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Calibrating the Italian smile with time-varying volatility and heavy-tailed models

Bianchi, Michele Leonardo; Fabozzi, Frank J.; Rachev, … - Banca d'Italia - 2014

In this paper we consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return … time series and to fit the volatility smile for exchange-traded options where the underlying is the main ï¿½Borsa Italianaï … of the implied volatility for numerous strikes and maturities during the highly volatile period from April 1, 2007 (prior …

Persistent link: https://www.econbiz.de/10011099609

The scapegoat theory of exchange rates: the first tests

Fratzscher, Marcel; Rime, Dagfinn; Sarno, Lucio; Zinna, … - Banca d'Italia - 2014

The scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2013) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as scapegoats to rationalize observed currency fluctuations at times when exchange rates are driven by...

Persistent link: https://www.econbiz.de/10011277939

First-time corporate bond issuers in Italy

Accornero, Matteo; Russo, Paolo Finaldi; Guazzarotti, … - Banca d'Italia - 2015

The paper looks at the characteristics of Italian non-financial firms that accessed the bond market for the first time between 2002 and 2013. The results of logit estimations indicate that first-time bond issuers are significantly larger and more frequently listed on the stock exchange than...

Persistent link: https://www.econbiz.de/10011265437

Real term structure and inflation compensation in the euro area

Pericoli, Marcello - Banca d'Italia - 2012

Estimates of the real term structure for the euro area implied by French index-linked bonds are obtained by means of a smoothing spline methodology. The real term structure allows computation of the constant-maturity inflation compensation, which is compared with the surveyed inflation...

Persistent link: https://www.econbiz.de/10009645794

Expected inflation and inflation risk premium in the euro area and in the United States

Pericoli, Marcello - Banca d'Italia - 2012

This paper uses the celebrated no-arbitrage affine Gaussian term structure model applied to index-linked and standard government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood estimates show that the model describes the...

Persistent link: https://www.econbiz.de/10009645795

Stock Prices and Money Velocity: A Multi-Country Analysis.

Caruso, M. - Banca d'Italia - 1996

What kind of information do stock prices offer for predicting velocity? This paper develops previous work by Milton Friedman for the US economy and shows that a wealth effect derived from the stock market has negatively influenced the ratio of nominal income to a broad definition of money in a...

Persistent link: https://www.econbiz.de/10005780692

Share Prices and Trading Volume: Indications of Stock Exchange Efficiency.

Massa, M.; Majnoni, G. - Banca d'Italia - 1996

This paper tests whether the reforms effected by the Italian Stock Exchange at the beginning of the nineties (creation of specialized intermediaries, obligation to trade on the official markets, screen-based trading and cash settlement) have increased market efficiency.

Persistent link: https://www.econbiz.de/10005780697

The recent behaviour of financial market volatility

Panetta, Fabio; Angelini, Paolo; Grande, Giuseppe; … - Banca d'Italia - 2006

A striking feature of financial market behaviour in recent years has been the low level of price volatility over a wide … empirical evidence. The paper consists of seven sections. Section 2 documents the current low level of volatility, putting it … into a historical perspective. Section 3 briefly reviews the theoretical determinants of volatility, with the aim of …

Persistent link: https://www.econbiz.de/10005770790

The riskiness of corporate bonds

Taboga, Marco - Banca d'Italia - 2009

When the riskiness of an asset increases, then, arguably, some risk-averse agents that were previously willing to hold on to the asset are no longer willing to do so. Aumann and Serrano (2008) have recently proposed an index of riskiness that helps to make this intuition rigorous. We use their...

Persistent link: https://www.econbiz.de/10008527060

A Primer on Financial Contagion

Pericoli, Marcello; Sbracia, Massimo - Banca d'Italia - 2001

This paper presents a unified framework to highlight possible channels for the international transmission of financial shocks. We first review the different definitions and measures of contagion used in the literature. We then use a simple multi-country asset pricing model to cast the main...

Persistent link: https://www.econbiz.de/10005609346