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Gabriele Zinna

Personal Details

First Name:Gabriele
Middle Name:
Last Name:Zinna
Suffix:
RePEc Short-ID:pzi123
http://gabrielezinna.github.io/

Affiliation

Banca d'Italia

Roma, Italy
http://www.bancaditalia.it/



Via Nazionale, 91 - 00184 Roma
RePEc:edi:bdigvit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Kaminska, Iryna & Zinna, Gabriele, 2019. "Official demand for US debt: implications for US real rates," Bank of England working papers 796, Bank of England.
  2. Giuseppe Grande & Adriana Grasso & Gabriele Zinna, 2019. "The effectiveness of the ECB’s asset purchases at the lower bound," Questioni di Economia e Finanza (Occasional Papers) 541, Bank of Italy, Economic Research and International Relations Area.
  3. Makinen, Taneli & Sarno, Lucio & Zinna, Gabriele, 2019. "Risky Bank Guarantees," CEPR Discussion Papers 13709, C.E.P.R. Discussion Papers.
  4. Junye Li & Gabriele Zinna, 2014. "How much of bank credit risk is sovereign risk? Evidence from the eurozone," Temi di discussione (Economic working papers) 990, Bank of Italy, Economic Research and International Relations Area.
  5. Junye Li & Gabriele Zinna, 2014. "On bank credit risk: systemic or bank-specific? Evidence from the US and UK," Temi di discussione (Economic working papers) 951, Bank of Italy, Economic Research and International Relations Area.
  6. Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.
  7. Fratzscher, Marcel & Sarno, Lucio & Zinna, Gabriele, 2012. "The scapegoat theory of exchange rates: the first tests," Working Paper Series 1418, European Central Bank.
  8. Zinna, Gabriele, 2011. "Identifying risks in emerging market sovereign and corporate bond spreads," Bank of England working papers 430, Bank of England.
  9. Kaminska, Iryna & Vayanos, Dimitri & Zinna, Gabriele, 2011. "Preferred-habitat investors and the US term structure of real rates," Bank of England working papers 435, Bank of England.

    repec:imf:imfwpa:14/66 is not listed on IDEAS

Articles

  1. Junye Li & Gabriele Zinna, 2018. "How Much of Bank Credit Risk Is Sovereign Risk? Evidence from Europe," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1225-1269, September.
  2. Junye Li & Gabriele Zinna, 2018. "The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(3), pages 411-425, July.
  3. Blake, David & Sarno, Lucio & Zinna, Gabriele, 2017. "The market for lemmings: The herding behavior of pension funds," Journal of Financial Markets, Elsevier, vol. 36(C), pages 17-39.
  4. Gabriele Zinna, 2016. "Price Pressures on UK Real Rates: An Empirical Investigation," Review of Finance, European Finance Association, vol. 20(4), pages 1587-1630.
  5. Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015. "The scapegoat theory of exchange rates: the first tests," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
  6. Zinna, Gabriele, 2014. "Identifying risks in emerging market sovereign and corporate bond spreads," Emerging Markets Review, Elsevier, vol. 20(C), pages 1-22.
  7. Li, Junye & Zinna, Gabriele, 2014. "On Bank Credit Risk: Systemic or Bank Specific? Evidence for the United States and United Kingdom," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1403-1442, December.
  8. Zinna, Gabriele, 2013. "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 15-35.
  9. Dew, Ed & Martin, Jeremy & Giese, Julia & Zinna, Gabriele, 2011. "China's changing growth pattern," Bank of England Quarterly Bulletin, Bank of England, vol. 51(1), pages 49-56.

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.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Fratzscher, Marcel & Sarno, Lucio & Zinna, Gabriele, 2012. "The scapegoat theory of exchange rates: the first tests," Working Paper Series 1418, European Central Bank.

    Mentioned in:

    1. Exchange rates and scapegoats
      by Economic Logician in Economic Logic on 2012-07-20 20:02:00

Working papers

  1. Kaminska, Iryna & Zinna, Gabriele, 2019. "Official demand for US debt: implications for US real rates," Bank of England working papers 796, Bank of England.

