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Marcella Lucchetta

Personal Details

First Name:Marcella
Middle Name:
Last Name:Lucchetta
Suffix:
RePEc Short-ID:plu229
http://venus.unive.it/lucchett/
Dipartimento di Economia, Cannaregio 873, 30121 Venezia
+39 041 234 9191

Affiliation

Dipartimento di Economia
Università Ca' Foscari Venezia

Venezia, Italy
http://www.unive.it/dip.economia

: +39-0412349621
+39-0412349176
Cannaregio, S. Giobbe no 873 , 30121 Venezia
RePEc:edi:dsvenit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Marcella Lucchetta & Michele Costola & Lorenzo Frattarolo & Antonio Paradiso, 2016. "Do we need a stochastic trend in cay estimation? Yes," Working Papers 2016:24, Department of Economics, University of Venice "Ca' Foscari".
  2. Gianni De Nicolò & Marcella Lucchetta, 2015. "Forecasting Tail Risks," CESifo Working Paper Series 5286, CESifo Group Munich.
  3. Arusha Cooray & Marcella Lucchetta & Antonio Paradiso, 2013. "A knowledge economy approach in empirical growth models for the Nordic countries," Economics Working Papers wp13-06, School of Economics, University of Wollongong, NSW, Australia.
  4. : Gianni De Nicolo & : Andrea Gamba & : Marcella Lucchetta, 2013. "Microprudential Regulation in a Dynamic Model of Banking," Working Papers wpn13-04, Warwick Business School, Finance Group.
  5. Marcella Lucchetta & Michael Donadelli, 2012. "Emerging Stock Premia: Do Industries Matter?," Working Papers 2012_22, Department of Economics, University of Venice "Ca' Foscari".
  6. Gianni De Nicolo & Andrea Gamba & Marcella Lucchetta, 2012. "Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking," IMF Working Papers 12/72, International Monetary Fund.
  7. Marcella Lucchetta & Gianni De Nicolo, 2012. "Systemic Real and Financial Risks; Measurement, Forecasting, and Stress Testing," IMF Working Papers 12/58, International Monetary Fund.
  8. Marcella Lucchetta & Gianni De Nicolo, 2011. "Bank Competition and Financial Stability; A General Equilibrium Exposition," IMF Working Papers 11/295, International Monetary Fund.
  9. Marcella Lucchetta, 2010. "Bank Market Structure, Systemic Risk, and Interbank Market Breakdowns," RSCAS Working Papers 2010/76, European University Institute.
  10. Marcella Lucchetta & Gianni De Nicolo, 2010. "Systemic Risks and the Macroeconomy," IMF Working Papers 10/29, International Monetary Fund.
  11. D'Avino, Carmela & Lucchetta, Marcella, 2010. "Opacity of Banks and Runs with Solvency," MPRA Paper 24166, University Library of Munich, Germany.
  12. Gianni De Nicolo & Marcella Lucchetta, 2009. "Financial Intermediation, Competition, and Risk; A General Equilibrium Exposition," IMF Working Papers 09/105, International Monetary Fund.

Articles

  1. Marcella Lucchetta, 2017. "Banking competition and welfare," Annals of Finance, Springer, vol. 13(1), pages 31-53, February.
  2. Gianni De Nicolò & Marcella Lucchetta, 2017. "Forecasting Tail Risks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 159-170, January.
  3. Marcella Lucchetta, 2016. "The Status Quo Crisis: Global Financial Governance after the 2008 Meltdown," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 42(4), pages 674-675, September.
  4. Lucchetta, Marcella, 2015. "Does the bank risk concentration freeze the interbank system?," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 149-166.
  5. Lucchetta, Marcella & Paradiso, Antonio, 2014. "Sluggish US employment recovery after the Great Recession: Cyclical or structural factors?," Economics Letters, Elsevier, vol. 123(2), pages 109-112.
  6. Paradiso, Antonio & Kumar, Saten & Lucchetta, Marcella, 2014. "Investigating the US consumer credit determinants using linear and non-linear cointegration techniques," Economic Modelling, Elsevier, vol. 42(C), pages 20-28.
  7. Gianni De Nicolò & Andrea Gamba & Marcella Lucchetta, 2014. "Microprudential Regulation in a Dynamic Model of Banking," Review of Financial Studies, Society for Financial Studies, vol. 27(7), pages 2097-2138.
  8. Michael Donadelli & Marcella Lucchetta, 2013. "Emerging Stock Premia: Some Evidence From Industrial Stock Market Data," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(4), pages 398-422, April.
  9. Ivan Lorenzon & Marcella Lucchetta & Loriana Pelizzon, 2011. "Bank credit to medium-sized enterprises in Italy: the trends before and during the crisis," BANCARIA, Bancaria Editrice, vol. 2, pages 20-32, February.
  10. Marcella Lucchetta, 2007. "What Do Data Say About Monetary Policy, Bank Liquidity and Bank Risk Taking?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(2), pages 189-203, July.

Chapters

  1. Gianni De Nicolò & Marcella Lucchetta, 2011. "Systemic Risks and the Macroeconomy," NBER Chapters,in: Quantifying Systemic Risk, pages 113-148 National Bureau of Economic Research, Inc.

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. Gianni De Nicolò & Marcella Lucchetta, 2015. "Forecasting Tail Risks," CESifo Working Paper Series 5286, CESifo Group Munich.

    Cited by:

    1. Alexey Vasilenko, 2018. "Systemic Risk and Financial Fragility in the Chinese Economy: A Dynamic Factor Model Approach," Bank of Russia Working Paper Series wps30, Bank of Russia.
    2. Antoine Mandel & Amir Sani, 2017. "A Machine Learning Approach to the Forecast Combination Puzzle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01317974, HAL.
    3. Antoine Mandel & Amir Sani, 2016. "Learning Time-Varying Forecast Combinations," Documents de travail du Centre d'Economie de la Sorbonne 16036r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2016.
    4. Mikhail Stolbov & Maria Shchepeleva, 2018. "Systemic risk in Europe: deciphering leading measures, common patterns and real effects," Annals of Finance, Springer, vol. 14(1), pages 49-91, February.

  2. : Gianni De Nicolo & : Andrea Gamba & : Marcella Lucchetta, 2013. "Microprudential Regulation in a Dynamic Model of Banking," Working Papers wpn13-04, Warwick Business School, Finance Group.

    Cited by:

    1. Hugonnier, Julien & Morellec, Erwan, 2017. "Bank capital, liquid reserves, and insolvency risk," Journal of Financial Economics, Elsevier, vol. 125(2), pages 266-285.
    2. Pagratis, Spyros & Topaloglou, Nikolas & Tsionas, Mike, 2017. "System stress testing of bank liquidity risk," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 22-40.
    3. O. de Bandt & M. Chahad, 2016. "A DGSE Model to Assess the Post-Crisis Regulation of Universal Banks," Working papers 602, Banque de France.
    4. Juliane M. Begenau, 2015. "Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model," Harvard Business School Working Papers 15-072, Harvard Business School, revised Sep 2016.
    5. Douglas Gale & Andrea Gamba & Marcella Lucchetta, 2018. "Dynamic Bank Capital Regulation in Equilibrium," 2018 Meeting Papers 680, Society for Economic Dynamics.
    6. Winkler, Kay, 2015. "Determining Optimal Macroprudential Instruments," Working Paper Series 4182, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    7. Hugonnier, Julien & Morellec, Erwan, 2015. "Bank Capital, Liquid Reserves, and Insolvency Risk," CEPR Discussion Papers 10378, C.E.P.R. Discussion Papers.
    8. Mankart, Jochen & Michaelides, Alexander & Pagratis, Spyros, 2014. "A Dynamic Model of Banking with Uninsurable Risks and Regulatory Constraints," CEPR Discussion Papers 10299, C.E.P.R. Discussion Papers.
    9. M. Birn & M. Dietsch & D. Durant, 2017. "How to reach all Basel requirements at the same time?," Débats économiques et financiers 28, Banque de France.
    10. Tirupam Goel, 2016. "Banking industry dynamics and size-dependent capital regulation," BIS Working Papers 599, Bank for International Settlements.
    11. Ingo Fender & Ulf Lewrick, 2016. "Adding it all up: the macroeconomic impact of Basel II and outstanding reform issues," BIS Working Papers 591, Bank for International Settlements.
    12. Covas, Francisco & Driscoll, John C., 2014. "Bank Liquidity and Capital Regulation in General Equilibrium," Finance and Economics Discussion Series 2014-85, Board of Governors of the Federal Reserve System (U.S.).
    13. Hasman, Augusto & Samartín, Margarita, 2017. "Capital and liquidity in a dynamic model of banking," Economic Modelling, Elsevier, vol. 64(C), pages 172-177.
    14. Juliane Begenau, 2015. "Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model," 2015 Meeting Papers 687, Society for Economic Dynamics.

