This paper presents a new assessment of the exposure of European firms to exchange rate fluctuations which takes into account the potential common drivers of exchange rates and equity market conditions. Using monthly data for European firms from 1999 to 2011, we assess the impact of unexpected...

This paper presents a new assessment of the exposure of European firms to exchange rate fluctuations which takes into account the potential common drivers of exchange rates and equity market conditions. Using monthly data for European firms from 1999 to 2011 we assess the impact of unexpected...

Forecasting models based on machine learning (ML) algorithms have been shown to outperform traditional models in several applications. The lack of an easily interpretable functional form, however, is a major challenge for their adoption, especially when a knowledge of the estimated relationships...

This work analyses the main trends in bond financing by Italian non-financial firms and its role in relation to bank credit across different economic phases. The first part of the analysis refers to the 2008-2019 period, characterized by both crisis and recovery episodes, while the second part...

We analyse the influence of carry trades involving the Euro on the Eurozone stock market, modelling returns as dependent on macroeconomic risk factors and speculative positions. The latter are measured by the net open futures positions recorded on the CME. While correlated with the standard...