Lorenzo Cappiello

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

  • European Central Bank (ECB)

    • Email
    • Tel: +49 69 1344 8765
SCHOLARLY PAPERS

20

DOWNLOADS
Rank 6,871

SSRN RANKINGS

Top 6,871

in Total Papers Downloads

13,146

TOTAL CITATIONS
Rank 5,109

SSRN RANKINGS

Top 5,109

in Total Papers Citations

134

Scholarly Papers (20)

Actions:
Email selected abstracts
1.

Fair Value Accounting and Financial Stability

ECB Occasional Paper No. 13
Number of pages: 50 Posted: 18 Nov 2005
Andrea Enria, Lorenzo Cappiello, Frank Dierick, Sergio Grittini, Andrew Haralambous, Angela Maddaloni, Philippe A.M. Molitor, Fatima Pires and Paolo Poloni
EBS, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 4,306 (5,041)
Citation 1

Abstract:

Loading...

Accounting, banks, fair value, financial regulation, financial reporting, financial stability, risk management

2.

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Downloads 1,480 (27,416)
Citation 32

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

ECB Working Paper No. 204
Number of pages: 66 Posted: 04 Feb 2003
Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard
European Central Bank (ECB), New York University (NYU) - Department of Finance and University of Oxford - Department of Economics
Downloads 1,480 (26,943)
Citation 32

Abstract:

Loading...

International Finance, Correlation, Variance Targeting, Multivariate GARCH, International Stock and Bond correlation

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

Journal of Financial Econometrics, Vol. 4, Issue 4, pp. 537-572, 2006
Posted: 02 Apr 2008
Lorenzo Cappiello, Robert F. Engle and Kevin Sheppard
European Central Bank (ECB), New York University (NYU) - Department of Finance and University of Oxford - Department of Economics

Abstract:

Loading...

dynamic conditional correlation' international stock and bond correlation' multivariate GARCH' variance targeting

3.

Measuring the Euro Exchange Rate Risk Premium: The Conditional International CAPM Approach

Number of pages: 30 Posted: 02 May 2003
Lorenzo Cappiello, Olli Castren and Jarkko P. Jääskelä
European Central Bank (ECB), European Central Bank (ECB) and Reserve Bank of Australia
Downloads 1,181 (38,116)
Citation 11

Abstract:

Loading...

exchange rate and equity risk premium, international asset pricing, multivariate GARCH

4.

Measuring Comovements by Regression Quantiles

ECB Working Paper No. 501
Number of pages: 50 Posted: 28 Jul 2005
Lorenzo Cappiello, Simone Manganelli and Bruno Gerard
European Central Bank (ECB), European Central Bank (ECB) and BI Norwegian Business School - Department of Finance
Downloads 641 (87,593)
Citation 3

Abstract:

Loading...

codependence, semi-parametric, conditional quantiles

5.

The Sustainability of China's Exchange Rate Policy and Capital Account Liberalisation

ECB Occasional Paper No. 82
Number of pages: 64 Posted: 26 Jun 2008
Lorenzo Cappiello and Gianluigi Ferrucci
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 634 (88,837)
Citation 8

Abstract:

Loading...

China, exchange rate policy, international investment position, capital account liberalisation, institutions

6.

A Conditional Multi-Asset Intertemporal CAPM with Switching Prices of Risk

Number of pages: 72 Posted: 21 Nov 2000
Lorenzo Cappiello
European Central Bank (ECB)
Downloads 581 (99,293)
Citation 1

Abstract:

Loading...

Intertemporal CAPM, GARCH-in-mean, regime shifts

7.

The Impact of the Euro on Financial Markets

ECB Working Paper No. 598
Number of pages: 113 Posted: 25 Apr 2006
Lorenzo Cappiello, Peter Hördahl, Arjan Kadareja and Simone Manganelli
European Central Bank (ECB), Bank for International Settlements (BIS), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 578 (99,903)
Citation 12

Abstract:

Loading...

Financial markets, euro, financial integration, volatility, conditional correlation, term structure, fundamentals, risk premia

8.

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 507 (117,569)

Abstract:

Loading...

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

9.

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 487 (123,407)
Citation 23

Abstract:

Loading...

10.

Do Bank Loans and Credit Standards Have an Effect on Output? A Panel Approach for the Euro Area

ECB Working Paper No. 1150
Number of pages: 31 Posted: 08 Feb 2010
Lorenzo Cappiello, Arjan Kadareja, Christoffer Kok and Marco Protopapa
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 476 (126,820)
Citation 31

Abstract:

Loading...

bank credit, bank lending channel, euro area, panel data

11.

Financial Integration of New EU Member States

ECB Working Paper No. 683
Number of pages: 74 Posted: 09 Nov 2006
Lorenzo Cappiello, Arjan Kadareja, Bruno Gerard and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB), BI Norwegian Business School - Department of Finance and European Central Bank (ECB)
Downloads 419 (147,512)

Abstract:

Loading...

Integration, new EU member states, regression quantile

12.

Non-Bank Financial Intermediation in the Euro Area: Implications for Monetary Policy Transmission and Key Vulnerabilities

ECB Occasional Paper No. 2021/270
Number of pages: 86 Posted: 23 Sep 2021 Last Revised: 19 Jan 2022
Lorenzo Cappiello, Federic Holm-Hadulla, Angela Maddaloni, Laura Arts, Nicolas Meme, Petros Migiakis, Caterina Behrens, Alban Moura, Stefano Corradin, Annalisa Ferrando, Juha Niemelä, Margherita Giuzio, Olivier Pierrard, Lev Ratnovski, Lev Ratnovski, Adam Gulan, