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Nicola Borri

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Nicola Borri & Pietro Reichlin, 2020. "Online Appendix to "Optimal Taxation with Home Ownership and Wealth Inequality"," Online Appendices 19-19, Review of Economic Dynamics.

    Cited by:

    1. Spencer Bastani & Sebastian Koehne, 2022. "How Should Consumption Be Taxed?," CESifo Working Paper Series 10038, CESifo.
    2. Odran Bonnet & Guillaume Chapelle & Alain Trannoy & Etienne Wasmer, 2021. "Land is back, it should be taxed, it can be taxed," Post-Print hal-03238443, HAL.
    3. Moore, Rachel & Pecoraro, Brandon, 2021. "Quantitative Analysis of a Wealth Tax in the United States: Exclusions, Evasion, and Expenditures," MPRA Paper 109120, University Library of Munich, Germany.
    4. Shulu Che & Ronald Ravinesh Kumar & Peter J. Stauvermann, 2021. "Taxation of Land and Economic Growth," Economies, MDPI, vol. 9(2), pages 1-20, April.

  2. Nicola Borri & Giorgio Di Giorgio, 2020. "Systemic Risk and the COVID Challenge in the European Banking Sector," Working Papers CASMEF 2005, Dipartimento di Economia e Finanza, LUISS Guido Carli.

    Cited by:

    1. Simona Andreea Apostu & Mirela Panait & Làszló Vasa & Constanta Mihaescu & Zbyslaw Dobrowolski, 2022. "NFTs and Cryptocurrencies—The Metamorphosis of the Economy under the Sign of Blockchain: A Time Series Approach," Mathematics, MDPI, vol. 10(17), pages 1-13, September.
    2. Sánchez García, Javier & Cruz Rambaud, Salvador, 2023. "Inflation and systemic risk: A network econometric model," Finance Research Letters, Elsevier, vol. 56(C).
    3. Zhou, Dong-hai & Liu, Xiao-xing, 2024. "Does systemic risk in the fund markets predict future economic downturns?," International Review of Financial Analysis, Elsevier, vol. 92(C).
    4. Cristina Jude & Grégory Levieuge, 2024. "Doubling Down: The Synergy of CCyB Release and Monetary Policy Easing," Working papers 961, Banque de France.
    5. Dai, Yun-Shi & Dai, Peng-Fei & Zhou, Wei-Xing, 2023. "Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    6. Das, Sanjiv R. & Kalimipalli, Madhu & Nayak, Subhankar, 2022. "Banking networks, systemic risk, and the credit cycle in emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    7. Vu, Phuong Thi Thu & Huynh, Nhan & Phan, Hoa & Hoang, Hanh, 2023. "Financial earthquakes and aftershocks: From Brexit to Russia-Ukraine conflict and the stability of European banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    8. Usman, Muhammad & Umar, Zaghum & Choi, Sun-Yong & Teplova, Tamara, 2024. "Quantifying endogenous and exogenous shocks to financial sector systemic risk: A comparison of GFC and COVID-19," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 281-293.
    9. Tiago F. A. Matos & João C. A. Teixeira & Tiago M. Dutra, 2023. "The contribution of macroprudential policies to banks' resilience: Lessons from the systemic crises and the COVID‐19 pandemic shock," International Review of Finance, International Review of Finance Ltd., vol. 23(4), pages 794-830, December.
    10. Batten, Jonathan A. & Boubaker, Sabri & Kinateder, Harald & Choudhury, Tonmoy & Wagner, Niklas F., 2023. "Volatility impacts on global banks: Insights from the GFC, COVID-19, and the Russia-Ukraine war," Journal of Economic Behavior & Organization, Elsevier, vol. 215(C), pages 325-350.
    11. Nekhili, Ramzi & Foglia, Matteo & Bouri, Elie, 2023. "European bank credit risk transmission during the credit Suisse collapse," Finance Research Letters, Elsevier, vol. 58(PB).
    12. Bevilacqua, Mattia & Duygun, Meryem & Vioto, Davide, 2023. "The impact of COVID-19 related policy interventions on international systemic risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    13. Addi, Abdelhamid & Bouoiyour, Jamal, 2023. "Interconnectedness and extreme risk: Evidence from dual banking systems," Economic Modelling, Elsevier, vol. 120(C).
    14. Foglia, Matteo & Di Tommaso, Caterina & Wang, Gang-Jin & Pacelli, Vincenzo, 2024. "Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    15. Lyuhong Wang & Jiawei Jiang & Yang Zhao, 2024. "Corporate Fundamentals and Stock Price Co-Movement," Papers 2411.03922, arXiv.org.
    16. Huang, Wenli & Lan, Cheng & Xu, Yueling & Zhang, Zhaonan & Zeng, Haijian, 2022. "Does COVID-19 matter for systemic financial risks? Evidence from China's financial and real estate sectors," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    17. Ling, Aifan & Li, Jinlong & Zhang, Yugui, 2023. "Can firms with higher ESG ratings bear higher bank systemic tail risk spillover?—Evidence from Chinese A-share market," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    18. Neill, Ashleigh, 2024. "Banking on resilience: EU macroprudential policy and systemic risk," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 678-699.

  3. Nicola Borri & Francesco Drago & Chiara Santantonio & Francesco Sobbrio, 2020. "The "Great Lockdown": Inactive Workers and Mortality by Covid-19," CESifo Working Paper Series 8584, CESifo.

    Cited by:

    1. Guccio, Calogero, 2021. "Measuring resilience and fatality rate during the first wave of COVID-19 pandemic in Northern Italy: a note," EconStor Preprints 231374, ZBW - Leibniz Information Centre for Economics.
    2. Bisin, Alberto & Moro, Andrea, 2022. "JUE insight: Learning epidemiology by doing: The empirical implications of a Spatial-SIR model with behavioral responses," Journal of Urban Economics, Elsevier, vol. 127(C).

  4. Reichlin, Pietro & Borri, Nicola, 2019. "Optimal Taxation with Homeownership and Wealth Inequality," CEPR Discussion Papers 14144, C.E.P.R. Discussion Papers.

    Cited by:

    1. Spencer Bastani & Sebastian Koehne, 2022. "How Should Consumption Be Taxed?," CESifo Working Paper Series 10038, CESifo.
    2. Odran Bonnet & Guillaume Chapelle & Alain Trannoy & Etienne Wasmer, 2021. "Land is back, it should be taxed, it can be taxed," Post-Print hal-03238443, HAL.
    3. Moore, Rachel & Pecoraro, Brandon, 2021. "Quantitative Analysis of a Wealth Tax in the United States: Exclusions, Evasion, and Expenditures," MPRA Paper 109120, University Library of Munich, Germany.
    4. Shulu Che & Ronald Ravinesh Kumar & Peter J. Stauvermann, 2021. "Taxation of Land and Economic Growth," Economies, MDPI, vol. 9(2), pages 1-20, April.

  5. Reichlin, Pietro & Borri, Nicola, 2018. "Wealth Taxes and Inequality," CEPR Discussion Papers 13067, C.E.P.R. Discussion Papers.

    Cited by:

    1. Reichlin, Pietro & Borri, Nicola, 2019. "Optimal Taxation with Homeownership and Wealth Inequality," CEPR Discussion Papers 14144, C.E.P.R. Discussion Papers.
    2. Nicola Borri & Pietro Reichlin, 2020. "Online Appendix to "Optimal Taxation with Home Ownership and Wealth Inequality"," Online Appendices 19-19, Review of Economic Dynamics.

  6. Reichlin, Pietro & Borri, Nicola, 2015. "The Housing Cost Disease," CEPR Discussion Papers 10756, C.E.P.R. Discussion Papers.

    Cited by:

    1. Grossmann, Volker & Larin, Benjamin & Löfflad, Hans Torben & Steger, Thomas, 2021. "Distributional consequences of surging housing rents," Journal of Economic Theory, Elsevier, vol. 196(C).
    2. Mérő, Bence & Borsos, András & Hosszú, Zsuzsanna & Oláh, Zsolt & Vágó, Nikolett, 2023. "A high-resolution, data-driven agent-based model of the housing market," Journal of Economic Dynamics and Control, Elsevier, vol. 155(C).
    3. Reichlin, Pietro & Borri, Nicola, 2019. "Optimal Taxation with Homeownership and Wealth Inequality," CEPR Discussion Papers 14144, C.E.P.R. Discussion Papers.
    4. Volker Grossmann & Thomas Steger, 2016. "Das House-Kapital: A Theory of Wealth-to-Income Ratios," CESifo Working Paper Series 5844, CESifo.
    5. Saha, Anuradha, 2023. "Land and housing: The twin forces of non-balanced growth," Journal of Macroeconomics, Elsevier, vol. 76(C).
    6. Volker Grossman & Thomas Steger, 2017. "Das House-Kapital: A Long Term Housing & Macro Model," IMF Working Papers 2017/080, International Monetary Fund.
    7. Gianni La Cava, 2016. "Housing prices, mortgage interest rates and the rising share of capital income in the United States," BIS Working Papers 572, Bank for International Settlements.
    8. Volker Grossmann & Benjamin Larin & Hans Torben Löfflad & Thomas Steger, 2019. "Distributional effects of surging housing costs under Schwabe's Law," CESifo Working Paper Series 7684, CESifo.
    9. Roberto Torrini, 2016. "Labour, profit and housing rent shares in Italian GDP: long-run trends and recent patterns," Questioni di Economia e Finanza (Occasional Papers) 318, Bank of Italy, Economic Research and International Relations Area.
    10. Steger, Thomas & Grossmann, Volker & Larin, Benjamin & Löfflad, Hans Torben, 2019. "Distributional Effects of Surging Housing Costs under Schwabe`s Law of Rent," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203613, Verein für Socialpolitik / German Economic Association.
    11. Reichlin, Pietro & Borri, Nicola, 2018. "Wealth Taxes and Inequality," CEPR Discussion Papers 13067, C.E.P.R. Discussion Papers.
    12. Michele Battisti & Giovanni Bernardo & Andrea Mario Lavezzi & Giuseppe Maggio, 2019. "Shooting down the price: evidence from mafia homicides and housing market volatility," Working Paper series 19-05, Rimini Centre for Economic Analysis.
    13. Nicola Borri & Pietro Reichlin, 2020. "Online Appendix to "Optimal Taxation with Home Ownership and Wealth Inequality"," Online Appendices 19-19, Review of Economic Dynamics.

  7. Nicola Borri & Marianna Caccavaio & Giorgio Di Giorgio & Alberto Maria Sorrentino, 2012. "Systemic Risk and the European Banking Sector," Working Papers CASMEF 1211, Dipartimento di Economia e Finanza, LUISS Guido Carli.

    Cited by:

    1. Kleinow, Jacob & Moreira, Fernando, 2016. "Systemic risk among European banks: A copula approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 27-42.
    2. Saghi, Nadia & Srour, Zainab & Viviani, Jean-Laurent & Jezzini, Mohamad, 2023. "Systemic risk in European banks: Does ownership structure matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 88-111.
    3. Gabriela-Victoria Anghelache & Dumitru-Cristian Oanea, 2016. "Romanian Commercial Banks’ Systemic Risk and Its Determinants: A CoVAR Approach," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(3), pages 96-109, July.
    4. Jacob Kleinow & Tobias Nell, 2015. "Determinants of systemically important banks: the case of Europe," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 7(4), pages 446-476, November.
    5. Gabriela Anghelache & Dumitru-Cristian Oanea, 2014. "Main Romanian Commercial Banks’ Systemic Risk during Financial Crisis: a CoVar Approach," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(2), pages 069-080, December.

  8. Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers 1122, Society for Economic Dynamics.

    Cited by:

    1. Demian Pouzo & Ignacio Presno, 2015. "Sovereign Default Risk and Uncertainty Premia," Papers 1512.06960, arXiv.org.
    2. Juan Carlos Hatchondo & Mr. Francisco Roch & Mr. Leonardo Martinez, 2012. "Fiscal Rules and the Sovereign Default Premium," IMF Working Papers 2012/030, International Monetary Fund.
    3. Borri, Nicola, 2018. "Local currency systemic risk," Emerging Markets Review, Elsevier, vol. 34(C), pages 111-123.
    4. Javier Bianchi & Juan Carlos Hatchondo & Leonardo Martinez, 2013. "International reserves and rollover risk," Working Paper 13-01, Federal Reserve Bank of Richmond.
    5. Peter Benczur & Cosmin Ilut, 2011. "Evidence for Dynamic Contracts in Sovereign Bank Lending," Working Papers 11-06, Duke University, Department of Economics.
    6. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
    7. Peter Benczur & Cosmin L. Ilut, 2014. "Evidence for Relational Contracts in Sovereign Bank Lending," NBER Working Papers 20391, National Bureau of Economic Research, Inc.
    8. Michael Kumhof & Romain Rancière & Pablo Winant, 2015. "Inequality, Leverage, and Crises," PSE-Ecole d'économie de Paris (Postprint) halshs-01207208, HAL.
    9. Luigi Bocola & Guido Lorenzoni, 2020. "Financial Crises, Dollarization, and Lending of Last Resort in Open Economies," American Economic Review, American Economic Association, vol. 110(8), pages 2524-2557, August.
    10. Cristina Arellano & Ananth Ramanarayanan, 2012. "Default and the Maturity Structure in Sovereign Bonds," Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 187-232.
    11. Juan Carlos Hatchondo & Cesar Sosa-Padilla & Leonardo Martinez, 2010. "Debt dilution, overborrowing, and sovereign default risk," 2010 Meeting Papers 481, Society for Economic Dynamics.
    12. Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad & Stephan Siegel, 2014. "Political Risk Spreads," NBER Working Papers 19786, National Bureau of Economic Research, Inc.
    13. Dennis Bonam & Jasper Lukkezen, 2019. "Fiscal and Monetary Policy Coordination, Macroeconomic Stability, and Sovereign Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(2-3), pages 581-616, March.
    14. Mr. Luis Catão & Rui Mano, 2015. "Default Premium," IMF Working Papers 2015/167, International Monetary Fund.
    15. Laura Coroneo & Sergio Pastorello, 2017. "European spreads at the interest rate lower bound," Discussion Papers 17/10, Department of Economics, University of York.
    16. Jeanneret, Alexandre & Souissi, Slim, 2016. "Sovereign defaults by currency denomination," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 197-222.
    17. Wenxin Du & Jesse Schreger, 2014. "Local Currency Sovereign Risk," Working Paper 102321, Harvard University OpenScholar.
    18. Filippo Brutti & Philip Sauré, 2012. "Transmission of Sovereign Risk in the Euro Crisis," Working Papers 12.01, Swiss National Bank, Study Center Gerzensee.
    19. Stefan Reitz & Dennis Umlandt, 2019. "Foreign Exchange Dealer Asset Pricing," Working Paper Series 2019-08, University of Trier, Research Group Quantitative Finance and Risk Analysis.
    20. Marina Azzimonti & Vincenzo Quadrini, 2019. "International Spillovers and Bailouts," Department of Economics Working Papers 19-06, Stony Brook University, Department of Economics.
    21. Aguiar, M. & Chatterjee, S. & Cole, H. & Stangebye, Z., 2016. "Quantitative Models of Sovereign Debt Crises," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1697-1755, Elsevier.
    22. Alok Johri & Shahed Khan & César Sosa-Padilla, 2020. "Interest Rate Uncertainty and Sovereign Default Risk," Working Papers 31, Red Nacional de Investigadores en Economía (RedNIE).
    23. Ignacio Presno & Demian Pouzo, 2012. "Sovereign Default Risk and Uncertainty Premia," 2012 Meeting Papers 608, Society for Economic Dynamics.
    24. Juan Carlos Hatchondo & Leonardo Martinez & Cesar Sosa-Padilla, 2015. "Debt Dilution and Sovereign Default Risk," CAEPR Working Papers 2015-012, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    25. Flavia Corneli & Emanuele Tarantino, 2015. "Sovereign debt and reserves with liquidity and productivity crises," Temi di discussione (Economic working papers) 1012, Bank of Italy, Economic Research and International Relations Area.
    26. Alessandro Dovis & Luigi Bocola, 2015. "Indeterminacy in Sovereign Debt Markets: An Empirical Investigation," 2015 Meeting Papers 694, Society for Economic Dynamics.
    27. Josefin Meyer & Carmen M. Reinhart & Christoph Trebesch, 2022. "Sovereign Bonds since Waterloo," Discussion Papers of DIW Berlin 1993, DIW Berlin, German Institute for Economic Research.
    28. Fabrice Tourre, 2017. "A Macro-Finance Approach to Sovereign Debt Spreads and Returns," 2017 Meeting Papers 13, Society for Economic Dynamics.
    29. Kieran Walsh, 2014. "Portfolio Choice and Partial Default in Emerging Markets: a quantitative analysis," 2014 Meeting Papers 789, Society for Economic Dynamics.
    30. Grosse Steffen, Christoph & Podstawski, Maximilian, 2017. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168101, Verein für Socialpolitik / German Economic Association.
    31. Dr. Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.
    32. Cristina Arellano & Yan Bai, 2013. "Linkages across Sovereign Debt Markets," NBER Working Papers 19548, National Bureau of Economic Research, Inc.
    33. Eichler, Stefan & Plaga, Timo, 2020. "The economic record of the government and sovereign bond and stock returns around national elections," Journal of Banking & Finance, Elsevier, vol. 118(C).
    34. Luigi Bocola & Guido Lorenzoni, 2017. "Financial Crises and Lending of Last Resort in Open Economies," Staff Report 557, Federal Reserve Bank of Minneapolis.
    35. Nitschka, Thomas, 2018. "Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 44-54.
    36. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2016. "Political risk and international valuation," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 1-23.
    37. Jeanneret, Alexandre, 2018. "Sovereign credit spreads under good/bad governance," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 230-246.
    38. Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2020. "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," Journal of Finance, American Finance Association, vol. 75(6), pages 3097-3138, December.
    39. Juan Passadore, 2015. "Illiquidity in Sovereign Debt Markets," 2015 Meeting Papers 191, Society for Economic Dynamics.
    40. Cristina Arellano & Yan Bai & Sandra Lizarazo, 2017. "Sovereign Risk Contagion," NBER Working Papers 24031, National Bureau of Economic Research, Inc.
    41. Ina Simonovska & Espen Henriksen & Joel David, 2016. "The Risky Capital of Emerging Markets," 2016 Meeting Papers 125, Society for Economic Dynamics.
    42. Rebelo, Sérgio & Wang, Neng & Yang, Jinqiang, 2018. "Rare Disasters, Financial Development, and Sovereign Debt," CEPR Discussion Papers 13202, C.E.P.R. Discussion Papers.
    43. Yildirim, Zekeriya, 2016. "Global financial conditions and asset markets: Evidence from fragile emerging economies," Economic Modelling, Elsevier, vol. 57(C), pages 208-220.
    44. Yasin Kursat Onder, 2015. "Liquidity Crises, Liquidity Lines and Sovereign Risk," Working Papers 1536, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    45. Ina Simonovska & Espen Henriksen, 2013. "Time-Varying Risk Premia and Capital Flows to Developing Countries," 2013 Meeting Papers 1258, Society for Economic Dynamics.
    46. Zachary Stangebye & Satyajit Chatterjee & Harold Cole & Mark Aguiar, 2016. "Self-Fulfilling Sovereign Debt Crises," 2016 Meeting Papers 360, Society for Economic Dynamics.
    47. Aguiar, Mark & Amador, Manuel, 2014. "Sovereign Debt," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 647-687, Elsevier.
    48. Alessandro Dovis & Luigi Bocola, 2016. "Self_fulfilling Debt Crises: A Quantitative Analysis," 2016 Meeting Papers 1218, Society for Economic Dynamics.
    49. Asonuma, Tamon, 2014. "Sovereign defaults, external debt and real exchange rate dynamics," MPRA Paper 55133, University Library of Munich, Germany.
    50. Jens Hilscher & Yves Nosbusch, 2010. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Review of Finance, European Finance Association, vol. 14(2), pages 235-262.
    51. Li, Yulin & Wald, John K. & Wang, Zijun, 2020. "Sovereign bonds, coskewness, and monetary policy regimes," Journal of Financial Stability, Elsevier, vol. 50(C).
    52. Sandro C. Andrade & Vidhi Chhaochharia, 2018. "The Costs of Sovereign Default: Evidence from the Stock Market," The Review of Financial Studies, Society for Financial Studies, vol. 31(5), pages 1707-1751.
    53. Moretti, Laura, 2011. "Transparency and emerging market bond spreads," CFS Working Paper Series 2011/14, Center for Financial Studies (CFS).
    54. Marina Azzimonti & Vincenzo Quadrini, 2019. "International spillovers and `ex-ante' efficient bailouts," 2019 Meeting Papers 318, Society for Economic Dynamics.
    55. Flavia Corneli & Emanuele Tarantino, 2011. "Reserve management and sovereign debt cost in a world with liquidity crises," Temi di discussione (Economic working papers) 797, Bank of Italy, Economic Research and International Relations Area.
    56. Mark Aguiar & Manuel Amador, 2013. "Sovereign Debt: A Review," NBER Working Papers 19388, National Bureau of Economic Research, Inc.

Articles

  1. Bonaccolto, Giovanni & Borri, Nicola & Consiglio, Andrea, 2023. "Breakup and default risks in the great lockdown," Journal of Banking & Finance, Elsevier, vol. 147(C).

    Cited by:

    1. Kanno, Masayasu, 2024. "Assessing the impact of the COVID-19 crisis on sovereign default risk," Research in International Business and Finance, Elsevier, vol. 68(C).
    2. Bax, Karoline & Bonaccolto, Giovanni & Paterlini, Sandra, 2024. "Spillovers in Europe: The role of ESG," Journal of Financial Stability, Elsevier, vol. 72(C).

  2. Borri, Nicola & Giorgio, Giorgio di, 2022. "Systemic risk and the COVID challenge in the european banking sector," Journal of Banking & Finance, Elsevier, vol. 140(C).
    See citations under working paper version above.
  3. Nicola Borri & Kirill Shakhnov, 2022. "The Cross-Section of Cryptocurrency Returns [A simple estimation of bid-ask spreads from daily close, high, and low prices]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(3), pages 667-705.

    Cited by:

    1. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
    2. Emanuele Citera & Francesco De Pretis, 2023. "An Information Theory Approach to the Stock and Cryptocurrency Market: A Statistical Equilibrium Perspective," Papers 2310.04907, arXiv.org.
    3. Wang, Yifu & Lu, Wanbo & Lin, Min-Bin & Ren, Rui & Härdle, Wolfgang Karl, 2024. "Cross-exchange crypto risk: A high-frequency dynamic network perspective," International Review of Financial Analysis, Elsevier, vol. 94(C).
    4. Borri, Nicola & Shakhnov, Kirill, 2023. "Cryptomarket discounts," Journal of International Money and Finance, Elsevier, vol. 139(C).
    5. Victoria Dobrynskaya, 2020. "Is Downside Risk Priced In Cryptocurrency Market?," HSE Working papers WP BRP 79/FE/2020, National Research University Higher School of Economics.
    6. Nikolaus Hautsch & Christoph Scheuch & Stefan Voigt, 2018. "Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets," Papers 1812.00595, arXiv.org, revised Oct 2023.
    7. Cynthia Weiyi Cai & Rui Xue & Bi Zhou, 2023. "Cryptocurrency puzzles: a comprehensive review and re-introduction," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 46(1), pages 26-50, June.
    8. Jia, Yuecheng & Wu, Yangru & Yan, Shu & Liu, Yuzheng, 2023. "A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies," Journal of Empirical Finance, Elsevier, vol. 74(C).
    9. Clemens Graf von Luckner & Carmen M. Reinhart & Kenneth S. Rogoff, 2021. "Decrypting New Age International Capital Flows," NBER Working Papers 29337, National Bureau of Economic Research, Inc.
    10. Aysan, Ahmet Faruk & Caporin, Massimiliano & Cepni, Oguzhan, 2024. "Not all words are equal: Sentiment and jumps in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    11. Saggese, Pietro & Belmonte, Alessandro & Dimitri, Nicola & Facchini, Angelo & Böhme, Rainer, 2023. "Arbitrageurs in the Bitcoin ecosystem: Evidence from user-level trading patterns in the Mt. Gox exchange platform," Journal of Economic Behavior & Organization, Elsevier, vol. 213(C), pages 251-270.
    12. Crépellière, Tommy & Pelster, Matthias & Zeisberger, Stefan, 2023. "Arbitrage in the market for cryptocurrencies," Journal of Financial Markets, Elsevier, vol. 64(C).
    13. Zhang, Zehua & Zhao, Ran, 2023. "Good volatility, bad volatility, and the cross section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 89(C).

  4. Nicola Borri & Francesco Drago & Chiara Santantonio & Francesco Sobbrio, 2021. "The “Great Lockdown”: Inactive workers and mortality by Covid‐19," Health Economics, John Wiley & Sons, Ltd., vol. 30(10), pages 2367-2382, September.
    See citations under working paper version above.
  5. Nicola Borri & Kirill Shakhnov, 2021. "Global Risk in Long-Term Sovereign Debt," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 11(3), pages 654-693.

    Cited by:

    1. Maxim Nikitin & Branko Urosevic, 2022. "Globalisation, Exchange Rate Regimes, and Financial Contagion," Russian Journal of Money and Finance, Bank of Russia, vol. 81(4), pages 3-33, December.
    2. Andrade, Sandro C. & Ekponon, Adelphe & Jeanneret, Alexandre, 2023. "Sovereign risk premia and global macroeconomic conditions," Journal of Financial Economics, Elsevier, vol. 147(1), pages 172-197.

  6. Nicola Borri & Pietro Reichlin, 2021. "Optimal Taxation with Home Ownership and Wealth Inequality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 40, pages 64-84, April.
    See citations under working paper version above.
  7. Borri, Nicola & Shakhnov, Kirill, 2020. "Regulation spillovers across cryptocurrency markets," Finance Research Letters, Elsevier, vol. 36(C).

    Cited by:

    1. Copestake, Alexander & Furceri, Davide & Gonzalez-Dominguez, Pablo, 2023. "Crypto market responses to digital asset policies," Economics Letters, Elsevier, vol. 222(C).
    2. Brini, Alessio & Lenz, Jimmie, 2024. "Pricing cryptocurrency options with machine learning regression for handling market volatility," Economic Modelling, Elsevier, vol. 136(C).
    3. Bampinas, Georgios & Panagiotidis, Theodore, 2023. "How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?," MPRA Paper 117094, University Library of Munich, Germany.
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    Cited by:

    1. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
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    3. Tiwari, Aviral Kumar & Trabelsi, Nader & Alqahtani, Faisal & Raheem, Ibrahim D., 2020. "Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value-at-risk and marginal expected shortfall approaches," Energy Economics, Elsevier, vol. 86(C).
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    5. Ali, Fahad & Khurram, Muhammad Usman & Sensoy, Ahmet & Vo, Xuan Vinh, 2024. "Green cryptocurrencies and portfolio diversification in the era of greener paths," Renewable and Sustainable Energy Reviews, Elsevier, vol. 191(C).
    6. Nguyen, Linh Hoang & Chevapatrakul, Thanaset & Yao, Kai, 2020. "Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 333-355.
    7. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
    8. Mercik, Aleksander & Słoński, Tomasz & Karaś, Marta, 2024. "Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies," International Review of Financial Analysis, Elsevier, vol. 92(C).
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    11. Fulvia Pennoni & Francesco Bartolucci & Gianfranco Forte & Ferdinando Ametrano, 2022. "Exploring the dependencies among main cryptocurrency log‐returns: A hidden Markov model," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 51(1), February.
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    111. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Wanas Al-Jarrah, Idries Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Does volatility connectedness across major cryptocurrencies behave the same at different frequencies? A portfolio risk analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 96-113.
    112. Jalal Etesami & Ali Habibnia & Negar Kiyavash, 2023. "Modeling Systemic Risk: A Time-Varying Nonparametric Causal Inference Framework," Papers 2312.16707, arXiv.org.
    113. Sonia Arsi & Soumaya Ben Khelifa & Yosra Ghabri & Hela Mzoughi, 2021. "Cryptocurrencies: Key Risks and Challenges," World Scientific Book Chapters, in: Stéphane Goutte & Khaled Guesmi & Samir Saadi (ed.), Cryptofinance A New Currency for a New Economy, chapter 7, pages 121-145, World Scientific Publishing Co. Pte. Ltd..
    114. Manahov, Viktor & Urquhart, Andrew, 2021. "The efficiency of Bitcoin: A strongly typed genetic programming approach to smart electronic Bitcoin markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    115. Fousekis, Panos & Tzaferi, Dimitra, 2022. "Tail price risk spillovers along the US beef and pork supply chains," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(02), January.
    116. Ko, Hyungjin & Son, Bumho & Lee, Jaewook, 2024. "Portfolio insurance strategy in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 67(PA).
    117. Kyriazis, Nikolaos & Papadamou, Stephanos & Tzeremes, Panayiotis & Corbet, Shaen, 2023. "Can cryptocurrencies provide a viable hedging mechanism for benchmark index investors?," Research in International Business and Finance, Elsevier, vol. 64(C).
    118. Namryoung Lee, 2023. "The Relationship between a Company’s Cryptocurrency Holdings and Its Sustainable Performance—With a Focus on External and Internal Financial Issues and Cash," Sustainability, MDPI, vol. 15(23), pages 1-15, November.
    119. Qiu, Yue & Wang, Yifan & Xie, Tian, 2021. "Forecasting Bitcoin realized volatility by measuring the spillover effect among cryptocurrencies," Economics Letters, Elsevier, vol. 208(C).
    120. Daniele Bianchi & Massimo Guidolin & Manuela Pedio, 2020. "Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets," BAFFI CAREFIN Working Papers 20143, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    121. Ma, Yechi & Ahmad, Ferhana & Liu, Miao & Wang, Zilong, 2020. "Portfolio optimization in the era of digital financialization using cryptocurrencies," Technological Forecasting and Social Change, Elsevier, vol. 161(C).
    122. Grobys, Klaus & Junttila, Juha, 2021. "Speculation and lottery-like demand in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    123. Jimmy E. Hilliard & Julie T. D. Ngo, 2022. "Bitcoin: jumps, convenience yields, and option prices," Quantitative Finance, Taylor & Francis Journals, vol. 22(11), pages 2079-2091, November.
    124. Neto, David, 2022. "Examining interconnectedness between media attention and cryptocurrency markets: A transfer entropy story," Economics Letters, Elsevier, vol. 214(C).
    125. Fieberg, Christian & Liedtke, Gerrit & Zaremba, Adam, 2024. "Cryptocurrency anomalies and economic constraints," International Review of Financial Analysis, Elsevier, vol. 94(C).
    126. López-Martín, Carmen & Arguedas-Sanz, Raquel & Muela, Sonia Benito, 2022. "A cryptocurrency empirical study focused on evaluating their distribution functions," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 387-407.
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  9. Borri, Nicola, 2019. "Redenomination-risk spillovers in the Eurozone," Economics Letters, Elsevier, vol. 174(C), pages 173-178.

    Cited by:

    1. Kiss, Gábor Dávid & Alipanah, Sabri, 2024. "Sovereign spread divergence owing to inflation and redenomination risk countered by unconventional monetary policy in the Eurozone," Economic Modelling, Elsevier, vol. 131(C).
    2. Bondatti, Massimiliano & Rillo, Giovanni, 2022. "Commodity tail-risk and exchange rates," Finance Research Letters, Elsevier, vol. 47(PA).
    3. Alin Marius Andries & Steven Ongena & Nicu Sprincean, 2020. "The COVID-19 Pandemic and Sovereign Bond Risk," Swiss Finance Institute Research Paper Series 20-42, Swiss Finance Institute.
    4. Zhao, Hong & Li, Jiayi & Lei, Yiqing & Zhou, Mingming, 2022. "Risk spillover of banking across regions: Evidence from the belt and road countries," Emerging Markets Review, Elsevier, vol. 52(C).
    5. Bonaccolto, Giovanni & Borri, Nicola & Consiglio, Andrea, 2023. "Breakup and default risks in the great lockdown," Journal of Banking & Finance, Elsevier, vol. 147(C).

  10. Borri, Nicola, 2018. "Local currency systemic risk," Emerging Markets Review, Elsevier, vol. 34(C), pages 111-123.

    Cited by:

    1. Akhtaruzzaman, Md & Boubaker, Sabri & Nguyen, Duc Khuong & Rahman, Molla Ramizur, 2022. "Systemic risk-sharing framework of cryptocurrencies in the COVID–19 crisis," Finance Research Letters, Elsevier, vol. 47(PB).
    2. Yang, Lu & Hamori, Shigeyuki, 2021. "Systemic risk and economic policy uncertainty: International evidence from the crude oil market," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 142-158.
    3. Borri, Nicola, 2019. "Conditional tail-risk in cryptocurrency markets," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 1-19.
    4. Mathias Mandla Manguzvane & John Weirstrass Muteba Mwamba, 2022. "South African Banks’ Cross-Border Systemic Risk Exposure: An Application of the GAS Copula Marginal Expected Shortfall," IJFS, MDPI, vol. 10(1), pages 1-19, March.
    5. Das, Sanjiv R. & Kalimipalli, Madhu & Nayak, Subhankar, 2022. "Banking networks, systemic risk, and the credit cycle in emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    6. Naeem, Muhammad Abubakr & Gul, Raazia & Shafiullah, Muhammad & Karim, Sitara & Lucey, Brian M., 2024. "Tail risk spillovers between Shanghai oil and other markets," Energy Economics, Elsevier, vol. 130(C).
    7. Boubaker, Sabri & Karim, Sitara & Naeem, Muhammad Abubakr & Rahman, Molla Ramizur, 2024. "On the prediction of systemic risk tolerance of cryptocurrencies," Technological Forecasting and Social Change, Elsevier, vol. 198(C).
    8. Borri, Nicola, 2019. "Redenomination-risk spillovers in the Eurozone," Economics Letters, Elsevier, vol. 174(C), pages 173-178.
    9. Yasin Kürsat Önder & Enes Sunel, 2021. "Default of Depreciate," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1023, Ghent University, Faculty of Economics and Business Administration.
    10. Velásquez, Iris María Cantillo & Vargas, Yamile León, 2022. "Tendencias de investigación en los negocios internacionales," Revista Tendencias, Universidad de Narino, vol. 23(2), pages 273-302, July.
    11. Bei, Zeyun & Lin, Juan & Zhou, Yinggang, 2024. "No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic," Journal of International Money and Finance, Elsevier, vol. 143(C).
    12. Liu, De-Chih & Chang, Yu-Chien, 2022. "Systematic variations in exchange rate returns," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 569-583.

