Michael Donadelli

Leibniz Institute for Financial Research SAFE

(http://www.safe-frankfurt.de)

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

  • Leibniz Institute for Financial Research SAFE

SCHOLARLY PAPERS

23

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Scholarly Papers (23)

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1.

The Equity Risk Premium: Empirical Evidence from Emerging Markets

Number of pages: 43 Posted: 23 Jul 2011 Last Revised: 15 Mar 2015
Michael Donadelli and Lorenzo Prosperi
Leibniz Institute for Financial Research SAFE and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 880 (29,573)
Citation 4

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Stock Market Returns, Equity Premium Puzzle, Equity Risk Premium

2.

Investment-Specific Shocks, Business Cycles, and Asset Prices

Downloads 304 (111,661)

Investment-Specific Shocks, Business Cycles, and Asset Prices

Number of pages: 59 Posted: 11 Jun 2015 Last Revised: 20 Dec 2017
Giuliano Curatola, Michael Donadelli, Patrick Grüning and Christoph Meinerding
University of Siena - Department of Economics and Statistics, Leibniz Institute for Financial Research SAFE, Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER) and Deutsche Bundesbank
Downloads 222 (153,374)

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General Equilibrium Asset Pricing, Production Economy, Long-Run Risk, Investment-Specific Shocks

Investment-Specific Shocks, Business Cycles, and Asset Prices

SAFE Working Paper No. 129
Number of pages: 36 Posted: 14 Mar 2016
Giuliano Curatola, Michael Donadelli, Patrick Grüning and Christoph Meinerding
University of Siena - Department of Economics and Statistics, Leibniz Institute for Financial Research SAFE, Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER) and Deutsche Bundesbank
Downloads 82 (336,809)

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General Equilibrium Asset Pricing, Production Economy, Long-Run Risk, Investment-Specific Shocks, Nominal Rigidities

3.

Austerity, Fiscal Uncertainty, and Economic Growth: Insights from Fiscally Weak EU Countries

SAFE Working Paper No. 56
Number of pages: 42 Posted: 27 Jun 2014 Last Revised: 25 Feb 2015
Giuliano Curatola, Michael Donadelli, Alessandro Gioffré and Patrick Grüning
University of Siena - Department of Economics and Statistics, Leibniz Institute for Financial Research SAFE, University of Florence - Department of Economics and Management and Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER)
Downloads 296 (114,948)
Citation 1

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Austerity Measures, Fiscal Policy, Endogenous Growth, R&D

4.

From COVID-19 Herd Immunity to Investor Herding in International Stock Markets: The Role of Government and Regulatory Restrictions

Number of pages: 28 Posted: 11 May 2020
Renatas Kizys, Panagiotis Tzouvanas and Michael Donadelli
Southampton Business School, University of Sussex and Leibniz Institute for Financial Research SAFE
Downloads 260 (131,711)

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COVID-19, International stock markets, Investor herding, Short selling restrictions, Stringency Index

5.

Measuring Financial Integration: Lessons from the Correlation

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 23/WP/2015
Number of pages: 41 Posted: 13 Jul 2015
Monica Billio, Antonio Paradiso, Michael Donadelli and Max Riedel
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia, Leibniz Institute for Financial Research SAFE and Leibniz Institute for Financial Research SAFE
Downloads 189 (178,585)

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Equity market integration, dynamic correlation, principal components, RER volatility

6.

Understanding Emerging Market Equity Risk Premia: Industries, Governance and Macroeconomic Policy Uncertainty

Number of pages: 46 Posted: 06 Sep 2013
Michael Donadelli and Lauren Persha
Leibniz Institute for Financial Research SAFE and University of North Carolina (UNC) at Chapel Hill
Downloads 180 (186,459)
Citation 1

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Emerging ERP, Industrial Stock Markets, Governance Indicators, Policy Uncertainty

7.

Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare

Downloads 157 (209,715)
Citation 1

Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare

SAFE Working Paper No. 171
Number of pages: 66 Posted: 20 Apr 2017
Michael Donadelli and Patrick Grüning
Leibniz Institute for Financial Research SAFE and Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER)
Downloads 111 (275,627)
Citation 1

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Endogenous growth, Asset pricing, Government, Fiscal policy, Heterogeneous innovation

Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare

Number of pages: 39 Posted: 20 Oct 2016 Last Revised: 02 Feb 2017
Michael Donadelli and Patrick Grüning
Leibniz Institute for Financial Research SAFE and Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER)
Downloads 46 (453,618)

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Endogenous Growth, Asset Pricing, Government, Fiscal Policy, Heterogeneous Innovation

8.

Which Market Integration Measure?

SAFE Working Paper No. 159, Forthcoming, Journal of Banking and Finance
Number of pages: 62 Posted: 13 Dec 2016
Monica Billio, Michael Donadelli, Antonio Paradiso and Max Riedel
Ca Foscari University of Venice - Dipartimento di Economia, Leibniz Institute for Financial Research SAFE, Ca Foscari University of Venice - Dipartimento di Economia and Leibniz Institute for Financial Research SAFE
Downloads 127 (248,452)

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Equity market integration, dynamic correlation, principal components, international diversification benefits

9.

Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street?

SAFE Working Paper No. 158
Number of pages: 41 Posted: 06 Dec 2016
Michael Donadelli, Renatas Kizys and Max Riedel
Leibniz Institute for Financial Research SAFE, Southampton Business School and Leibniz Institute for Financial Research SAFE
Downloads 114 (269,058)
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WHO alerts, investor sentiment, pharmaceutical industry, trading strategies

10.

Global Temperature, R&D Expenditure, and Growth

SAFE Working Paper No. 188
Number of pages: 41 Posted: 25 Nov 2017
Michael Donadelli, Patrick Grüning, Marcus Jüppner and Renatas Kizys
Leibniz Institute for Financial Research SAFE, Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER), Leibniz Institute for Financial Research SAFE and Southampton Business School
Downloads 98 (298,410)
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Global Temperature, R&D, Welfare Costs

11.

A Quasi Real-Time Leading Indicator for the EU Industrial Production

Downloads 83 (331,326)

A Quasi Real-Time Leading Indicator for the EU Industrial Production

SAFE Working Paper No. 118
Number of pages: 26 Posted: 24 Nov 2015 Last Revised: 19 Nov 2016
Michael Donadelli, Antonio Paradiso and Max Riedel
Leibniz Institute for Financial Research SAFE, Ca' Foscari University of Venice and Leibniz Institute for Financial Research SAFE
Downloads 83 (334,333)

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Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule

A Quasi Real‐Time Leading Indicator for the EU Industrial Production

The Manchester School, Vol. 87, Issue 4, pp. 510-542, 2019
Number of pages: 33 Posted: 29 May 2020
Michael Donadelli, Antonio Paradiso and Max Riedel
Leibniz Institute for Financial Research SAFE, Ca' Foscari University of Venice and Leibniz Institute for Financial Research SAFE
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12.

Temperature Shocks and Welfare Costs

SAFE Working Paper No. 177
Number of pages: 49 Posted: 07 Aug 2017
Michael Donadelli, Marcus Jüppner, Max Riedel and Christian Schlag
Leibniz Institute for Financial Research SAFE, Leibniz Institute for Financial Research SAFE, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt
Downloads 80 (338,607)
Citation 4

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Temperature shocks, long-run growth, asset prices, welfare costs, adaptation

13.

Movements and Co-Movements Across European Asset Classes: Portfolio Allocation and Policy Implications

Number of pages: 28 Posted: 18 Jan 2013
Michael Donadelli, Lorenzo Prosperi, Federica Romei and Federico Silvestri
Leibniz Institute for Financial Research SAFE, University of Toulouse 1 - Toulouse School of Economics (TSE), Luiss Guido Carli University and Allianz Investment Management Spa
Downloads 79 (341,166)
Citation 1

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time-varying correlation coefficients, mean-variance optimization, sovereign crisis, stressed assets

14.

Temperature Volatility Risk

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 05/WP/2019
Number of pages: 53 Posted: 14 Feb 2019 Last Revised: 05 Mar 2019
Michael Donadelli, Marcus Jüppner, Antonio Paradiso and Christian Schlag
Leibniz Institute for Financial Research SAFE, Leibniz Institute for Financial Research SAFE, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt
Downloads 78 (343,691)
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temperature volatility, TFP, asset prices, and welfare costs

15.

Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices

SAFE Working Paper No. 163
Number of pages: 36 Posted: 18 Jan 2017 Last Revised: 18 Oct 2017
Giuliano Curatola, Michael Donadelli and Patrick Grüning
University of Siena - Department of Economics and Statistics, Leibniz Institute for Financial Research SAFE and Bank of Lithuania - Center of Excellence for Finance and Economic Research (CEFER)
Downloads 77 (348,889)

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Technology Adoption, R&D Investment, Asymmetric Tax Regimes, Asset Prices

16.

International Capital Markets Structure, Preferences and Puzzles: The US-China Case

Downloads 71 (362,347)
Citation 6

International Capital Markets Structure, Preferences and Puzzles: The US-China Case

DIW Berlin Discussion Paper No. 1362
Number of pages: 32 Posted: 13 Feb 2014
Guglielmo Maria Caporale, Michael Donadelli and Alessia Varani
Brunel University London - Department of Economics and Finance, Leibniz Institute for Financial Research SAFE and HEC Montreal
Downloads 42 (470,958)
Citation 5

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Financial autarky, complete markets, long-run risk, anomalies

International Capital Markets Structure, Preferences and Puzzles: The US-China Case

CESifo Working Paper Series No. 4669
Number of pages: 31 Posted: 20 Mar 2014
Guglielmo Maria Caporale, Michael Donadelli and Alessia Varani
Brunel University London - Department of Economics and Finance, Leibniz Institute for Financial Research SAFE and HEC Montreal
Downloads 29 (537,100)
Citation 2

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financial autarky, complete markets, long-run risk, anomalies

17.

Uncertainty Shocks and Policymakers’ Behavior: Evidence from the Subprime Crisis Era

Number of pages: 25 Posted: 23 Jul 2011 Last Revised: 17 Apr 2015
Michael Donadelli
Leibniz Institute for Financial Research SAFE
Downloads 52 (422,756)

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Economic and Financial Crisis, Credit Crunch, Optimal Monetary Policy

18.

Financial Cyclical Factors and Growth: Insights from an Augmented Stochastic Solow Growth Model

Number of pages: 33 Posted: 19 Jul 2016
Michael Donadelli, Giulia Livieri and Antonio Paradiso
Leibniz Institute for Financial Research SAFE, Scuola Normale Superiore and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 47 (441,452)

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Stochastic Growth Model, Cyclical Fluctuations, Financial Factors, State Space Model

19.

Emerging Stock Premia: Do Industries Matter?

Ca’ Foscari University of Venice Department of Economics Working Paper No. 22/WP/2012
Number of pages: 18 Posted: 03 Oct 2012
Michael Donadelli and Marcella Lucchetta
Leibniz Institute for Financial Research SAFE and Ca Foscari University of Venice
Downloads 32 (507,349)
Citation 1

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industry excess returns, emerging stock premia, time-varying performances

20.

Education vs TFP: Empirical Evidence from The Sub-Saharan Countries

Ca' Foscari University of Venice Department of Economics Working Paper No. 27
Number of pages: 25 Posted: 05 Dec 2012
Guido Cazzavillan and Michael Donadelli
Ca Foscari University of Venice - Dipartimento di Economia and Leibniz Institute for Financial Research SAFE
Downloads 27 (534,274)

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Education, Average Years of Schooling, TFP Shocks, Poverty Trap

21.

Risk Weighting, Private Lending and Macroeconomic Dynamics

Deutsche Bundesbank Discussion Paper No. 30/2019
Number of pages: 34 Posted: 11 Nov 2019
Michael Donadelli, Marcus Jüppner and Lorenzo Prosperi
Leibniz Institute for Financial Research SAFE, Deutsche Bundesbank and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 11 (646,251)

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sovereign bonds, risk weighting, RBC, lending

22.

The Agency Problem, Financial Performance and Corruption: Country, Industry and Firm Level Perspectives

European Management Review, Vol. 11, Issue 3-4, pp. 259-272, 2014
Number of pages: 14 Posted: 24 Dec 2014
Michael Donadelli, Marco Fasan and Barbara Sveva Magnanelli
Leibniz Institute for Financial Research SAFE, Ca Foscari University of Venice - Department of Management and Luiss Guido Carli University
Downloads 1 (720,919)
Citation 2
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corruption, financial performance, agency problem, industry

23.

Immigration, Uncertainty and Macroeconomic Dynamics

The World Economy, Vol. 43, Issue 2, pp. 326-354, 2020
Number of pages: 29 Posted: 07 Jun 2020
Michael Donadelli, Luca Gerotto, Marcella Lucchetta and Daniela Arzu
Leibniz Institute for Financial Research SAFE, Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice and Ca Foscari University of Venice - Department of Management
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business cycle, fear, Google trends, immigration, life satisfaction, uncertainty