  3. Marcella Lucchetta & Michael Donadelli, 2012. "Emerging Stock Premia: Do Industries Matter?," Working Papers 2012_22, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Michael Donadelli, 2013. "On the Dynamics of Industrial Stock Market Excess Returns," Working Papers CASMEF 1301, Dipartimento di Economia e Finanza, LUISS Guido Carli.

  4. Gianni De Nicolo & Andrea Gamba & Marcella Lucchetta, 2012. "Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking," IMF Working Papers 12/72, International Monetary Fund.

    Cited by:

    1. Andreas Haufler & Ian Wooton, 2016. "Cross-Border Banking in Regulated Markets: Is Financial Integration Desirable?," CESifo Working Paper Series 6150, CESifo Group Munich.
    2. Lakshmi Balasubramanyan, 2011. "The Impact of Concurrent Capital and Liquidity Requirements," NFI Working Papers 2011-WP-25, Indiana State University, Scott College of Business, Networks Financial Institute.
    3. Natalie Tiernan & Pedro Gete, 2014. "Overlending and Macroprudential Tools," 2014 Meeting Papers 379, Society for Economic Dynamics.
    4. Gunther Capelle-Blancard & Olena Havrylchyk, 2014. "The burden of bank taxation: Corporate income tax vs. bank levy," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01297087, HAL.
    5. Keqing Liu, 2015. "Bank Equity and Macroprudential Policy," Discussion Papers 1503, University of Exeter, Department of Economics.
    6. Sajid M. Chaudhry & Andrew W. Mullineux & Natasha Agarwal, 2015. "Balancing the Regulation and Taxation of Banking," Books, Edward Elgar Publishing, number 16668, December.
    7. Lilit Popoyan & Mauro Napoletano & Andrea Roventini, 2015. "Taming macroeconomic instability : monetary and macro prudential policy interactions in an agent-based model," Documents de Travail de l'OFCE 2015-32, Observatoire Francais des Conjonctures Economiques (OFCE).
    8. de la Torre, Augusto & Ize, Alain, 2013. "The foundations of macroprudential regulation : a conceptual roadmap," Policy Research Working Paper Series 6575, The World Bank.
    9. Pablo D'Erasmo, 2014. "Capital Requirements in a Quantitative Model of Banking Industry Dynamics," 2014 Meeting Papers 476, Society for Economic Dynamics.
    10. Gunther Capelle-Blancard & Olena Havrylchyk, 2017. "Incidence of Bank Levy and Bank Market Power," Review of Finance, European Finance Association, vol. 21(3), pages 1353-1353.
    11. Esa Jokivuolle & Ilkka Kiema & Timo Vesala, 2014. "Why Do We Need Countercyclical Capital Requirements?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 46(1), pages 55-76, August.
    12. Gazi Kara & S. Mehmet Ozsoy, 2016. "Bank regulation under fire sale externalities," Finance and Economics Discussion Series 2016-026, Board of Governors of the Federal Reserve System (U.S.).
    13. Stijn Claessens, 2014. "An Overview of Macroprudential Policy Tools," IMF Working Papers 14/214, International Monetary Fund.
    14. Cordella, Tito & Pienknagura, Samuel, 2013. "Macro prudential policies from a micro prudential angle," Policy Research Working Paper Series 6721, The World Bank.
    15. Buch, Claudia M. & Hilberg, Björn & Tonzer, Lena, 2014. "Taxing banks: An evaluation of the German bank levy," Discussion Papers 38/2014, Deutsche Bundesbank.
    16. Haufler, Andreas & Wooton, Ian, 2015. "Capital regulation and trade in banking services," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113056, Verein für Socialpolitik / German Economic Association.
    17. Schmaltz, Christian & Pokutta, Sebastian & Heidorn, Thomas & Andrae, Silvio, 2014. "How to make regulators and shareholders happy under Basel III," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 311-325.
    18. Heidorn, Thomas & Buschmann, Christian, 2014. "The liquidity reserve funding and management strategies," Frankfurt School - Working Paper Series 210, Frankfurt School of Finance and Management.

