Roberto A. De Santis

European Central Bank (ECB) - Directorate General Economics

Kaiserstrasse 29

D-60311 Frankfurt am Main

Germany

  • European Central Bank (ECB) - Directorate General Economics

SCHOLARLY PAPERS

41

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Top 5,255

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282

Scholarly Papers (41)

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1.

The Euro Area Sovereign Debt Crisis: Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal

ECB Working Paper No. 1419
Number of pages: 61 Posted: 06 Feb 2012
Roberto A. De Santis
European Central Bank (ECB) - Directorate General Economics
Downloads 5,939 (2,798)
Citation 2

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sovereign spreads, credit ratings, spillovers

2.

Study on the Impact of the Euro on Trade and Foreign Direct Investment

European Economic and Monetary Union Working Paper No. 321
Number of pages: 141 Posted: 03 Aug 2008
Richard E. Baldwin, Virginia Di Nino, Lionel Gérard Fontagné, Roberto A. De Santis and Daria Taglioni
University of Geneva - Graduate Institute of International Studies (HEI), Bank of Italy, Banque de France, European Central Bank (ECB) - Directorate General Economics and World Bank, Development Economics
Downloads 1,567 (24,436)
Citation 46

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euro, trade, FDI

3.

Cross-Border Mergers and Acquisitions: Financial and Institutional Forces

ECB Working Paper No. 1018
Number of pages: 54 Posted: 04 Mar 2009
Nicolas Coeurdacier, Roberto A. De Santis and Antonin Aviat
London Business School, European Central Bank (ECB) - Directorate General Economics and Paris School of Economics (PSE)
Downloads 872 (56,890)

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Cross Mergers and Acquisitions, Gravity Equation, Euro

4.

Risk and Return in International Corporate Bond Markets

Downloads 621 (88,475)
Citation 9

Risk and Return in International Corporate Bond Markets

Columbia Business School Research Paper Forthcoming
Number of pages: 60 Posted: 16 May 2019 Last Revised: 18 Nov 2020
Geert Bekaert and Roberto A. De Santis
Columbia University - Columbia Business School, Finance and European Central Bank (ECB) - Directorate General Economics
Downloads 439 (134,095)
Citation 1

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Corporate bond markets; CAPM; international market integration; asset class integration; bond ratings; risk; return; market efficiency tests; comovement.

Risk and Return in International Corporate Bond Markets

ECB Working Paper No. 20202452
Number of pages: 173 Posted: 11 Aug 2020
Roberto A. De Santis and Geert Bekaert
European Central Bank (ECB) - Directorate General Economics and Columbia University - Columbia Business School, Finance
Downloads 182 (334,865)
Citation 8

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asset class integration, bond ratings, CAPM, corporate bond markets, international market integration, return, risk

5.

Assessing the Benefits of International Portfolio Diversification in Bonds and Stocks

ECB Working Paper No. 883
Number of pages: 45 Posted: 01 Apr 2008
Roberto A. De Santis and Lucio Sarno
European Central Bank (ECB) - Directorate General Economics and University of Cambridge - Judge Business School
Downloads 555 (102,067)
Citation 5

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Asset pricing, exchange rates, international parity conditions, market integration, stochastic discount factor

6.

Financial Integration, International Portfolio Choice and the European Monetary Union

ECB Working Paper No. 626, EFA 2006 Zurich Meetings
Number of pages: 52 Posted: 16 Mar 2006
Roberto A. De Santis and Bruno Gerard
European Central Bank (ECB) - Directorate General Economics and BI Norwegian Business School - Department of Finance
Downloads 553 (102,548)

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Home bias, risk diversification, international portfolio weights, EMU

7.

Explaining Exchange Rate Dynamics: The Uncovered Equity Return Parity Condition

ECB Working Paper No. 529
Number of pages: 46 Posted: 19 Oct 2005
Lorenzo Cappiello and Roberto A. De Santis
European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Economics
Downloads 498 (116,560)

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foreign exchange markets, asset pricing, random walk, UIP, GMM

8.

Measuring Financial Integration in New EU Member States

ECB Occasional Paper No. 81
Number of pages: 38 Posted: 15 Mar 2008
Markus Baltzer, Lorenzo Cappiello, Roberto A. De Santis and Simone Manganelli
Deutsche Bundesbank, European Central Bank (ECB), European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB)
Downloads 486 (120,283)
Citation 23

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9.

Macroeconomic Risks Across the Globe due to the Spanish Flu

Downloads 366 (166,687)
Citation 7

Macroeconomic Risks Across the Globe due to the Spanish Flu

ECB Working Paper No. 2466 (2020)
Number of pages: 39 Posted: 04 Nov 2020 Last Revised: 06 Jan 2021
Roberto A. De Santis and Wouter Van der Veken
European Central Bank (ECB) - Directorate General Economics and Ghent University - Department of Economics
Downloads 258 (239,508)
Citation 6

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Spanish flu, Pandemic disease, Macroeconomic risks, Non-linear models

Macroeconomic Risks Across the Globe Due to the Spanish Flu

ECB Working Paper No. 20202466
Number of pages: 31 Posted: 11 Sep 2020
Roberto A. De Santis and Wouter Van der Veken
European Central Bank (ECB) - Directorate General Economics and Ghent University - Department of Economics
Downloads 108 (514,309)
Citation 1

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macroeconomic risks, non-linear models, pandemic disease, Spanish Flu

10.

Intra-Industry Trade, Endogenous Technological Change, Wage Inequality and Welfare

Downloads 356 (171,816)

Intra-Industry Trade, Endogenous Technological Change, Wage Inequality and Welfare

Kiel Working Paper No. 921
Number of pages: 36 Posted: 29 Nov 1999
Roberto A. De Santis
European Central Bank (ECB) - Directorate General Economics
Downloads 214 (287,777)

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Intra-Industry Trade, Endogenous Technological Change, Wage Inequality and Welfare

Kiel Working Paper No. 921
Number of pages: 35 Posted: 08 Oct 1999
Roberto A. De Santis
European Central Bank (ECB) - Directorate General Economics
Downloads 142 (414,731)

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11.

A Measure of Redenomination Risk

ECB Working Paper No. 1785
Number of pages: 48 Posted: 20 Jun 2015
Roberto A. De Santis
European Central Bank (ECB) - Directorate General Economics
Downloads 338 (181,844)
Citation 10

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euro; redenomination risk; sovereign credit spreads; systemic risk

12.

Impact of the Asset Purchase Programme on Euro Area Government Bond Yields Using Market News

ECB Working Paper No. 1939
Number of pages: 24 Posted: 24 Aug 2016
Roberto A. De Santis
European Central Bank (ECB) - Directorate General Economics
Downloads 324 (190,160)
Citation 35

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Quantitative easing, APP, Sovereign yields

13.

On the Determinants of Euro Area FDI to the United States: The Knowledge-Capital-Tobin's Q Framework

Number of pages: 55 Posted: 23 Jun 2004
Roberto A. De Santis, Robert Anderton and Alexander Hijzen
European Central Bank (ECB) - Directorate General Economics, European Central Bank (ECB) and Organization for Economic Co-Operation and Development (OECD)
Downloads 305 (202,930)

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Euro area, Foreign Direct Investment, Multinational firms, Tobin's Q

14.

Unconventional Monetary Policy and Corporate Bond Issuance

Downloads 302 (205,070)
Citation 8

Unconventional Monetary Policy and Corporate Bond Issuance

Number of pages: 34 Posted: 14 Nov 2019
Roberto A. De Santis and Andrea Zaghini
European Central Bank (ECB) - Directorate General Economics and Bank of Italy
Downloads 172 (352,296)
Citation 6

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corporate bond market, CSPP, quantitative easing

Unconventional Monetary Policy and Corporate Bond Issuance

CFS Working Paper, No. 654, 2021
Number of pages: 60 Posted: 28 Feb 2021
Roberto A. De Santis and Andrea Zaghini
European Central Bank (ECB) - Directorate General Economics and Bank of Italy
Downloads 130 (445,272)
Citation 2

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Quantitative easing, CSPP, corporate bond market

15.

