Gabriele Zinna

Bank of Italy

Economist

Via Nazionale 91

00184 Roma

Italy

http://gabrielezinna.github.io/

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

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 London - Cass Business School, City University London - Sir John Cass Business School and Bank of Italy
Downloads 516 (53,282)
Citation 2

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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 400 (72,827)
Citation 1

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

3.
Downloads 256 ( 88,199)
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, City University London - Sir John Cass Business School and Bank of Italy
Downloads 133 (216,316)
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, City University London - Sir John Cass Business School and Bank of Italy
Downloads 81 (305,964)

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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, City University London - Sir John Cass Business School and Bank of Italy
Downloads 39 (438,135)

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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, City University London - Sir John Cass Business School and Bank of Italy
Downloads 3 (659,929)
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 169 (176,975)

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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 152 (193,896)
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 184 (164,822)
Citation 2

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

7.

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 152 (193,538)

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8.

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 148 (197,750)

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Bayesian econometrics, factor models, emerging markets and credit spreads

9.
Downloads 135 (213,110)

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, City University London - Sir John Cass Business School and Bank of Italy
Downloads 124 (228,487)

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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, City University London - Sir John Cass Business School and Bank of Italy
Downloads 11 (600,749)

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banks, sovereign risk, risk premium, government guarantee

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 70 (329,617)
Citation 12

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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 67 (337,422)

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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 53 (378,785)

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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 8 (595,918)

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