    Cited by:

    1. Thomas B. King, 2016. "Expectation and Duration at the Effective Lower Bound," Working Paper Series WP-2016-21, Federal Reserve Bank of Chicago, revised 30 Nov 2016.
    2. Giuseppe Grande & Adriana Grasso & Gabriele Zinna, 2019. "The effectiveness of the ECB’s asset purchases at the lower bound," Questioni di Economia e Finanza (Occasional Papers) 541, Bank of Italy, Economic Research and International Relations Area.

  2. Junye Li & Gabriele Zinna, 2014. "How much of bank credit risk is sovereign risk? Evidence from the eurozone," Temi di discussione (Economic working papers) 990, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Taneli M�kinen & Lucio Sarno & Gabriele Zinna, 2019. "Risky bank guarantees," Temi di discussione (Economic working papers) 1232, Bank of Italy, Economic Research and International Relations Area.
    2. María Cantero Sáiz & Sergio Sanfilippo Azofra & Begoña Torre Olmo, 2019. "The single supervision mechanism and contagion between bank and sovereign risk," Journal of Regulatory Economics, Springer, vol. 55(1), pages 67-106, February.
    3. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
    4. Kaminska, Iryna & Zinna, Gabriele, 2019. "Official demand for US debt: implications for US real rates," Bank of England working papers 796, Bank of England.
    5. G. Chiesa & J. M. Mansilla-Fernández, 2018. "Non-Performing Loans, Cost of Capital, and Lending Supply: Lessons from the Eurozone Banking Crisi," Working Papers wp1124, Dipartimento Scienze Economiche, Universita' di Bologna.
    6. Sergio Masciantonio & Andrea Zaghini, 2017. "Systemic risk and systemic importance measures during the crisis," Temi di discussione (Economic working papers) 1153, Bank of Italy, Economic Research and International Relations Area.
    7. Stefano Neri & Stefano Siviero, 2019. "The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks," Questioni di Economia e Finanza (Occasional Papers) 486, Bank of Italy, Economic Research and International Relations Area.

  3. Junye Li & Gabriele Zinna, 2014. "On bank credit risk: systemic or bank-specific? Evidence from the US and UK," Temi di discussione (Economic working papers) 951, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Junye Li & Gabriele Zinna, 2014. "How much of bank credit risk is sovereign risk? Evidence from the eurozone," Temi di discussione (Economic working papers) 990, Bank of Italy, Economic Research and International Relations Area.
    2. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: from a global to a local perspective? A network theory approach," Working Papers 9/2014, IMT Institute for Advanced Studies Lucca, revised Sep 2014.
    3. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: regulations, research, open issues, proposals," Working Papers 2/2014, IMT Institute for Advanced Studies Lucca, revised Mar 2014.
    4. Iryna Kaminska & Gabriele Zinna, 2020. "Official Demand for U.S. Debt: Implications for U.S. Real Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 323-364, March.
    5. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
    6. Kaminska, Iryna & Zinna, Gabriele, 2019. "Official demand for US debt: implications for US real rates," Bank of England working papers 796, Bank of England.
    7. Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.
    8. Sara Cecchetti, 2017. "A quantitative analysis of risk premia in the corporate bond market," Temi di discussione (Economic working papers) 1141, Bank of Italy, Economic Research and International Relations Area.

  4. Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Giuseppe Grande & Sergio Masciantonio & Andrea Tiseno, 2014. "The interest-rate sensitivity of the demand for sovereign debt. Evidence from OECD countries (1995-2011)," Temi di discussione (Economic working papers) 988, Bank of Italy, Economic Research and International Relations Area.

  5. Fratzscher, Marcel & Sarno, Lucio & Zinna, Gabriele, 2012. "The scapegoat theory of exchange rates: the first tests," Working Paper Series 1418, European Central Bank.