Competitiveness and the Export Performance of the Euro Area

ECB Occasional Paper No. 30
Number of pages: 100 Posted: 23 Jul 2007
Filippo di Mauro, Robert Anderton, Ekkehard Ernst, javier Torres, Remy Lecat, Mark Cassidy, Roberto Tedeschi, Erik Walch, Jurriaan Eggelte, Karin Wagner, Tobias Sebastian Blattner, Roberto A. De Santis, Rodrigo Oliveira-Soires, Jian-Guang Shen, Matthias Sydow, Thomas Warmedinger, Tina Zumer and Emanuele Breda
European Central Bank (ECB), European Central Bank (ECB), International Labour Organization (ILO), Banco de España, Banque de France, Central Bank of Ireland, Bank of Italy, Banque Centrale du Luxembourg, Bank of the Netherlands, Oesterreichische Nationalbank, European Central Bank (ECB) - Directorate General Economics, European Central Bank (ECB) - Directorate General Economics, European Central Bank (ECB), International Monetary Fund (IMF), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and Bank of Italy
Downloads 291 (213,169)
Citation 3

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16.

The Geography of International Portfolio Flows, International CAPM and the Role of Monetary Policy Frameworks

ECB Working Paper No. 678
Number of pages: 49 Posted: 10 Oct 2006
Roberto A. De Santis
European Central Bank (ECB) - Directorate General Economics
Downloads 291 (213,169)

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Capital flows, Home bias, Risk diversification, EMU, Monetary policy

17.

Forecasting Macroeconomic Risk in Real Time: Great and Covid-19 Recessions

ECB Working Paper No. 20202436
Number of pages: 53 Posted: 02 Jul 2020
Roberto A. De Santis and Wouter Van der Veken
European Central Bank (ECB) - Directorate General Economics and Ghent University - Department of Economics
Downloads 280 (221,882)
Citation 6

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18.

Supply Chain Disruption and Energy Supply Shocks: Impact on Euro Area Output and Prices

ECB Working Paper No. 2024/2884
Number of pages: 46 Posted: 10 Jan 2024
Roberto A. De Santis
European Central Bank (ECB) - Directorate General Economics
Downloads 240 (258,990)
Citation 3

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energy supply shocks, inflation expectations, narrative identification, supply chain disruption shocks, SVAR

19.

Do International Portfolio Investors Follow Firms' Foreign Investment Decisions?

ECB Working Paper No. 815
Number of pages: 47 Posted: 02 Oct 2007
Roberto A. De Santis and Paul Ehling
European Central Bank (ECB) - Directorate General Economics and BI - Norwegian Business School
Downloads 236 (263,205)
Citation 3

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Foreign Direct Investment, Foreign Portfolio Investment, Tobin's q, Investor Heterogeneity, and Information Spillovers

20.

ECB Corporate QE and the Loan Supply to Bank-Dependent Firms

Number of pages: 50 Posted: 13 Sep 2019
Frank Betz and Roberto A. De Santis
European Union - European Investment Bank and European Central Bank (ECB) - Directorate General Economics
Downloads 234 (265,390)
Citation 16

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corporate sector purchase programme, ECB, loan supply, Unconventional monetary policy

21.

The Uncovered Return Parity Condition

ECB Working Paper No. 812
Number of pages: 52 Posted: 27 Sep 2007
Lorenzo Cappiello and Roberto A. De Santis
European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Economics
Downloads 233 (267,635)
Citation 1

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Uncovered Interest Parity, Uncovered Return Parity, stochastic discount factor, GMM

22.

Flow Effects of Central Bank Asset Purchases on Euro Area Sovereign Bond Yields: Evidence from a Natural Experiment

ECB Working Paper No. 2052
Number of pages: 31 Posted: 16 May 2017
Roberto A. De Santis and Federic Holm-Hadulla
European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB)
Downloads 210 (294,142)
Citation 31

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quantitative easing; monetary policy; sovereign yields; natural experiment

23.

A Non-Standard Monetary Policy Shock: The ECB’s 3-year LTROs and the Shift in Credit Supply

ECB Working Paper No. 1508
Number of pages: 42 Posted: 12 Feb 2013
Matthieu Darracq Paries and Roberto A. De Santis
European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Economics
Downloads 197 (312,190)
Citation 24

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non-standard monetary policy measures, panel VAR

24.

