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Some financial implications of global warming : an empirical assessment
Morana, Claudio; Sbrana, Giacomo - 2018
Concurrent with the rapid development of the market for catastrophe (cat) bonds, a steady decline in their risk premia … has been observed. Whether the latter trend is consistent with the evolution of natural disasters risk is an open question …. Indeed, a large share of outstanding risk capital in the cat bonds market appears to be exposed to some climate change …
Persistent link: https://www.econbiz.de/10011794444
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Insights on the Global Macro-Finance Interface : Structural Sources of Risk Factors Fluctuations and the Cross-Section of Expected Stock Returns
Morana, Claudio - 2014
This study contributes to the investigation of the macro- finance interface by assessing the economic content and risk … based interpretation of widely employed risk factors in the specifi cation of empirical asset pricing models, i.e., Fama …-Etula-Muir leverage factors. Strong support for their risk based interpretation, encompassing evidence on causes, persistence and …
Persistent link: https://www.econbiz.de/10013061549
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Monetary policy and the stock market in the euro area
Cassola, Nuno; Morana, Claudio - 2002
In this paper we study the role of the stock market in the transmission mechanism in the euro area and evaluate whether price stability and financial stability are mutually consistent and complementary objectives. Four major conclusions can be drawn from our work. First, stock prices and more...
Persistent link: https://www.econbiz.de/10011604165
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Volatility of interest rates in the euro area: evidence from high frequency data
Cassola, Nuno; Morana, Claudio - 2003
This paper estimate the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using hourly...
Persistent link: https://www.econbiz.de/10011604281
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Comovements in volatility in the euro money market
Cassola, Nuno; Morana, Claudio - 2006
This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary long memory, of similar degree, in all series....
Persistent link: https://www.econbiz.de/10011604749
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Modelling short-term interest rate spreads in the euro money market
Cassola, Nuno; Morana, Claudio - 2008
, policy interventions, and credit risk) is assessed by jointly modelling their behaviour. We show that, after August 2007 … hand, the broad range of collateral accepted by the ECB. We also show that after August 2007, the ECB steered the “risk …
Persistent link: https://www.econbiz.de/10011605028
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Euro money market spreads during the 2007-? financial crisis
Cassola, Nuno; Morana, Claudio - 2012
In the paper we investigate the empirical features of euro area money market turbulence during the recent financial crisis. By means of a novel Fractionally Integrated Heteroskedastic Factor Vector Autoregressive model, we find evidence of a deterministic level factor in the EURIBOR-OIS (OIS)...
Persistent link: https://www.econbiz.de/10011605482
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Temperature Anomalies, Radiative Forcing and ENSO
Morana, Claudio; Sbrana, Giacomo - 2017
The paper investigates the linkages between temperature anomalies, radiative forcing and ENSO. By means of a new flexible trend modeling approach, we uncover a nonlinear linkage between radiative forcing and global temperature anomalies. The nonlinear trend closely tracks the low frequency...
Persistent link: https://www.econbiz.de/10011662419
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Some Financial Implications of Global Warming: an Empirical Assessment
Morana, Claudio; Sbrana, Giacomo - 2018
Concurrent with the rapid development of the market for catastrophe (cat) bonds, a steady decline in their risk premia … has been observed. Whether the latter trend is consistent with the evolution of natural disasters risk is an open question …. Indeed, a large share of outstanding risk capital in the cat bonds market appears to be exposed to some climate change …
Persistent link: https://www.econbiz.de/10011816762
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Volatility of interest rates in the euro area
Cassola, Nuno; Morana, Claudio - 2003
This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using...
Persistent link: https://www.econbiz.de/10009635972