  5. Marcella Lucchetta & Gianni De Nicolo, 2012. "Systemic Real and Financial Risks; Measurement, Forecasting, and Stress Testing," IMF Working Papers 12/58, International Monetary Fund.

    Cited by:

    1. Eric Jondeau & Michael Rockinger, 2013. "Systemic Risk in Europe," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-6.
    2. Eugenio Cerutti & Stijn Claessens & Patrick McGuire, 2012. "Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?," NBER Chapters,in: Risk Topography: Systemic Risk and Macro Modeling, pages 235-260 National Bureau of Economic Research, Inc.
    3. Buncic, Daniel & Melecky, Martin, 2013. "Macroprudential stress testing of credit risk: A practical approach for policy makers," Journal of Financial Stability, Elsevier, vol. 9(3), pages 347-370.
    4. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
    5. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial indicators and density forecasts for US output and inflation," Temi di discussione (Economic working papers) 977, Bank of Italy, Economic Research and International Relations Area.
    6. Francisco Covas & Ben Rump & Egon Zakrajsek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).
    7. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial Conditions and Density Forecasts for US Output and Inflation," Working Papers 715, Queen Mary University of London, School of Economics and Finance.
    8. Xisong Jin & Francisco Nadal De Simone, 2015. "Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach," BCL working papers 95, Central Bank of Luxembourg.
    9. Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.
    10. Diebold, Francis X. & Yılmaz, Kamil, 2014. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
    11. Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2013. "Policy in adaptive financial markets—the use of systemic risk early warning tools," Working Paper 1309, Federal Reserve Bank of Cleveland.
    12. Piergiorgio Alessandri & Haroon Mumtaz, 2017. "Online Appendix to "Financial conditions and density forecasts for US output and inflation"," Technical Appendices 14-103, Review of Economic Dynamics.
    13. Mikhail Stolbov & Maria Shchepeleva, 2018. "Systemic risk in Europe: deciphering leading measures, common patterns and real effects," Annals of Finance, Springer, vol. 14(1), pages 49-91, February.
    14. Aida Caldera Sánchez & Oliver Röhn, 2016. "How do policies influence GDP tail risks?," OECD Economics Department Working Papers 1339, OECD Publishing.

  6. Marcella Lucchetta & Gianni De Nicolo, 2011. "Bank Competition and Financial Stability; A General Equilibrium Exposition," IMF Working Papers 11/295, International Monetary Fund.

    Cited by:

    1. Carletti, Elena & Leonello, Agnese, 2016. "Credit market competition and liquidity crises," Working Paper Series 1932, European Central Bank.
    2. Diallo, Boubacar & Al-Mansour, Abdullah, 2017. "Shadow banking, insurance and financial sector stability," Research in International Business and Finance, Elsevier, vol. 42(C), pages 224-232.
    3. Diallo, Boubacar, 2015. "Bank competition and crises revisited: New results," Economics Letters, Elsevier, vol. 129(C), pages 81-86.
    4. Tabak, Benjamin M. & Gomes, Guilherme M.R. & da Silva Medeiros, Maurício, 2015. "The impact of market power at bank level in risk-taking: The Brazilian case," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 154-165.
    5. Beirne, John & Friedrich, Christian, 2017. "Macroprudential policies, capital flows, and the structure of the banking sector," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 47-68.
    6. Phurichai Rungcharoenkitkul, 2015. "Bank competition and credit booms," BIS Working Papers 488, Bank for International Settlements.

  7. Marcella Lucchetta & Gianni De Nicolo, 2010. "Systemic Risks and the Macroeconomy," IMF Working Papers 10/29, International Monetary Fund.

