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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

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

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

Some Financial Implications of Global Warming: an Empirical Assessment

Morana, Claudio; Sbrana, Giacomo - 2018

Persistent link: https://www.econbiz.de/10011816762

Macroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area

Morana, Claudio - 2016

slumps in some cases, likewise for the most recent episode, which is also rising deflation risk and financial distress. In …

Persistent link: https://www.econbiz.de/10011492391

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

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

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

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

Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility

Beltratti, Andrea; Morana, Claudio - Dipartimento di Scienze Economiche e Metodi … - 2004

In the paper we study the relationship between macroeconomic and stock market volatility, using S&P500 data for the period 1970- 2001. We find evidence of both long memory and structural change in volatility and a twofold linkage between stock market and macroeconomic volatility. In terms of the...

Persistent link: https://www.econbiz.de/10005531044