Gabriele Zinna

Bank of Italy

Economist

Via Nazionale 91

00184 Roma

Italy

http://gabrielezinna.github.io/

SCHOLARLY PAPERS

14

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Top 21,367

in Total Papers Downloads

2,446

SSRN CITATIONS
Rank 1,350

SSRN RANKINGS

Top 1,350

in Total Papers Citations

39

CROSSREF CITATIONS

788

Scholarly Papers (14)

1.

The Market for Lemmings: The Herding Behavior of Pension Funds

Number of pages: 63 Posted: 21 Feb 2015 Last Revised: 06 Dec 2016
David P. Blake, Lucio Sarno and Gabriele Zinna
City, University of London - Cass Business School, University of Cambridge - Judge Business School and Bank of Italy
Downloads 549 (53,765)
Citation 3

Abstract:

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Institutional investors; pension funds; herding; portfolio rebalancing.

2.

The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability

Number of pages: 39 Posted: 05 Jun 2014 Last Revised: 06 Apr 2016
Junye Li and Gabriele Zinna
ESSEC Business School and Bank of Italy
Downloads 421 (74,723)
Citation 1

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Self-Exciting Jumps, Variance Risk Premia, Extreme Downside Events, Investors' Fear, Stock Return Predictability, Particle Filter.

3.
Downloads 264 ( 93,180)
Citation 168

The Scapegoat Theory of Exchange Rates: The First Tests

Number of pages: 59 Posted: 15 Jan 2012 Last Revised: 07 May 2014
DIW Berlin, BI Norwegian Business School, University of Cambridge - Judge Business School and Bank of Italy
Downloads 138 (227,006)
Citation 8

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scapegoat, exchange rates, economic fundamentals, survey data, order flow

The Scapegoat Theory of Exchange Rates: The First Tests

ECB Working Paper No. 1418
Number of pages: 50 Posted: 06 Feb 2012
Marcel Fratzscher, Lucio Sarno and Gabriele Zinna
DIW Berlin, University of Cambridge - Judge Business School and Bank of Italy
Downloads 83 (325,029)

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scapegoat, exchange rates, economic fundamentals, survey data, order flow

The Scapegoat Theory of Exchange Rates: The First Tests

DIW Berlin Discussion Paper No. 1290
Number of pages: 58 Posted: 14 May 2013
Marcel Fratzscher, Lucio Sarno and Gabriele Zinna
DIW Berlin, University of Cambridge - Judge Business School and Bank of Italy
Downloads 40 (467,179)

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scapegoat, exchange rates, economic fundamentals, survey data

The Scapegoat Theory of Exchange Rates: The First Tests

CEPR Discussion Paper No. DP8812
Number of pages: 49 Posted: 01 Mar 2012
Marcel Fratzscher, Lucio Sarno and Gabriele Zinna
DIW Berlin, University of Cambridge - Judge Business School and Bank of Italy
Downloads 3 (709,505)
Citation 6
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economic fundamentals, exchange rates, order flow, scapegoat, survey data

How Much of Bank Credit Risk Is Sovereign Risk? Evidence from Europe

Number of pages: 91 Posted: 16 Feb 2015 Last Revised: 03 Jul 2017
Junye Li and Gabriele Zinna
ESSEC Business School and Bank of Italy
Downloads 176 (184,767)
Citation 1

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Sovereign and bank credit risk; Credit default swaps; Distress risk premia; Bayesian estimation

On Bank Credit Risk: Systemic or Bank-Specific? Evidence from the US and UK

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 69 Posted: 01 Nov 2013 Last Revised: 29 Jul 2014
Junye Li and Gabriele Zinna
ESSEC Business School and Bank of Italy
Downloads 158 (202,933)
Citation 46

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Systemic Bank Credit Risk; Credit default swaps; Sovereign Credit Risk; Distress Risk Premia; Bayesian Estimation

6.

Sovereign Default Risk Premia: Evidence from the Default Swap Market

Number of pages: 57 Posted: 08 Dec 2009
Gabriele Zinna
Bank of Italy
Downloads 188 (174,195)
Citation 4

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Credit Default Swaps, Term Structure of Credit Spreads, Emerging Markets

7.
Downloads 170 (190,457)
Citation 2

Risky Bank Guarantees

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 100 Posted: 02 Mar 2017 Last Revised: 01 May 2019
Taneli Mäkinen, Lucio Sarno and Gabriele Zinna
Bank of Italy, University of Cambridge - Judge Business School and Bank of Italy
Downloads 157 (204,064)

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Banks, sovereign risk, risk premium, government guarantee

Risky Bank Guarantees

Bank of Italy Temi di Discussione (Working Paper) No. 1232, July 2019
Number of pages: 111 Posted: 10 Aug 2019
Taneli Mäkinen, Lucio Sarno and Gabriele Zinna
Bank of Italy, University of Cambridge - Judge Business School and Bank of Italy
Downloads 13 (631,579)
Citation 2

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banks, sovereign risk, risk premium, government guarantee

8.

China's Changing Growth Pattern

Bank of England Quarterly Bulletin No. 2011 Q1
Number of pages: 8 Posted: 24 Mar 2011
Ed Dew, Jeremy HBC Martin, Julia Giese and Gabriele Zinna
Bank of England, Bank of England - International Economic Analysis Division, Bank of England and Bank of Italy
Downloads 153 (208,215)

Abstract:

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9.

Identifying Risks in Emerging Market Sovereign and Corporate Bond Spreads

Bank of England Working Paper No. 430
Number of pages: 59 Posted: 23 Mar 2012
Gabriele Zinna
Bank of Italy
Downloads 151 (210,462)

Abstract:

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Bayesian econometrics, factor models, emerging markets and credit spreads

10.

Preferred - Habitat Investors and the US Term Structure of Real Rates

Bank of England Working Paper No. 435
Number of pages: 65 Posted: 28 Jul 2011
Iryna Kaminska, Dimitri Vayanos and Gabriele Zinna
Bank of England, London School of Economics and Bank of Italy
Downloads 74 (344,564)
Citation 13

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foreign reserves, term structure of interest rates, term premium, MCMC

11.

Official Demand for U.S. Debt: Implications for U.S. Real Rates

Number of pages: 94 Posted: 29 Jul 2014 Last Revised: 21 Dec 2018
Iryna Kaminska and Gabriele Zinna
Bank of England and Bank of Italy
Downloads 71 (352,525)

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term structure of real rates; quantitative easing; global imbalances; Bayesian econometrics

12.

Price Pressures on UK Real Rates: An Empirical Investigation

Number of pages: 95 Posted: 13 May 2015 Last Revised: 30 Jul 2015
Gabriele Zinna
Bank of Italy
Downloads 59 (387,877)

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Institutional investors; term structure of real rates; price pressures; Bayesian estimation

13.

Official Demand for US Debt: Implications for US Real Rates

Bank of England Working Paper No. 796 (2019)
Number of pages: 63 Posted: 06 May 2019
Iryna Kaminska and Gabriele Zinna
Bank of England and Bank of Italy
Downloads 12 (614,617)

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term structure of real rates, quantitative easing, global imbalances, Bayesian econometrics

14.

Risks and Risk Premia in the US Treasury Market

Number of pages: 104
Junye Li, Lucio Sarno and Gabriele Zinna
ESSEC Business School, University of Cambridge - Judge Business School and Bank of Italy
Downloads 0

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Treasury market, risk-return trade-off, term structure models, bond risk premium, macro risk