Cosimo Pancaro

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

  • European Central Bank (ECB)

SCHOLARLY PAPERS

12

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31

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57

Scholarly Papers (12)

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1.

A Macro Stress Testing Framework for Assessing Systemic Risks in the Banking Sector

ECB Occasional Paper No. 152
Number of pages: 82 Posted: 16 Mar 2014
Jerome Henry, Christoffer Kok, Adrien Amzallag, Patrizia Baudino, Inês Cabral, Maciej Grodzicki, Marco Gross, Grzegorz Halaj, Markus Kolb, Miha Leber, Cosimo Pancaro, Matthias Sydow, Angelos T. Vouldis, Angelos T. Vouldis, Maik Zimmermann and Dawid Żochowski
European Central Bank (ECB), European Central Bank (ECB), European Securities and Markets Authority, European Central Bank (ECB), European Central Bank (ECB) - Directorate Financial Stability and Supervision, European Central Bank (ECB), International Monetary Fund (IMF), National Bank of Poland, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB)Bank of Greece, European Central Bank (ECB) and European Central Bank
Downloads 568 (62,979)
Citation 10

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macro stress test, systemic risk, financial crisis, banking sector, macro-prudential policy, micro-prudential supervision

2.

A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers

Downloads 252 (158,022)
Citation 2

A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers

SAFE Working Paper No. 137
Number of pages: 78 Posted: 22 May 2016 Last Revised: 21 Nov 2016
Elia Berdin, Cosimo Pancaro and Christoffer Kok
Generali & International Center for Insurance Regulation, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 159 (240,350)

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Financial Stability, Insurance, Interest Rate Risk, Stress Test

A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers

ECB Working Paper No. 2028
Number of pages: 78 Posted: 01 Mar 2017
Elia Berdin, Christoffer Kok and Cosimo Pancaro
Generali & International Center for Insurance Regulation, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 71 (420,605)

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financial stability, insurance, interest rate risk, stress test

A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers

Number of pages: 76 Posted: 21 May 2016 Last Revised: 12 Nov 2016
Elia Berdin, Cosimo Pancaro and Christoffer Kok
Generali & International Center for Insurance Regulation, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 22 (664,088)
Citation 4

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Financial Stability, Insurance, Interest Rate Risk, Stress Test

3.

Trade Openness Reduces Growth Volatility When Countries are Well Diversified

Downloads 90 (193,122)
Citation 26

Trade Openness Reduces Growth Volatility when Countries are well Diversified

ECB Working Paper No. 1491
Number of pages: 44 Posted: 22 Nov 2012
Mona Haddad, Jamus Jerome Lim, Cosimo Pancaro and Christian Saborowski
World Bank - EASPR, World Bank, European Central Bank (ECB) and International Monetary Fund (IMF)
Downloads 90 (365,176)
Citation 1

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export diversification, growth volatility, trade openness

Trade Openness Reduces Growth Volatility When Countries are Well Diversified

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 46, Issue 2, pp. 765-790, 2013
Number of pages: 26 Posted: 18 May 2013
Mona Haddad, Jamus Jerome Lim, Cosimo Pancaro and Christian Saborowski
World Bank - EASPR, World Bank, European Central Bank (ECB) and International Monetary Fund (IMF)
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Citation 6
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4.

The Balassa-Samuelson and the Penn Effect: Are They Really the Same?

Number of pages: 29 Posted: 13 Jun 2013
Cosimo Pancaro
European Central Bank (ECB)
Downloads 171 (225,610)
Citation 1

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Balassa-Samuelson effect, Penn effect, real exchange rate

5.

Macroprudential Stress Test of the Euro Area Banking System

ECB Occasional Paper No. 226 (2019); ISBN 978-92-899-3691-0
Number of pages: 62 Posted: 03 Jul 2019
Katarzyna Barbara Budnik, Mirco Balatti, Giovanni Covi, Ivan Dimitrov, Johannes Groß, Ib Hansen, Michael Kleemann, Tomas Reichenbachas, Francesco Sanna, Andrei Sarychev, Nadežda Siņenko, Matjaz Volk, Katharina Cera, Giovanni di Iasio, Margherita Giuzio, Harun Mirza, Diego Moccero, Giulio Nicoletti, Cosimo Pancaro and Spyros Palligkinis
European Central Bank (ECB), Henley Business School - ICMA Centre, Bank of England, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute, Bank of Lithuania, European Central Bank (ECB), European Central Bank (ECB), Bank of Latvia, Bank of Slovenia, Financial Stability, European Central Bank (ECB), Bank of Italy, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 89 (367,160)

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macro stress test, macroprudential policy, banking sector deleveraging, real-financial feedback mechanism

6.

Do Non-Performing Loans Matter for Bank Lending and the Business Cycle in Euro Area Countries?

ECB Working Paper No. 20202411
Number of pages: 38 Posted: 15 May 2020
Ivan Huljak, Reiner Martin, Diego Moccero and Cosimo Pancaro
Croatian National Bank, Joint Vienna Insitute, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 82 (383,154)

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euro area countries, hierarchical priors, non-performing loans, panel Bayesian VAR

7.

Macroeconomic Volatility after Trade and Capital Account Liberalization

World Bank Policy Research Working Paper No. 5441
Number of pages: 32 Posted: 20 Apr 2016
Cosimo Pancaro
European Central Bank (ECB)
Downloads 79 (391,594)

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Emerging Markets, Economic Theory & Research, Free Trade, Debt Markets, Trade Policy

8.

The Disciplining Effect of Supervisory Scrutiny in the EU-wide Stress Test

Downloads 69 (422,126)

The Disciplining Effect of Supervisory Scrutiny in the EU-wide Stress Test

ECB Working Paper No. 2021/2551
Number of pages: 65 Posted: 19 May 2021
Christoffer Kok, Carola Müller, Steven Ongena and Cosimo Pancaro
European Central Bank (ECB), Center for Latin American Monetary Studies – CEMLA, University of Zurich and European Central Bank (ECB)
Downloads 69 (427,430)

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The Disciplining Effect of Supervisory Scrutiny in the Eu-Wide Stress Test

Number of pages: 64 Posted: 14 Jul 2021
Christoffer Kok, Carola Müller, Steven Ongena and Cosimo Pancaro
European Central Bank (ECB), Center for Latin American Monetary Studies – CEMLA, NTNU Business School and European Central Bank (ECB)
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9.

Bank Funding Costs and Solvency

Downloads 69 (422,126)
Citation 1

Bank Funding Costs and Solvency

Number of pages: 39 Posted: 09 Jan 2020
Cosimo Pancaro, Dawid Żochowski, Guillaume Arnould and Guillaume Arnould
European Central Bank (ECB), European Central Bank and Bank of EnglandUniversité Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 40 (549,144)
Citation 1

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banks, funding costs, solvency

Bank Funding Costs and Solvency

Bank of England Working Paper No. 853
Number of pages: 38 Posted: 04 Jan 2021
Guillaume Arnould, Guillaume Arnould, Cosimo Pancaro and Dawid Żochowski
Bank of EnglandUniversité Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), European Central Bank (ECB) and European Central Bank
Downloads 29 (613,278)

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Banks, solvency, funding costs

10.

Macro Stress Testing Euro Area Banks' Fees and Commissions

ECB Working Paper No. 2029
Number of pages: 37 Posted: 02 Mar 2017
Christoffer Kok, Harun Mirza and Cosimo Pancaro
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 57 (464,333)
Citation 2

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fee and commission income, stress testing, scenario analysis

11.

Current Account Reversals in Industrial Countries: Does the Exchange Rate Regime Matter?

ECB Working Paper No. 1547
Number of pages: 36 Posted: 19 Jun 2013
Cosimo Pancaro
European Central Bank (ECB)
Downloads 48 (500,586)

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Current account, reversals, exchange rate regime

12.

Fire Sales by Euro Area Banks and Funds: What is Their Asset Price Impact?

ECB Working Paper No. 20202491
Number of pages: 46 Posted: 23 Nov 2020
Harun Mirza, Diego Moccero, Spyros Palligkinis and Cosimo Pancaro
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 24 (629,758)

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