    Cited by:

    1. Rossi, José Luiz Júnior, 2013. "Liquidity and Exchange Rates," Insper Working Papers wpe_325, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    2. Foroni, Claudia & Guérin, Pierre & Marcellino, Massimiliano, 2018. "Using low frequency information for predicting high frequency variables," International Journal of Forecasting, Elsevier, vol. 34(4), pages 774-787.
    3. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, April.
    4. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations and economic policy uncertainty," European Journal of Political Economy, Elsevier, vol. 47(C), pages 148-162.
    5. Beckmann, Joscha & Czudaj, Robert, 2016. "The impact of uncertainty on professional exchange rate forecasts," Ruhr Economic Papers 637, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    6. Beckmann, Joscha & Czudaj, Robert, 2017. "Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 283-300.
    7. Jair N. Ojeda-Joya, 2014. "A Consumption-Based Approach to Exchange Rate Predictability," BORRADORES DE ECONOMIA 012339, BANCO DE LA REPÚBLICA.
    8. de Haas, R. & Brown, M. & Sokolov, V., 2015. "Regional Inflation, Financial Integration and Dollarization (This is a revision of CentER DP 2013-073)," Discussion Paper 2015-012, Tilburg University, Center for Economic Research.
    9. Francesca Pancotto & Giuseppe Pignataro & Davide Raggi, 2015. "Social Learning and Higher Order Beliefs: A Structural Model of Exchange Rates Dynamics," LEM Papers Series 2015/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    10. Rossi Junior, Jose Luiz & Felicio, Wilson Rafael de Oliveira, 2014. "Common Factors and the Exchange Rate: Results From the Brazilian Case," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(1), April.
    11. Ribeiro, Pinho J., 2017. "Selecting exchange rate fundamentals by bootstrap," International Journal of Forecasting, Elsevier, vol. 33(4), pages 894-914.
    12. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
    13. Joscha Beckmann & Rainer Schüssler, 2014. "Forecasting Exchange Rates under Model and Parameter Uncertainty," CQE Working Papers 3214, Center for Quantitative Economics (CQE), University of Muenster.
    14. Filippou, Ilias & Taylor, Mark P, 2014. "Common Macro Factors and Currency Premia," CEPR Discussion Papers 10016, C.E.P.R. Discussion Papers.
    15. Christophe Amat & Tomasz Michalski & Gilles Stoltz, 2018. "Fundamentals and exchange rate forecastability with simple machine learning methods," Working Papers halshs-01003914, HAL.
    16. Pilbeam, K. & Litsios, I., 2018. "Long-run determination of the nominal exchange rate in the presence of national debts: Evidence from the yen-dollar exchange rate," Working Papers 18/01, Department of Economics, City University London.
    17. Brown, Martin & Haas, Ralph De & Sokolov, Vladimir, 2015. "Regional Inflation and Financial Dollarization," HIT-REFINED Working Paper Series 22, Institute of Economic Research, Hitotsubashi University.
    18. Claessens, Stijn & Kose, Ayhan, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    19. Jose Luiz Rossi Jr & Wilson Felíci, 2014. "Common Factors And The Exchange Rate: Results From The Brazilian Case," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    20. Beckmann, Joscha & Schüssler, Rainer, 2016. "Forecasting exchange rates under parameter and model uncertainty," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 267-288.
    21. Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," MPRA Paper 58956, University Library of Munich, Germany.
    22. Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," Working Papers 272009, Hong Kong Institute for Monetary Research.
    23. Kouwenberg, Roy & Markiewicz, Agnieszka & Verhoeks, Ralph & Zwinkels, Remco C. J., 2017. "Model Uncertainty and Exchange Rate Forecasting," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(1), pages 341-363, February.
    24. Ioannis Litsios & Keith Pilbeam, 2019. "The Role Of National Debts In The Determination Of The Yen‐Dollar Exchange Rate," Economic Inquiry, Western Economic Association International, vol. 57(2), pages 1182-1195, April.
    25. de Haas, R. & Brown, M. & Sokolov, V., 2015. "Regional Inflation, Financial Integration and Dollarization," Other publications TiSEM ef569549-635c-490c-b44c-2, Tilburg University, School of Economics and Management.
    26. Yin-Wong Cheung & Wenhao Wang, 2020. "Uncovered Interest Rate Parity Redux: Non- Uniform Effects," GRU Working Paper Series GRU_2020_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    27. Haskamp, Ulrich, 2017. "Forecasting exchange rates: The time-varying relationship between exchange rates and Taylor rule fundamentals," Ruhr Economic Papers 704, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    28. F. Pancotto & G. Pignataro & D. Raggi, 2014. "Higher order beliefs and the dynamics of exchange rates," Working Papers wp957, Dipartimento Scienze Economiche, Universita' di Bologna.
    29. David Alan Peel & Pantelis Promponas, 2016. "Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K," Working Papers 144439514, Lancaster University Management School, Economics Department.
    30. Beckmann, J & Koop, G & Korobilis, D & Schüssler, R, 2017. "Exchange rate predictability and dynamic Bayesian learning," Essex Finance Centre Working Papers 20781, University of Essex, Essex Business School.
    31. Ioannis Litsios & Keith Pilbeam, 2017. "The long-run determination of the real exchange rate. Evidence from an intertemporal modelling framework using the dollar-pound exchange rate," Open Economies Review, Springer, vol. 28(5), pages 1011-1028, November.
    32. Rossi, José Luiz Júnior, 2014. "The Usefulness of Financial Variables in Predicting Exchange Rate Movements," Insper Working Papers wpe_332, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    33. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
    34. Lorenzo Pozzi & Barbara Sadaba, 2017. "Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals," Staff Working Papers 17-22, Bank of Canada.
    35. Felício, Wilson Rafael de Oliveira & Rossi, José Luiz J., 2012. "The Usefulness of factor models in forecasting the exchange rate: results from the Brazilian case," Insper Working Papers wpe_273, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    36. Shakill Hassan & Merrisa Paul & Siobhan Redford, 2015. "Vulnerability to Normalization of Global Financing Conditions- An Operational Approach," Working Papers 6941, South African Reserve Bank.
    37. Philippe Bacchetta & Eric van Wincoop, 2011. "Modeling Exchange Rates with Incomplete Information," Cahiers de Recherches Economiques du Département d'économie 11.03, Université de Lausanne, Faculté des HEC, Département d’économie.
    38. Enzo Cassino & David Oxley, 2013. "How Does the Exchange Rate Affect the Real Economy? A Literature Survey," Treasury Working Paper Series 13/26, New Zealand Treasury.