    Cited by:

    1. Eric Jondeau & Michael Rockinger, 2013. "Systemic Risk in Europe," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-6.
    2. Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," Finance and Economics Discussion Series 2011-08, Board of Governors of the Federal Reserve System (U.S.).
    3. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Chapters,in: Market Institutions and Financial Market Risk National Bureau of Economic Research, Inc.
    4. Gamberger, Dragan & Smuc, Tomislav, 2013. "Good governance problems and recent financial crises in some EU countries," Economics Discussion Papers 2013-39, Kiel Institute for the World Economy (IfW).
    5. Eickmeier, Sandra & Ng, Tim, 2011. "How Do Credit Supply Shocks Propagate Internationally? A GVAR approach," CEPR Discussion Papers 8720, C.E.P.R. Discussion Papers.
    6. Claudia M. Buch & Sandra Eickmeier & Esteban Prieto, 2010. "Macroeconomic Factors and Micro-Level Bank Risk," CESifo Working Paper Series 3194, CESifo Group Munich.
    7. Hristov, Nikolay & Hülsewig, Oliver & Wollmershäuser, Timo, 2014. "The interest rate pass-through in the Euro area during the global financial crisis," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 104-119.
    8. Noss, Joseph & Toffano, Priscilla, 2014. "Estimating the impact of changes in aggregate bank capital requirements during an upswing," Bank of England working papers 494, Bank of England.
    9. Akio Hattori & Kentaro Kikuchi & Fuminori Niwa & Yoshihiko Uchida, 2014. "A Survey of Systemic Risk Measures: Methodology and Application to the Japanese Market," IMES Discussion Paper Series 14-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
    10. Hristov, Nikolay & Hülsewig, Oliver & Wollmershäuser, Timo, 2012. "Loan supply shocks during the financial crisis: Evidence for the Euro area," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 569-592.
    11. Aiyar, Shekhar & Calomiris, Charles & Wieladek, Tomasz, 2014. "How does credit supply respond to monetary policy and bank minimum capital requirements?," Bank of England working papers 508, Bank of England.
    12. Wilmar Alexander Cabrera Rodríguez & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR," Borradores de Economia 810, Banco de la Republica de Colombia.
    13. Musso, Alberto & Gambetti, Luca, 2012. "Loan supply shocks and the business cycle," Working Paper Series 1469, European Central Bank.
    14. Barnett, Alina & Thomas, Ryland, 2013. "Has weak lending and activity in the United Kingdom been driven by credit supply shocks?," Bank of England working papers 482, Bank of England.
    15. Halvorsen, Jørn I. & Jacobsen, Dag Henning, 2014. "How important can bank lending shocks be for economic fluctuations?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 104-123.
    16. O. de Bandt & J.-C. Héam & C. Labonne & S. Tavolaro, 2013. "Measuring Systemic Risk in a Post-Crisis World," Débats économiques et financiers 6, Banque de France.
    17. Nakashima, Kiyotaka, 2016. "An econometric evaluation of bank recapitalization programs with bank- and loan-level data," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 1-24.
    18. Jose M. Berrospide & Rochelle M. Edge, 2010. "The effects of bank capital on lending: What do we know, and what does it mean?," CAMA Working Papers 2010-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    19. Gabriele Galati & Richhild Moessner, 2013. "Macroprudential Policy – A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 27(5), pages 846-878, December.
    20. Bijsterbosch, Martin & Falagiarda, Matteo, 2015. "The macroeconomic impact of financial fragmentation in the euro area: Which role for credit supply?," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 93-115.
