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The role of financial investments in agricultural commodity derivatives markets

Borin, Alessandro; Nino, Virginia Di - Banca d'Italia - 2012

volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow ï¿½ rather than … associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. …

Persistent link: https://www.econbiz.de/10009645788

Macroeconomic determinants of carry trade activity

Anzuini, Alessio; Fornari, Fabio - Banca d'Italia - 2011

From a financial standpoint, the mechanics of the carry trade has been recently examined in Brunnermeier et al. (2009). They showed that shocks to interest rate differentials lead to carry trade activity and to significant reactions in the bilateral exchange rates vis-a-vis the US dollar that...

Persistent link: https://www.econbiz.de/10009320179

The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates

Fornari, Fabio; Monticelli, Carlo; Pericoli, Marcello; … - Banca d'Italia - 1999

effect on the conditional volatility of these variables. The analysis spans a period of great financial and political …

Persistent link: https://www.econbiz.de/10005770784

Credit ratings in structured finance and the role of systemic risk

Violi, Roberto - Banca d'Italia - 2010

This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues loomed large during the 2007-08 financial crisis, as the massive, unprecedented number of downgrades of AAA senior bond tranches inflicted severe losses on banks, calling into...

Persistent link: https://www.econbiz.de/10008677911

Labor Income and Risky Assets under Market Incompleteness: Evidence from Italian Data

Grande, Giuseppe; Ventura, Luigi - Banca d'Italia - 2001

Theory suggests that uninsurable income risk induces individuals to accumulate assets as a precautionary reserve of value. Most assets, however, bear rate of return risk, that can be diversified only if every asset is traded by a large number of individuals and arbitrage is frictionless. Using...

Persistent link: https://www.econbiz.de/10005113608

Estimating expectations of shocks using option prices

Cesare, Antonio Di - Banca d'Italia - 2004

point in time, the parameters of the model are estimated by minimizing the sum of squared implied volatility errors, and … their informational content is compared with the widely used Black and Scholes implied volatility, calculated on at … periods of high variability of asset prices the jump-diffusion approach may help to disentangle the cases in which volatility …

Persistent link: https://www.econbiz.de/10005609384

The sovereign credit default swap market: price discovery, volumes and links with banks' risk premia

Carboni, Alessandro - Banca d'Italia - 2011

This paper looks into the sovereign credit default swap (CDS) market from two perspectives. First, it analyses the relation between CDS and bond spreads. The results on a single-entity basis suggest that the CDS market leads the bond market in price discovery, especially during 2010, while both...

Persistent link: https://www.econbiz.de/10009320174

An assessment of financial sector rescue programmes

Panetta, Fabio; Faeh, Thomas; Grande, Giuseppe; Ho, Corrinne - Banca d'Italia - 2009

We analyse the wide array of rescue programmes adopted in several countries, following Lehman Brothersï¿½ default in September 2008, in order to support banks and other financial institutions. We first provide an overview of the programmes, comparing their characteristics, magnitudes and...

Persistent link: https://www.econbiz.de/10004964392

Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area

Pericoli, Marcello - Banca d'Italia - 2005

This paper evaluates the use of risk-neutral probability density functions implied in 3-month interest-rate futures options to assess market perceptions regarding future monetary policy moves options allow the information content implied in simpler derivatives to be extended by providing...

Persistent link: https://www.econbiz.de/10005111560

Style, Fees and Performance of Italian Equity Funds

Cesari, Riccardo; Panetta, Fabio - Banca d'Italia - 1998

Using a clustering procedure,we classify Italian funds ex-post on the basis of the composition of their portfolios and find that the optimal number of clusters is equal to 4. The four groups which result from the statistical classification closely match the 4-level aggregation of the 20 ex-ante...

Persistent link: https://www.econbiz.de/10005113570