  6. Zinna, Gabriele, 2011. "Identifying risks in emerging market sovereign and corporate bond spreads," Bank of England working papers 430, Bank of England.

    Cited by:

    1. Ratha, Dilip & De, Supriyo & Kurlat, Sergio, 2018. "Does governing law affect bond spreads?," Emerging Markets Review, Elsevier, vol. 36(C), pages 60-78.
    2. Klein, Christian & Stellner, Christoph, 2014. "Does sovereign risk matter? New evidence from eurozone corporate bond ratings and zero-volatility spreads," Review of Financial Economics, Elsevier, vol. 23(2), pages 64-74.
    3. Azad, A.S.M. Sohel & Batten, Jonathan A. & Fang, Victor, 2015. "What determines the yen swap spread?," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 1-13.
    4. Yinghui Chen & Lunan Jiang, 2019. "Liquidity Risk and Corporate Bond Yield Spread: Evidence from China," CFDS Discussion Paper Series 2019/9, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
    5. Yuanxin Liu & FengYun Li & Xinhua Yu & Jiahai Yuan & Dong Zhou, 2018. "Assessing the Credit Risk of Corporate Bonds Based on Factor Analysis and Logistic Regress Analysis Techniques: Evidence from New Energy Enterprises in China," Sustainability, MDPI, Open Access Journal, vol. 10(5), pages 1-21, May.
    6. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
    7. Fernández-Rodríguez, Fernando & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2016. "Using connectedness analysis to assess financial stress transmission in EMU sovereign bond market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 126-145.
    8. Sohel Azad, A.S.M. & Batten, Jonathan A. & Fang, Victor & Wickramanayake, Jayasinghe, 2015. "International swap market contagion and volatility," Economic Modelling, Elsevier, vol. 47(C), pages 355-371.

  7. Kaminska, Iryna & Vayanos, Dimitri & Zinna, Gabriele, 2011. "Preferred-habitat investors and the US term structure of real rates," Bank of England working papers 435, Bank of England.

    Cited by:

    1. Laura Jaramillo & Yuanyan S Zhang, 2013. "Real Money Investors and Sovereign Bond Yields," IMF Working Papers 13/254, International Monetary Fund.
    2. Michael E. Cahill & Stefania D'Amico & Canlin Li & John S. Sears, 2013. "Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserve's asset purchase announcements," Finance and Economics Discussion Series 2013-35, Board of Governors of the Federal Reserve System (U.S.).
    3. Scott Mixon & Esen Onur, 2019. "Derivatives pricing when supply and demand matter: Evidence from the term structure of VIX futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1035-1055, September.
    4. Mansur, Alfan & Al Arif, Munafsin, 2017. "Dampak Kepemilikan Asing terhadap Pasar Surat Berharga Negara (SBN) Indonesia [The Impact of Foreign Ownership on the Indonesian Government Bonds Market]," MPRA Paper 93944, University Library of Munich, Germany, revised 14 Jun 2017.
    5. Jesus Sierra, 2014. "International Capital Flows and Bond Risk Premia," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-36.
    6. Pierre Bui Quang, 2018. "The effect of non-resident investments on the French sovereign spread," EconomiX Working Papers 2018-52, University of Paris Nanterre, EconomiX.
    7. Blattner, Tobias Sebastian & Joyce, Michael A. S., 2016. "Net debt supply shocks in the euro area and the implications for QE," Working Paper Series 1957, European Central Bank.
    8. Junko Koeda, 2015. "Bond Supply and Excess Bond Returns in Zero-Lower Bound and Normal Environments: Evidence from Japan," Working Papers 1506, Waseda University, Faculty of Political Science and Economics.
    9. Gabriele Zinna, 2016. "Price Pressures on UK Real Rates: An Empirical Investigation," Review of Finance, European Finance Association, vol. 20(4), pages 1587-1630.
    10. Bush, Oliver & Farrant, Katie & Wright, Michelle, 2011. "Financial Stability Paper No 13: Reform of the International Monetary and Financial System," Bank of England Financial Stability Papers 13, Bank of England.
    11. Kaminska, Iryna & Zinna, Gabriele, 2019. "Official demand for US debt: implications for US real rates," Bank of England working papers 796, Bank of England.
    12. D’Amico, Stefania & King, Thomas B., 2013. "Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply," Journal of Financial Economics, Elsevier, vol. 108(2), pages 425-448.
    13. Scott Mixon & Tugkan Tuzun, 2018. "Price Pressure and Price Discovery in the Term Structure of Interest Rates," Finance and Economics Discussion Series 2018-065, Board of Governors of the Federal Reserve System (U.S.), revised 28 Sep 2018.
    14. Stefania D'Amico & Thomas B. King, 2012. "Flow and stock effects of large-scale asset purchases: evidence on the importance of local supply," Finance and Economics Discussion Series 2012-44, Board of Governors of the Federal Reserve System (U.S.).

Articles

  1. Junye Li & Gabriele Zinna, 2018. "How Much of Bank Credit Risk Is Sovereign Risk? Evidence from Europe," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1225-1269, September.

    Cited by:

    1. Taneli M�kinen & Lucio Sarno & Gabriele Zinna, 2019. "Risky bank guarantees," Temi di discussione (Economic working papers) 1232, Bank of Italy, Economic Research and International Relations Area.
    2. Iryna Kaminska & Gabriele Zinna, 2020. "Official Demand for U.S. Debt: Implications for U.S. Real Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 323-364, March.
    3. Sara Cecchetti, 2020. "An analysis of sovereign credit risk premia in the euro area: are they explained by local or global factors?," Temi di discussione (Economic working papers) 1271, Bank of Italy, Economic Research and International Relations Area.
    4. Stefano Neri & Stefano Siviero, 2019. "The non-standard monetary policy measures of the ECB: motivations, effectiveness and risks," Questioni di Economia e Finanza (Occasional Papers) 486, Bank of Italy, Economic Research and International Relations Area.

