Gabriele Zinna

Bank of Italy

Economist

Via Nazionale 91

00184 Roma

Italy

http://gabrielezinna.github.io/

SCHOLARLY PAPERS

19

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5,422

SSRN CITATIONS
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SSRN RANKINGS

Top 1,053

in Total Papers Citations

401

CROSSREF CITATIONS

1,101

Scholarly Papers (19)

1.

Skewness Risk Premia and the Cross-Section of Currency Returns

Number of pages: 104 Posted: 12 Oct 2023 Last Revised: 22 Dec 2023
Junye Li, Lucio Sarno and Gabriele Zinna
Fudan University - School of Management, University of Cambridge - Judge Business School and Bank of Italy
Downloads 927 (47,873)

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Currency risk premia, asset pricing, skewness risk, crash risk, stochastic discount factor.

2.

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, University of Cambridge - Judge Business School and Bank of Italy
Downloads 654 (76,160)
Citation 14

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Institutional investors; pension funds; herding; portfolio rebalancing.

3.

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
Fudan University - School of Management and Bank of Italy
Downloads 551 (94,421)
Citation 11

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

4.

Currency Risk Premiums Redux

Number of pages: 146 Posted: 12 Mar 2021 Last Revised: 04 May 2023
Federico Nucera, Lucio Sarno and Gabriele Zinna
Bank of Italy, University of Cambridge - Judge Business School and Bank of Italy
Downloads 526 (100,030)
Citation 13

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Currency risk premia, asset pricing, omitted factors, measurement error

5.
Downloads 489 (109,328)
Citation 176

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 186 (299,207)
Citation 6

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

The Scapegoat Theory of Exchange Rates: The First Tests

Bank of Italy Temi di Discussione (Working Paper) No. 991
Number of pages: 68 Posted: 28 Feb 2015
DIW Berlin, BI Norwegian Business School, University of Cambridge - Judge Business School and Bank of Italy
Downloads 117 (439,012)
Citation 20

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scapegoat, exchange rates, economic fundamentals, survey data

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 115 (444,730)

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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 68 (625,629)

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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 (1,159,014)
Citation 15
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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
Fudan University - School of Management and Bank of Italy
Downloads 230 (245,560)
Citation 1

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

How Much of Bank Credit Risk is Sovereign Risk? Evidence from the Eurozone

Bank of Italy Temi di Discussione (Working Paper) No. 990
Number of pages: 78 Posted: 28 Feb 2015
Junye Li and Gabriele Zinna
Fudan University - School of Management and Bank of Italy
Downloads 83 (556,613)
Citation 34

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Sovereign and Bank Credit Risk, Credit Default Swaps, Distress Risk Premia, Bayesian Estimation

7.
Downloads 296 (191,760)
Citation 85

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 247 (229,059)

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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 49 (736,704)
Citation 11

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banks, sovereign risk, risk premium, government guarantee

Risky Bank Guarantees

CEPR Discussion Paper No. DP13709
Number of pages: 103 Posted: 07 May 2019
Taneli Mäkinen, Lucio Sarno and Gabriele Zinna
Bank of Italy, University of Cambridge - Judge Business School and Bank of Italy
Downloads 0
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banks, government guarantee, Risk premium, sovereign risk

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
Fudan University - School of Management and Bank of Italy
Downloads 211 (266,544)
Citation 46

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

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

Bank of Italy Temi di Discussione (Working Paper) No. 951
Number of pages: 79 Posted: 04 Apr 2014
Junye Li and Gabriele Zinna
Fudan University - School of Management and Bank of Italy
Downloads 78 (578,157)
Citation 65

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systemic bank credit Risk, credit default swaps, distress risk premia, Bayesian estimation

9.

Sovereign Default Risk Premia: Evidence from the Default Swap Market

Number of pages: 57 Posted: 08 Dec 2009
Gabriele Zinna
Bank of Italy
Downloads 234 (242,567)
Citation 4

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

10.

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 188 (296,928)
Citation 2

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Bayesian econometrics, factor models, emerging markets and credit spreads

11.

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 180 (308,630)
Citation 1

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12.

Risks and Risk Premia in the US Treasury Market

Number of pages: 110 Posted: 13 Jul 2020 Last Revised: 09 Jan 2023
Junye Li, Lucio Sarno and Gabriele Zinna
Fudan University - School of Management, University of Cambridge - Judge Business School and Bank of Italy
Downloads 179 (310,136)

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

13.

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 126 (413,434)
Citation 13

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

14.

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 123 (420,870)

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

15.

Risks and Risk Premia in the Us Treasury Market 1

Number of pages: 110 Posted: 16 Jan 2023
Lucio Sarno, Junye Li and Gabriele Zinna
University of Cambridge - Judge Business School, Fudan University - School of Management and Bank of Italy
Downloads 94 (509,610)

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Treasury market, risk-return trade-off, term structure models, bond risk premium, macro risk. JEL Classification: C58, E43, G12

16.

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 91 (520,123)

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

17.

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

IMF Working Paper No. 14/66
Number of pages: 47 Posted: 15 May 2014
Iryna Kaminska and Gabriele Zinna
International Monetary Fund (IMF) and Bank of Italy
Downloads 70 (606,578)

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Bonds, United States, Demand, Interest rates, Foreign investment, Bond markets, Economic models, Term structure of interest rates, Large Scale Asset Purchases (LSAP), real yield curve, Bayesian estimation, international reserves, treasury bond, bond yields, bond prices, financial markets, indexed bonds, government bonds, bond returns, term bond, financial systems, domestic financial systems, long-term bond yields, treasury bonds, term bonds, hedging, international capital, bond premium, supply of bonds, bond purchases, financial intermediaries, interest rate policy, long-term bonds, treasury bond yields, interest rate risk, zero-coupon bonds, corporate bond, short-term bonds, bond portfolio,

18.

Price Pressures in the UK Index-Linked Market: An Empirical Investigation

Bank of Italy Temi di Discussione (Working Paper) No. 968
Number of pages: 63 Posted: 18 Nov 2014
Gabriele Zinna
Bank of Italy
Downloads 55 (683,998)
Citation 23

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institutional investors, term structure of real rates, price pressures, Bayesian estimation

19.

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 37 (803,776)
Citation 6

Abstract:

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