Credit Spreads, Economic Activity and Fragmentation

ECB Working Paper No. 1930
Number of pages: 76 Posted: 07 Jul 2016
Roberto A. De Santis
European Central Bank (ECB) - Directorate General Economics
Downloads 163 (369,450)
Citation 5

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corporate credit spreads, excess bond premium, forecasts, fragmentation

25.

Deflationary Financial Shocks and Inflationary Uncertainty Shocks: An SVAR Investigation

Downloads 157 (383,379)

Deflationary Financial Shocks and Inflationary Uncertainty Shocks: An SVAR Investigation

ECB Working Paper No. 2022/2727
Number of pages: 83 Posted: 23 Sep 2022
Roberto A. De Santis and Wouter Van der Veken
European Central Bank (ECB) - Directorate General Economics and Ghent University - Department of Economics
Downloads 124 (465,188)

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Business cycles, narrative identification, SVAR, uncertainty shocks, financial shocks

Deflationary Financial Shocks and Inflationary Uncertainty Shocks: An SVAR Investigation

Number of pages: 56 Posted: 01 Jun 2023
Roberto A. De Santis and Wouter Van der Veken
European Central Bank (ECB) - Directorate General Economics and National Bank of Belgium
Downloads 33 (938,614)

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Business cycles, financial shocks, uncertainty shocks, SVAR, narrative identification

26.

Bank Lending and Monetary Transmission in the Euro Area

ECB Working Paper No. 1568
Number of pages: 32 Posted: 12 Aug 2013
Roberto A. De Santis and Paolo Surico
European Central Bank (ECB) - Directorate General Economics and London Business School - Department of Economics
Downloads 153 (389,771)
Citation 2

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credit availability, monetary policy, heterogeneous effects, commercial, cooperative and savings banks

27.

Does Business Cycle Risk Account for Systematic Returns from Currency Positioning? The International Perspective

Number of pages: 39 Posted: 05 Jun 2008
Roberto A. De Santis and Fabio Fornari
European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB)
Downloads 153 (389,771)
Citation 9

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Asset Pricing, Consumption Risk, UIP

28.

On the Determinants of External Imbalances and Net International Portfolio Flows: A Global Perspective

ECB Working Paper No. 651
Number of pages: 57 Posted: 19 Jul 2006
Roberto A. De Santis and Melanie Lührmann
European Central Bank (ECB) - Directorate General Economics and University of Mannheim - Mannheim Research Institute for the Economics of Aging (MEA)
Downloads 150 (396,190)
Citation 8

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Current accounts, net portfolio flows, panel regressions

29.

Correlation Changes between the Risk-Free Rate and Sovereign Yields of Euro Area Countries

ECB Working Paper No. 1979
Number of pages: 45 Posted: 03 Feb 2017
Roberto A. De Santis and Michael Stein
European Central Bank (ECB) - Directorate General Economics and University of Duisburg-Essen
Downloads 136 (428,279)
Citation 1

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monetary policy, government bonds, smooth transition models, euro area

30.

The Admission of Accession Countries to an Enlarged Monetary Union: A Tentative Assessment

Number of pages: 49 Posted: 31 May 2003
Michele Ca’ Zorzi and Roberto A. De Santis
European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Economics
Downloads 130 (443,811)

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Accession Countries, Balassa-Samuelson Effect, European Monetary Union, Exchange Rate Regimes, Monetary Policy

31.

Welfare Implications of Joining a Common Currency

Number of pages: 34 Posted: 05 May 2005
Michele Ca’ Zorzi, Roberto A. De Santis and Fabrizio Zampolli
European Central Bank (ECB), European Central Bank (ECB) - Directorate General Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 125 (457,473)
Citation 2

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Balassa-Samuelson Effect, Currency Union, Monetary Policy, Welfare

32.

Quantity Theory is Alive: The Role of International Portfolio Shifts

ECB Working Paper No. 1435
Number of pages: 38 Posted: 07 Jul 2012
Roberto A. De Santis
European Central Bank (ECB) - Directorate General Economics
Downloads 117 (481,265)

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Money demand, asset prices

33.

Fiscal Policy Adjustments in the Euro Area Stressed Countries: New Evidence from Non-Linear Models with State-Varying Thresholds

ECB Working Paper No. 1858
Number of pages: 33 Posted: 16 Oct 2015
Roberto A. De Santis, Gabriella Deborah Legrenzi and Costas Milas
European Central Bank (ECB) - Directorate General Economics, Keele University - Department of Economics and University of Liverpool
Downloads 112 (497,189)

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fiscal adjustments, budgetary disequilibria, European debt crisis, non-linear models, euro periphery

34.

Foreign Direct Investment and Environmental Taxes

ECB Working Paper No. 921
Number of pages: 43 Posted: 12 Aug 2008
Roberto A. De Santis and Frank Stähler
European Central Bank (ECB) - Directorate General Economics and University of Tübingen - Department of Economics
Downloads 108 (510,542)

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Foreign direct investment, environmental taxes, multinational enterprises, plant location

35.

Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability

Downloads 105 (521,162)
Citation 3

Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability

ECB Working Paper No. 926
Number of pages: 64 Posted: 21 Aug 2008
Roberto A. De Santis, Carlo A. Favero and Barbara Roffia
European Central Bank (ECB) - Directorate General Economics, Bocconi University - Department of Economics and European Central Bank (ECB)
Downloads 102 (536,511)

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Euro area money demand, inflation forecasts, monetary policy, portfolio allocation

Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability

CEPR Discussion Paper No. DP8957
Number of pages: 48 Posted: 25 May 2012
Roberto A. De Santis, Carlo A. Favero and Barbara Roffia
European Central Bank (ECB) - Directorate General Economics, Bocconi University - Department of Economics and European Central Bank (ECB)
Downloads 3 (1,296,775)
Citation 3
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Euro area money demand, inflation forecasts, monetary policy, portfolio allocation

36.

Energy Supply Shocks’ Nonlinearities on Output and Prices

ECB Working Paper No. 2023/2834
Number of pages: 52 Posted: 01 Aug 2023
Roberto A. De Santis and Tommaso Tornese
European Central Bank (ECB) - Directorate General Economics and Baffi Carefin - Università Bocconi
Downloads 102 (531,918)
Citation 6

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Business cycles, energy shocks, narrative identification, non-linearities, TVAR

37.

Financial Indicators Signalling Correlation Changes in Sovereign Bond Markets

ECB Working Paper No. 1746
Number of pages: 39 Posted: 15 Dec 2014
Roberto A. De Santis and Michael Stein
European Central Bank (ECB) - Directorate General Economics and University of Duisburg-Essen
Downloads 80 (618,718)
Citation 2

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correlation breakdowns, monetary policy, regime changes, government bonds, multivariate GARCH

38.

US Monetary Policy is More Powerful in Low Economic Growth Regimes

ECB Working Paper No. 2024/2919
Number of pages: 48 Posted: 22 Mar 2024
Roberto A. De Santis and Tommaso Tornese
European Central Bank (ECB) - Directorate General Economics and Baffi Carefin - Università Bocconi
Downloads 79 (623,182)

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asset prices, business cycles, local projections, monetary policy, non-linearities, STVAR, TVAR

39.

Interest Rates and Foreign Spillovers

ECB Working Paper No. 2221
Number of pages: 51 Posted: 16 Jan 2019
Roberto A. De Santis and Srecko Zimic
European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB) - Directorate General Research
Downloads 69 (669,697)
Citation 3

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money market rates, spillovers, event-study, magnitude restrictions, SVAR

40.

Spillovers Among Sovereign Debt Markets: Identification by Absolute Magnitude Restrictions

ECB Working Paper No. 2055
Number of pages: 57 Posted: 16 May 2017
Roberto A. De Santis and Srecko Zimic
European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB) - Directorate General Research
Downloads 64 (695,569)
Citation 9

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spillovers, contagion, connectedness, fragmentation, sovereign risk, SVAR identification

41.

Optimal Export Taxes, Welfare, Industry Concentration, and Firm Size: A General Equilibrium Analysis

Posted: 28 Jul 2000
Roberto A. De Santis
European Central Bank (ECB) - Directorate General Economics

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