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Nicola Borri

Personal Details

First Name:Nicola
Middle Name:
Last Name:Borri
Suffix:
RePEc Short-ID:pbo330
[This author has chosen not to make the email address public]
http://docenti.luiss.it/borri/
LUISS G. Carli Dipartimento di Economia e Finanza Viale Romania, 32 00197 ROME ITALY

Affiliation

Dipartimento di Economia e Finanza (DEF)
Libera Università Internazionale degli Studi Sociali Guido Carli (LUISS)

Roma, Italy
http://ricerca.economiaefinanza.luiss.it/

: 06 85225.550
06 85225.973
Viale Romania 32 - 00197 Roma
RePEc:edi:deluiit (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Kirill Shakhnov & Nicola Borri, 2017. "Limited Arbitrage in the Market for Local Currency Emerging Market Debt," 2017 Meeting Papers 737, Society for Economic Dynamics.
  2. Borri, Nicola & Reichlin, Pietro, 2015. "The Housing Cost Disease," CEPR Discussion Papers 10756, C.E.P.R. Discussion Papers.
  3. Nicola Borri & Marianna Caccavaio & Giorgio Di Giorgio & Alberto Maria Sorrentino, 2012. "Systemic Risk and the European Banking Sector," Working Papers CASMEF 1211, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  4. Nicola Borri & Filippo Russo, 2011. "I debiti sovrani dell'area Euro: implicazioni per la gestione e la distribuzione dei prodotti di risparmio," Working Papers CASMEF 1105, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  5. Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers 1122, Society for Economic Dynamics.
  6. Nicola Borri, "undated". "Risk premia in long-duration sovereign bonds," Working Papers CASMEF 1501, Dipartimento di Economia e Finanza, LUISS Guido Carli.

Articles

  1. Borri, Nicola, 2018. "Local currency systemic risk," Emerging Markets Review, Elsevier, vol. 34(C), pages 111-123.
  2. Borri, Nicola & Reichlin, Pietro, 2018. "The housing cost disease," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 106-123.
  3. Borri, Nicola & Ragusa, Giuseppe, 2017. "Sensitivity, Moment Conditions, and the Risk-Free Rate in Yogo (2006)," Critical Finance Review, now publishers, vol. 6(2), pages 381-393, September.
  4. Nicola Borri & Marianna Caccavaio & Giorgio Di Giorgio & Alberto Maria Sorrentino, 2014. "Systemic Risk in the Italian Banking Industry," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 21-38, February.
  5. Nicola Borri & Filippo Russo, 2011. "I debiti sovrani nell'area Euro: implicazioni per la gestione e la distribuzione dei prodotti di risparmio," Rivista Bancaria - Minerva Bancaria, Istituto di Cultura Bancaria Francesco Parrillo, issue 5-6, november.

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. Nicola Borri & Marianna Caccavaio & Giorgio Di Giorgio & Alberto Maria Sorrentino, 2012. "Systemic Risk and the European Banking Sector," Working Papers CASMEF 1211, Dipartimento di Economia e Finanza, LUISS Guido Carli.

    Cited by:

    1. Gabriela-Victoria Anghelache & Dumitru-Cristian Oanea, 2016. "Romanian Commercial Banks’ Systemic Risk and Its Determinants: A CoVAR Approach," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(3), pages 96-109, July.
    2. Kleinow, Jacob & Moreira, Fernando, 2016. "Systemic risk among European banks: A copula approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 27-42.
    3. Jacob Kleinow & Tobias Nell, 2015. "Determinants of systemically important banks: the case of Europe," Journal of Financial Economic Policy, Emerald Group Publishing, vol. 7(4), pages 446-476, November.
    4. Gabriela Anghelache & Dumitru-Cristian Oanea, 2014. "Main Romanian Commercial Banks’ Systemic Risk during Financial Crisis: a CoVar Approach," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(2), pages 069-080, December.

  2. Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers 1122, Society for Economic Dynamics.

    Cited by:

    1. Bianchi, Javier & Hatchondo, Juan Carlos & Martinez, Leonardo, 2013. "International reserves and rollover risk," Working Paper 13-01, Federal Reserve Bank of Richmond, revised 01 Jun 2013.
    2. Peter Benczur & Cosmin L. Ilut, 2014. "Evidence for Relational Contracts in Sovereign Bank Lending," NBER Working Papers 20391, National Bureau of Economic Research, Inc.
    3. Kumhof, Michael & Rancière, Romain, 2011. "Inequality, Leverage and Crises," CEPR Discussion Papers 8179, C.E.P.R. Discussion Papers.
    4. Juan Carlos Hatchondo & Cesar Sosa-Padilla & Leonardo Martinez, 2010. "Debt dilution, overborrowing, and sovereign default risk," 2010 Meeting Papers 481, Society for Economic Dynamics.
    5. Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2014. "Political Risk Spreads," NBER Working Papers 19786, National Bureau of Economic Research, Inc.
    6. Wenxin Du & Jesse Schreger, 2014. "Local Currency Sovereign Risk," Working Paper 102321, Harvard University OpenScholar.
    7. Aguiar, M. & Chatterjee, S. & Cole, H. & Stangebye, Z., 2016. "Quantitative Models of Sovereign Debt Crises," Handbook of Macroeconomics, Elsevier.
    8. Ignacio Presno & Demian Pouzo, 2012. "Sovereign Default Risk and Uncertainty Premia," 2012 Meeting Papers 608, Society for Economic Dynamics.
    9. Flavia Corneli & Emanuele Tarantino, 2015. "Sovereign debt and reserves with liquidity and productivity crises," Temi di discussione (Economic working papers) 1012, Bank of Italy, Economic Research and International Relations Area.
    10. Alessandro Dovis & Luigi Bocola, 2015. "Indeterminacy in Sovereign Debt Markets: An Empirical Investigation," 2015 Meeting Papers 694, Society for Economic Dynamics.
    11. Catão, Luis A.V. & Mano, Rui C., 2017. "Default premium," Journal of International Economics, Elsevier, vol. 107(C), pages 91-110.
    12. Kieran Walsh, 2014. "Portfolio Choice and Partial Default in Emerging Markets: a quantitative analysis," 2014 Meeting Papers 789, Society for Economic Dynamics.
    13. Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.
    14. Juan Carlos Hatchondo & Leonardo Martinez & Francisco Roch, 2015. "Fiscal rules and the Sovereign Default Premium," Caepr Working Papers 2015-010 Classification-F, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    15. Cristina Arellano & Yan Bai, 2013. "Linkages across Sovereign Debt Markets," NBER Working Papers 19548, National Bureau of Economic Research, Inc.
    16. Ina Simonovska & Espen Henriksen & Joel David, 2016. "The Risky Capital of Emerging Markets," 2016 Meeting Papers 125, Society for Economic Dynamics.
    17. Ina Simonovska & Espen Henriksen, 2013. "Time-Varying Risk Premia and Capital Flows to Developing Countries," 2013 Meeting Papers 1258, Society for Economic Dynamics.
    18. Cristina Arellano & Ananth Ramanarayanan, 2008. "Default and the maturity structure in sovereign bonds," Globalization and Monetary Policy Institute Working Paper 19, Federal Reserve Bank of Dallas.
    19. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper 88, Federal Reserve Bank of Dallas.
    20. Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007.
    21. Arellano, Cristina & Bai, Yan & Lizarazo, Sandra, 2017. "Sovereign Risk Contagion," Staff Report 559, Federal Reserve Bank of Minneapolis.
    22. Luigi Bocola & Alessandro Dovis, 2016. "Self-Fulfilling Debt Crises: A Quantitative Analysis," NBER Working Papers 22694, National Bureau of Economic Research, Inc.
    23. Demian Pouzo & Ignacio Presno, 2015. "Sovereign Default Risk and Uncertainty Premia," Papers 1512.06960, arXiv.org.
    24. Peter Benczur & Cosmin Ilut, 2011. "Evidence for Dynamic Contracts in Sovereign Bank Lending," Working Papers 11-06, Duke University, Department of Economics.
    25. Juan Carlos Hatchondo & Leonardo Martinez & Cesar Sosa-Padilla, 2015. "Debt Dilution and Sovereign Default Risk," Caepr Working Papers 2015-012 Classification-, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    26. Fabrice Tourre, 2017. "A Macro-Finance Approach to Sovereign Debt Spreads and Returns," 2017 Meeting Papers 13, Society for Economic Dynamics.
    27. Grosse Steffen, Christoph & Podstawski, Maximilian, 2017. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168101, Verein für Socialpolitik / German Economic Association.
    28. Juan Passadore, 2015. "Illiquidity in Sovereign Debt Markets," 2015 Meeting Papers 191, Society for Economic Dynamics.
    29. Zachary Stangebye & Satyajit Chatterjee & Harold Cole & Mark Aguiar, 2016. "Self-Fulfilling Sovereign Debt Crises," 2016 Meeting Papers 360, Society for Economic Dynamics.
    30. Asonuma, Tamon, 2014. "Sovereign defaults, external debt and real exchange rate dynamics," MPRA Paper 55133, University Library of Munich, Germany.
    31. Moretti, Laura, 2011. "Transparency and emerging market bond spreads," CFS Working Paper Series 2011/14, Center for Financial Studies (CFS).
    32. Flavia Corneli & Emanuele Tarantino, 2011. "Reserve management and sovereign debt cost in a world with liquidity crises," Temi di discussione (Economic working papers) 797, Bank of Italy, Economic Research and International Relations Area.
    33. Mark Aguiar & Manuel Amador, 2013. "Sovereign Debt: A Review," NBER Working Papers 19388, National Bureau of Economic Research, Inc.
    34. Luigi Bocola & Guido Lorenzoni, 2017. "Financial Crises, Dollarization, and Lending of Last Resort in Open Economies," NBER Working Papers 23984, National Bureau of Economic Research, Inc.

Articles

  1. Nicola Borri & Marianna Caccavaio & Giorgio Di Giorgio & Alberto Maria Sorrentino, 2014. "Systemic Risk in the Italian Banking Industry," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 21-38, February.

    Cited by:

    1. de Mendonça, Helder Ferreira & Silva, Rafael Bernardo da, 2018. "Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 141-157.
    2. Mikhail Stolbov, 2017. "Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR," International Economics and Economic Policy, Springer, vol. 14(1), pages 119-152, January.

More information

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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 4 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-BAN: Banking (1) 2012-09-09. Author is listed
  2. NEP-CBA: Central Banking (1) 2012-09-09. Author is listed
  3. NEP-EEC: European Economics (1) 2012-09-09. Author is listed
  4. NEP-MAC: Macroeconomics (1) 2015-08-25. Author is listed
  5. NEP-NET: Network Economics (1) 2012-09-09. Author is listed
  6. NEP-RMG: Risk Management (1) 2012-09-09. Author is listed

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