  11. Nicola Borri & Alberto Cagnazzo, 2018. "The Performance of Market†Timing Strategies of Italian Mutual Fund Investors," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 47(1), pages 5-20, February.

    Cited by:

    1. Alberto Cagnazzo, 2019. "Market-timing performance of mutual fund investors in Emerging Markets," Working Papers CASMEF 1901, Dipartimento di Economia e Finanza, LUISS Guido Carli.

  12. Borri, Nicola & Reichlin, Pietro, 2018. "The housing cost disease," Journal of Economic Dynamics and Control, Elsevier, vol. 87(C), pages 106-123.
    See citations under working paper version above.
  13. Borri, Nicola & Ragusa, Giuseppe, 2017. "Sensitivity, Moment Conditions, and the Risk-Free Rate in Yogo (2006)," Critical Finance Review, now publishers, vol. 6(2), pages 381-393, September.

    Cited by:

    1. Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2024. "GMM weighting matrices in cross-sectional asset pricing tests," Journal of Banking & Finance, Elsevier, vol. 162(C).
    2. Magomet Yandiev, 2021. "Risk-Free Rate in the Covid-19 Pandemic: Application Mistakes and Conclusions for Traders," Papers 2111.07075, arXiv.org.
    3. Okubo, Masakatsu, 2023. "The moment restrictions for the durable consumption model with recursive utility revisited," Finance Research Letters, Elsevier, vol. 52(C).
    4. Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2020. "GMM weighting matrices incross-sectional asset pricing tests," Discussion Papers 62/2020, Deutsche Bundesbank.

  14. Nicola Borri & Marianna Caccavaio & Giorgio Di Giorgio & Alberto Maria Sorrentino, 2014. "Systemic Risk in the Italian Banking Industry," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 21-38, February.

    Cited by:

    1. Kurter, Zeynep O., 2024. "How macroeconomic conditions affect systemic risk in the short and long-run?," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    2. Matteo Foglia & Eliana Angelini, 2019. "An explorative analysis of Italy banking financial stability," Economics Bulletin, AccessEcon, vol. 39(2), pages 1294-1308.
    3. Efthymios Pavlidis & Ivan Paya & Alex Skouralis, 2019. "House Prices, (Un)Affordability and Systemic Risk," Working Papers 266072868, Lancaster University Management School, Economics Department.
    4. Borri, Nicola & Giorgio, Giorgio di, 2022. "Systemic risk and the COVID challenge in the european banking sector," Journal of Banking & Finance, Elsevier, vol. 140(C).
    5. T.G. Saji, 2018. "Predicting Market Betas," Paradigm, , vol. 22(2), pages 160-174, December.
    6. de Mendonça, Helder Ferreira & Silva, Rafael Bernardo da, 2018. "Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 141-157.
    7. Rahman, Molla Ramizur & Misra, Arun Kumar & Kumar, Satish, 2024. "A financial supply chain on corporate working capital and interbank lines of credit," International Review of Financial Analysis, Elsevier, vol. 91(C).
    8. Mikhail Stolbov, 2017. "Assessing systemic risk and its determinants for advanced and major emerging economies: the case of ΔCoVaR," International Economics and Economic Policy, Springer, vol. 14(1), pages 119-152, January.
    9. Michele Leonardo Bianchi & Alberto Maria Sorrentino, 2020. "Measuring CoVaR: An Empirical Comparison," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 511-528, February.
    10. Marwa Elnahass & Mohamed Marie & Mohammed Elgammal, 2022. "Terrorist attacks and bank financial stability: evidence from MENA economies," Review of Quantitative Finance and Accounting, Springer, vol. 59(1), pages 383-427, July.
    11. Douglas da Rosa München & Herbert Kimura, 2020. "Regulatory Banking Leverage: what do you know?," Working Papers Series 540, Central Bank of Brazil, Research Department.
    12. Wang, Xiaoting & Hou, Siyuan & Shen, Jie, 2021. "Default clustering of the nonfinancial sector and systemic risk: Evidence from China," Economic Modelling, Elsevier, vol. 96(C), pages 196-208.
    13. Kurter, Zeynep O., 2022. "How macroeconomic conditions affect systemic risk in the short and long-run?," The Warwick Economics Research Paper Series (TWERPS) 1407, University of Warwick, Department of Economics.
    14. Daniel Traian PELE & Alexandra Ioana CONDA & Raul Cristian BAG & Miruna MAZURENCU-MARINESCU-PELE & Vasile Alecsandru STRAT, 2023. "Financial Risk Meter for The Romanian Stock Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 5-24, March.
    15. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.

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