Auflistung LIF-SAFE Working Papers nach Autor "Caporin, Massimiliano"

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    • Does Monetary Policy Impact International Market Co-Movements? 

      Caporin, Massimiliano; Pelizzon, Loriana; Plazzi, Alberto (2020-05-11)
      We show that FED policy announcements lead to a significant increase in international comovements in the cross-section of equity and in particular sovereign CDS markets. The relaxation of unconventionary monetary policies ...

    • Estimation and Model-Based Combination of Causality Networks 

      Bonaccolto, Giovanni; Caporin, Massimiliano; Panzica, Roberto Calogero (2017-01-31)
      Causality is a widely-used concept in theoretical and empirical economics. The recent financial economics literature has used Granger causality to detect the presence of contemporaneous links between financial institutions ...

    • Measuring Sovereign Contagion in Europe 

      Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto (2015-04-01)
      This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric ...

    • Networks in Risk Spillovers: A Multivariate GARCH Perspective 

      Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo; Pelizzon, Loriana (2018-08-01)
      We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity ...

    • Systemic Co-Jumps 

      Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto (2016-10-10)
      The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and ...

    • Systemic risk for financial institutions of major petroleum-based economies: The role of oil 

      Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; Hammoudeh, Shawkat (2017-11-05)
      This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ...

    • The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification 

      Billio, Monica; Caporin, Massimiliano; Panzica, Roberto Calogero; Pelizzon, Loriana (2016-10-01)
      We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ...