy Price Risk using Futures Contracts: A Comparative Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    3. Spargoli, Fabrizio & Zagaglia, Paolo, 2008. "The co-movements along the forward curve of natural gas futures : a structural view," Research Discussion Papers 26/2008, Bank of Finland.
    4. Yuan, Chaoqing & Liu, Sifeng & Wu, Junlong, 2010. "The relationship among energy prices and energy consumption in China," Energy Policy, Elsevier, vol. 38(1), pages 197-207, January.
    5. Sensoy, Ahmet & Hacihasanoglu, Erk & Nguyen, Duc Khuong, 2015. "Dynamic convergence of commodity futures: Not all types of commodities are alike," Resources Policy, Elsevier, vol. 44(C), pages 150-160.
    6. Tonn, Victor Lux & Li, H.C. & McCarthy, Joseph, 2010. "Wavelet domain correlation between the futures prices of natural gas and oil," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 408-414, November.
    7. Ji, Qiang & Guo, Jian-Feng, 2015. "Market interdependence among commodity prices based on information transmission on the Internet," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 426(C), pages 35-44.

  15. Paolo Zagaglia, 2005. "Solving Rational-Expectations Models through the Anderson-Moore Algorithm: An Introduction to the Matlab Implementation," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 91-106, August.

    Cited by:

    1. Zhen, Chen, 2009. "Long-Run Effects From Consumer Reaction To The Spread Of Foodborne Pathogens: The Case Of E. Coli Contamination Of Beef At Jack In The Box Restaurants," 2009 Conference, August 16-22, 2009, Beijing, China 51341, International Association of Agricultural Economists.

  16. Paolo Zagaglia, 2002. "On (Sub)Optimal Monetary Policy Rules under Untied Fiscal Hands," Rivista italiana degli economisti, Società editrice il Mulino, issue 2, pages 219-248.
    See citations under working paper version above.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 45 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CBA: Central Banking (20) 2006-06-24 2006-10-07 2007-03-03 2007-05-26 2008-08-14 2008-08-14 2008-11-18 2009-02-28 2009-05-09 2009-05-16 2009-05-23 2009-06-10 2009-10-24 2009-12-19 2010-05-02 2011-04-09 2011-04-09 2011-06-25 2011-07-13 2011-07-21. Author is listed
  2. NEP-MAC: Macroeconomics (20) 2006-06-24 2006-06-24 2006-10-07 2007-03-03 2007-05-26 2008-05-31 2008-08-14 2008-11-18 2009-02-22 2009-02-28 2009-05-23 2009-06-10 2009-12-19 2010-02-20 2011-02-26 2011-04-09 2011-06-25 2011-07-13 2011-07-21 2012-04-03. Author is listed
  3. NEP-MON: Monetary Economics (20) 2006-10-07 2007-03-03 2007-05-26 2008-05-31 2008-08-14 2008-08-14 2008-11-18 2008-11-18 2009-02-28 2009-05-09 2009-05-16 2009-05-23 2009-06-10 2009-10-24 2009-12-19 2010-02-20 2011-04-09 2012-01-10 2012-07-29 2012-07-29. Author is listed
  4. NEP-MST: Market Microstructure (8) 2008-05-31 2008-11-11 2009-05-09 2010-02-20 2011-04-09 2012-01-10 2012-07-01 2012-07-08. Author is listed
  5. NEP-DGE: Dynamic General Equilibrium (7) 2008-08-14 2008-08-14 2009-05-23 2009-06-10 2011-02-26 2011-04-09 2011-07-13. Author is listed
  6. NEP-EEC: European Economics (7) 2008-05-31 2009-05-09 2009-05-16 2009-05-23 2010-02-20 2011-04-09 2011-04-09. Author is listed
  7. NEP-FOR: Forecasting (7) 2006-06-24 2006-06-24 2007-06-30 2009-02-22 2009-06-10 2011-04-09 2012-06-25. Author is listed
  8. NEP-ENE: Energy Economics (6) 2007-06-30 2007-06-30 2007-08-18 2007-09-02 2009-01-24 2009-02-22. Author is listed
  9. NEP-FMK: Financial Markets (6) 2008-05-31 2008-11-18 2009-01-24 2009-05-09 2012-01-03 2012-07-29. Author is listed
  10. NEP-RMG: Risk Management (6) 2007-06-30 2007-06-30 2007-08-18 2007-09-02 2012-06-25 2014-08-20. Author is listed
  11. NEP-BAN: Banking (4) 2010-02-20 2012-06-25 2012-07-29 2012-07-29
  12. NEP-IFN: International Finance (3) 2009-02-28 2010-05-02 2010-05-08
  13. NEP-ETS: Econometric Time Series (2) 2007-06-30 2007-06-30
  14. NEP-BEC: Business Economics (1) 2011-02-26
  15. NEP-CFN: Corporate Finance (1) 2010-02-20
  16. NEP-CTA: Contract Theory & Applications (1) 2010-02-20
  17. NEP-ECM: Econometrics (1) 2012-06-25
  18. NEP-MIC: Microeconomics (1) 2011-04-09
  19. NEP-NET: Network Economics (1) 2012-07-29
  20. NEP-ORE: Operations Research (1) 2009-06-10
  21. NEP-PBE: Public Economics (1) 2007-05-26

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