  2. Junye Li & Gabriele Zinna, 2018. "The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(3), pages 411-425, July.

    Cited by:

    1. Demirer, Riza & Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2019. "Time-varying risk aversion and realized gold volatility," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    2. Konstantinos Gkillas & Rangan Gupta & Mark E. Wohar, 2020. "Oil shocks and volatility jumps," Review of Quantitative Finance and Accounting, Springer, vol. 54(1), pages 247-272, January.
    3. Hsuan‐Ling Chang & Yen‐Cheng Chang & Hung‐Wen Cheng & Po‐Hsiang Peng & Kevin Tseng, 2019. "Jump variance risk: Evidence from option valuation and stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 890-915, July.
    4. Rombouts, Jeroen V.K. & Stentoft, Lars & Violante, Francesco, 2020. "Variance swap payoffs, risk premia and extreme market conditions," Econometrics and Statistics, Elsevier, vol. 13(C), pages 106-124.
    5. Jiling Cao & Xinfeng Ruan & Wenjun Zhang, 2020. "Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 945-973, June.
    6. Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.

  3. Blake, David & Sarno, Lucio & Zinna, Gabriele, 2017. "The market for lemmings: The herding behavior of pension funds," Journal of Financial Markets, Elsevier, vol. 36(C), pages 17-39.

    Cited by:

    1. Anderson, Nicola & Webber, Lewis & Noss, Joseph & Beale, Daniel & Crowley-Reidy, Liam, 2015. "Financial Stability Paper 34: The resilience of financial market liquidity," Bank of England Financial Stability Papers 34, Bank of England.
    2. Rob Bauer & Matteo Bonneti & Dirk Broeders, 2018. "Pension Funds Interconnections and Herd Behavior," DNB Working Papers 612, Netherlands Central Bank, Research Department.
    3. I. Koetsier & J.A. Bikker, 2018. "Herding behavior of Dutch pension funds in asset class investments," Working Papers 18-04, Utrecht School of Economics.
    4. Tanja Artiga Gonzalez & Iman van Lelyveld & Katarina Lucivjanska, 2018. "Pension fund equity performance: Patience, activity or both?," DNB Working Papers 606, Netherlands Central Bank, Research Department.
    5. Douglas, Graeme & Roberts-Sklar, Matt, 2018. "What drives UK defined benefit pension funds' investment behaviour?," Bank of England working papers 757, Bank of England.
    6. Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
    7. Cui, Yueting & Gebka, Bartosz & Kallinterakis, Vasileios, 2019. "Do closed-end fund investors herd?," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 194-206.
    8. Dirk Broeders & Damiaan Chen & Peter Minderhoud & Willem Schudel, 2016. "Pension funds' herding," DNB Working Papers 503, Netherlands Central Bank, Research Department.
    9. Kallinterakis, Vasileios & Wang, Ying, 2019. "Do investors herd in cryptocurrencies – and why?," Research in International Business and Finance, Elsevier, vol. 50(C), pages 240-245.

  4. Gabriele Zinna, 2016. "Price Pressures on UK Real Rates: An Empirical Investigation," Review of Finance, European Finance Association, vol. 20(4), pages 1587-1630.

    Cited by:

    1. Dietrich Domanski & Hyun Song Shin & Vladyslav Sushko, 2017. "The Hunt for Duration: Not Waving but Drowning?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 65(1), pages 113-153, April.
    2. Iryna Kaminska & Gabriele Zinna, 2020. "Official Demand for U.S. Debt: Implications for U.S. Real Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 323-364, March.
    3. Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente, 2018. "Forecasting Bond Yields with Segmented Term Structure Models," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16(1), pages 1-33.
    4. Kaminska, Iryna & Zinna, Gabriele, 2019. "Official demand for US debt: implications for US real rates," Bank of England working papers 796, Bank of England.

  5. Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015. "The scapegoat theory of exchange rates: the first tests," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
    See citations under working paper version above.
  6. Zinna, Gabriele, 2014. "Identifying risks in emerging market sovereign and corporate bond spreads," Emerging Markets Review, Elsevier, vol. 20(C), pages 1-22. See citations under working paper version above.
  7. Li, Junye & Zinna, Gabriele, 2014. "On Bank Credit Risk: Systemic or Bank Specific? Evidence for the United States and United Kingdom," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(5-6), pages 1403-1442, December.