    21. Michael Kleemann & Manuel Wiegand, 2014. "Are Real Effects of Credit Supply Overestimated? Bias from Firms' Current Situation and Future Expectations," ifo Working Paper Series 192, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    22. Athanasoglou, Panayiotis P. & Daniilidis, Ioannis & Delis, Manthos D., 2014. "Bank procyclicality and output: Issues and policies," Journal of Economics and Business, Elsevier, vol. 72(C), pages 58-83.
    23. Sandra Eickmeier & Leonardo Gambacorta & Boris Hofmann, 2013. "Understanding Global Liquidity," BIS Working Papers 402, Bank for International Settlements.
    24. Gamberger, Dragan & Smuc, Tomislav, 2013. "Good governance problems and recent financial crises in some EU countries," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 7, pages 1-20.
    25. Claudio Dicembrino & Pasquale Lucio Scandizzo, 2012. "Can Portfolio Diversification increase Systemic Risk? Evidence from the U.S and European Mutual Funds Market," CEIS Research Paper 240, Tor Vergata University, CEIS, revised 11 Jul 2012.
    26. Kanngiesser, Derrick & Martin, Reiner & Maurin, Laurent & Moccero, Diego, 2017. "Estimating the impact of shocks to bank capital in the euro area," Working Paper Series 2077, European Central Bank.
    27. Bijsterbosch, Martin & Falagiarda, Matteo, 2014. "Credit supply dynamics and economic activity in euro area countries: a time-varying parameter VAR analysis," Working Paper Series 1714, European Central Bank.
    28. International Monetary Fund, 2012. "Short-Term Wholesale Funding and Systemic Risk; A Global Covar Approach," IMF Working Papers 12/46, International Monetary Fund.
    29. Jose M. Berrospide & Rochelle M. Edge, 2010. "The Effects of Bank Capital on Lending: What Do We Know, and What Does It Mean?," International Journal of Central Banking, International Journal of Central Banking, vol. 6(34), pages 1-50, December.
    30. Hao Zhou, 2011. "Comment on "Systemic Risks and the Macroeconomy"," NBER Chapters,in: Quantifying Systemic Risk, pages 149-153 National Bureau of Economic Research, Inc.
    31. Eickmeier, Sandra & Ng, Tim, 2015. "How do US credit supply shocks propagate internationally? A GVAR approach," European Economic Review, Elsevier, vol. 74(C), pages 128-145.
    32. 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.
    33. De Nicolò, Gianni & Juvenal, Luciana, 2014. "Financial integration, globalization, and real activity," Journal of Financial Stability, Elsevier, vol. 10(C), pages 65-75.
    34. Noss, Joseph & Toffano, Priscilla, 2016. "Estimating the impact of changes in aggregate bank capital requirements on lending and growth during an upswing," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 15-27.
    35. di Mauro, Filippo & Fornari, Fabio & Mannucci, Dario, 2011. "Stock market firm-level information and real economic activity," Working Paper Series 1366, European Central Bank.
    36. Mikhail Stolbov & Maria Shchepeleva, 2018. "Systemic risk in Europe: deciphering leading measures, common patterns and real effects," Annals of Finance, Springer, vol. 14(1), pages 49-91, February.
    37. Jose M. Berrospide & Rochelle M. Edge, 2010. "The effects of bank capital on lending: what do we know, and what does it mean?," Finance and Economics Discussion Series 2010-44, Board of Governors of the Federal Reserve System (U.S.).
    38. Aida Caldera Sánchez & Oliver Röhn, 2016. "How do policies influence GDP tail risks?," OECD Economics Department Working Papers 1339, OECD Publishing.
    39. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, Elsevier.
    40. Panayiotis P. Athanasoglou & Ioannis Daniilidis, 2011. "Procyclicality in the banking industry: causes, consequences and response," Working Papers 139, Bank of Greece.