    Cited by:

    1. Han-Hsing Lee & Kuanyu Shih & Kehluh Wang, 2016. "Measuring sovereign credit risk using a structural model approach," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1097-1128, November.
    2. Iryna Kaminska & Gabriele Zinna, 2020. "Official Demand for U.S. Debt: Implications for U.S. Real Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 323-364, March.
    3. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
    4. Kaminska, Iryna & Zinna, Gabriele, 2019. "Official demand for US debt: implications for US real rates," Bank of England working papers 796, Bank of England.
    5. Sara Cecchetti, 2017. "A quantitative analysis of risk premia in the corporate bond market," Temi di discussione (Economic working papers) 1141, Bank of Italy, Economic Research and International Relations Area.

  8. Zinna, Gabriele, 2013. "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 15-35.

    Cited by:

    1. Junye Li & Gabriele Zinna, 2014. "How much of bank credit risk is sovereign risk? Evidence from the eurozone," Temi di discussione (Economic working papers) 990, Bank of Italy, Economic Research and International Relations Area.
    2. Vincent Xiang & Michael T. Chng & Victor Fang, 2017. "The economic significance of CDS price discovery," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 1-30, January.
    3. Zinna, Gabriele, 2014. "Identifying risks in emerging market sovereign and corporate bond spreads," Emerging Markets Review, Elsevier, vol. 20(C), pages 1-22.
    4. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2017. "Sovereign default risk linkage: Implication for portfolio diversification," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 1-16.
    5. Lafuente, Juan Angel & Serrano, Pedro, 2015. "On the compensation for illiquidity in sovereign credit markets," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 83-100.
    6. Lafuente, Juan Ángel & Petit, Nuria & Serrano, Pedro, 2019. "Pricing factors in multiple-term structures from interbank rates," Journal of International Money and Finance, Elsevier, vol. 91(C), pages 138-159.
    7. Fong, Tom Pak Wing & Li, Ka-Fai & Fu, John, 2018. "Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors," Emerging Markets Review, Elsevier, vol. 34(C), pages 98-110.
    8. El Abed, Riadh & Zardoub, Amna, 2017. "Time varying and asymmetric effect between sovereign credit market and financial market: The asymmetric DCC model," Economics Discussion Papers 2017-97, Kiel Institute for the World Economy (IfW).
    9. Lafuente Luengo, Juan Ángel & Groba, Jonatan & Serrano, Pedro, 2014. "On the compensation for illiquidity in sovereign credit markets," DEE - Working Papers. Business Economics. WB wb142911, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.

  9. Dew, Ed & Martin, Jeremy & Giese, Julia & Zinna, Gabriele, 2011. "China's changing growth pattern," Bank of England Quarterly Bulletin, Bank of England, vol. 51(1), pages 49-56.

    Cited by:

    1. Hooley, John, 2013. "Bringing down the Great Wall? Global implications of capital account liberalisation in China," Bank of England Quarterly Bulletin, Bank of England, vol. 53(4), pages 304-315.
    2. Bush, Oliver & Farrant, Katie & Wright, Michelle, 2011. "Financial Stability Paper No 13: Reform of the International Monetary and Financial System," Bank of England Financial Stability Papers 13, Bank of England.
    3. Sun Xuegong, . "China: Searching for a New Development Modal," Chapters, in: Zhang Yunling & Fukunari Kimura & Sothea Oum (ed.),Moving Toward A New Development Model For East Asia-The Role of Domestic Policy and Regional Cooperation, chapter 5, pages 159-190, Economic Research Institute for ASEAN and East Asia (ERIA).

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 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-MON: Monetary Economics (6) 2011-08-09 2012-03-28 2012-07-08 2013-05-22 2015-01-19 2020-01-13. Author is listed
  2. NEP-BAN: Banking (5) 2012-04-03 2014-03-08 2015-01-09 2019-05-13 2019-11-25. Author is listed
  3. NEP-RMG: Risk Management (5) 2012-04-03 2014-03-08 2015-01-09 2019-05-13 2019-11-25. Author is listed
  4. NEP-CBA: Central Banking (4) 2012-03-28 2012-04-03 2014-03-08 2020-01-13. Author is listed
  5. NEP-EEC: European Economics (2) 2015-01-09 2020-01-13
  6. NEP-MAC: Macroeconomics (2) 2014-07-13 2020-01-13
  7. NEP-OPM: Open Economy Macroeconomics (2) 2013-05-22 2015-01-19
  8. NEP-ORE: Operations Research (1) 2019-11-25

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