  8. D'Avino, Carmela & Lucchetta, Marcella, 2010. "Opacity of Banks and Runs with Solvency," MPRA Paper 24166, University Library of Munich, Germany.

    Cited by:

    1. François Guillemin & Hervé Alexandre & Catherine Refait-Alexandre, 2015. "Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?," Post-Print hal-01622782, HAL.

  9. Gianni De Nicolo & Marcella Lucchetta, 2009. "Financial Intermediation, Competition, and Risk; A General Equilibrium Exposition," IMF Working Papers 09/105, International Monetary Fund.

    Cited by:

    1. Elena Loukoianova & Gianni De Nicolo & John H. Boyd, 2009. "Banking Crises and Crisis Dating; Theory and Evidence," IMF Working Papers 09/141, International Monetary Fund.
    2. Shijaku, Gerti, 2017. "Bank Stability and Competition: Evidence from Albanian Banking Market," MPRA Paper 79891, University Library of Munich, Germany.
    3. Samantas, Ioannis G., 2017. "On the optimality of bank competition policy," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 39-53.
    4. Shijaku, Gerti, 2016. "Does bank competition affect bank stability after the global financial crisis?," MPRA Paper 79084, University Library of Munich, Germany.
    5. Douglas Gale, 2010. "The Effects of Bank Capital on Lending: What Do We Know, and What Does It Mean?," International Journal of Central Banking, International Journal of Central Banking, vol. 6(34), pages 187-204, December.
    6. Douglas Gale, 2015. "Regulation and Sausages," Manchester School, University of Manchester, vol. 83, pages 1-26, December.
    7. Gerti Shijaku, 2017. "How Does Competition Affect Bank Stability After the Global Crises in the Case of the Albanian Banking System?," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 15(2), pages 175-208.
    8. Samantas, Ioannis, 2013. "Bank competition and financial (in)stability in Europe: A sensitivity analysis," MPRA Paper 51621, University Library of Munich, Germany.
    9. Marcella Lucchetta & Gianni De Nicolo, 2011. "Bank Competition and Financial Stability; A General Equilibrium Exposition," IMF Working Papers 11/295, International Monetary Fund.
    10. IJtsma, Pieter & Spierdijk, Laura & Shaffer, Sherrill, 2017. "The concentration–stability controversy in banking: New evidence from the EU-25," Journal of Financial Stability, Elsevier, vol. 33(C), pages 273-284.
    11. Rodolphe Dos Santos Ferreira & Teresa Lloyd-Braga & Leonor Modesto, 2016. "Could competition always raise the risk of bank failure?," Working Papers of BETA 2016-27, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    12. Fiordelisi, Franco & Mare, Davide Salvatore, 2014. "Competition and financial stability in European cooperative banks," Journal of International Money and Finance, Elsevier, vol. 45(C), pages 1-16.
    13. ap Gwilym, Rhys & Kanas, Angelos & Molyneux, Philip, 2013. "U.S. prompt corrective action and bank risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 239-257.

Articles

  1. Gianni De Nicolò & Marcella Lucchetta, 2017. "Forecasting Tail Risks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 159-170, January.
    See citations under working paper version above.
  2. Lucchetta, Marcella & Paradiso, Antonio, 2014. "Sluggish US employment recovery after the Great Recession: Cyclical or structural factors?," Economics Letters, Elsevier, vol. 123(2), pages 109-112.

    Cited by:

    1. Pitorac Ruxandra, 2015. "The Specifics Of Okun’S Law In The Romanian Economy Between 2007 And 2013," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 1, pages 50-53, February.
    2. Klinger, Sabine & Weber, Enzo, 2015. "Detecting unemployment hysteresis : a simultaneous unobserved components model with Markov switching," IAB Discussion Paper 201528, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    3. Luz A. Flórez & Karen L. Pulido-Mahecha & Mario A. Ramos-Veloza, 2018. "Okun´s law in Colombia: a non-linear cointegration," Borradores de Economia 1039, Banco de la Republica de Colombia.
    4. Klinger, Sabine & Weber, Enzo, 2015. "GDP-Employment Decoupling and the Productivity Puzzle in Germany," University of Regensburg Working Papers in Business, Economics and Management Information Systems 485, University of Regensburg, Department of Economics.
    5. Michael Donadelli & Vahid Mojtahed & Antonio Paradiso, 2015. "Technological Progress, Investment Frictions and Business Cycle: New Insights from a Neoclassical Growth Model," Working Papers LuissLab 15119, Dipartimento di Economia e Finanza, LUISS Guido Carli.
    6. Klinger, Sabine & Weber, Enzo, 2014. "On GDP-employment decoupling in Germany," IAB Discussion Paper 201421, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].

  3. Paradiso, Antonio & Kumar, Saten & Lucchetta, Marcella, 2014. "Investigating the US consumer credit determinants using linear and non-linear cointegration techniques," Economic Modelling, Elsevier, vol. 42(C), pages 20-28.

    Cited by:

    1. Davis, Andrew & Kim, Jiseob, 2017. "Explaining changes in the US credit card market: Lenders are using more information," Economic Modelling, Elsevier, vol. 61(C), pages 76-92.
    2. Saten Kumar, 2016. "Is the US Consumer Credit Asymmetric?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 63(2), pages 194-215, May.

  4. Gianni De Nicolò & Andrea Gamba & Marcella Lucchetta, 2014. "Microprudential Regulation in a Dynamic Model of Banking," Review of Financial Studies, Society for Financial Studies, vol. 27(7), pages 2097-2138.
    See citations under working paper version above.
  5. Marcella Lucchetta, 2007. "What Do Data Say About Monetary Policy, Bank Liquidity and Bank Risk Taking?," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 36(2), pages 189-203, July.

    Cited by:

    1. Pavla Vodová, 2014. "Determinants Of Commercial Bank Liquidity In Hungary," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 9(3), pages 64-71, January.
    2. Tomáš Havránek & Roman Horváth & Jakub Matějů, 2012. "Monetary transmission and the financial sector in the Czech Republic," Economic Change and Restructuring, Springer, vol. 45(3), pages 135-155, August.
    3. Khan, Muhammad Saifuddin & Scheule, Harald & Wu, Eliza, 2017. "Funding liquidity and bank risk taking," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 203-216.
    4. Muhammad Farhan Malik & Amir Rafique, 2013. "Commercial Banks Liquidity in Pakistan: Firm Specific and Macroeconomic Factors," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 16(48), pages 139-154, June.
    5. Muhammad Omer & Jakob de Haan & Bert Scholtens, 2014. "Impact of Interbank Liquidity on Monetary Transmission Mechanism: A Case Study of Pakistan," SBP Working Paper Series 70, State Bank of Pakistan, Research Department.
    6. FERROUHI, El Mehdi & LEHADIRI, Abderrassoul, 2013. "Liquidity Determinants of Moroccan Banking Industry," MPRA Paper 59888, University Library of Munich, Germany.
    7. Sarkar Sanjukta & Sensarma Rudra, 2017. "Risk Taking Channel of Monetary Policy: A Review of the Evidence and Some Preliminary Results for India," Working papers 250, Indian Institute of Management Kozhikode.
    8. Pavla Klepková Vodová & Daniel Stavárek, 2015. "Factors Affecting Sensitivity of Czech and Slovak Commercial Banks to Bank Run," Working Papers 0020, Silesian University, School of Business Administration.

Chapters

  1. Gianni De Nicolò & Marcella Lucchetta, 2011. "Systemic Risks and the Macroeconomy," NBER Chapters,in: Quantifying Systemic Risk, pages 113-148 National Bureau of Economic Research, Inc.
    See citations under working paper version above.Sorry, no citations of chapters recorded.

More information

Research fields, statistics, top rankings, if available.

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 13 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 (9) 2009-10-10 2010-03-28 2010-08-06 2011-01-23 2011-05-07 2012-01-18 2012-04-23 2012-05-22 2013-12-20. Author is listed
  2. NEP-CBA: Central Banking (6) 2011-05-07 2012-01-18 2012-03-21 2012-04-23 2012-05-22 2013-12-20. Author is listed
  3. NEP-MAC: Macroeconomics (4) 2010-03-28 2011-05-07 2012-01-18 2016-10-23
  4. NEP-FMK: Financial Markets (3) 2011-01-23 2012-03-21 2012-10-13
  5. NEP-FOR: Forecasting (3) 2010-03-28 2011-05-07 2012-03-21
  6. NEP-RMG: Risk Management (3) 2009-10-10 2011-01-23 2012-03-21
  7. NEP-BEC: Business Economics (2) 2010-03-28 2011-01-23
  8. NEP-COM: Industrial Competition (2) 2011-01-23 2012-01-18
  9. NEP-DGE: Dynamic General Equilibrium (1) 2012-05-22
  10. NEP-FDG: Financial Development & Growth (1) 2014-05-09
  11. NEP-GRO: Economic Growth (1) 2014-05-09
  12. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2014-05-09
  13. NEP-REG: Regulation (1) 2012-04-23

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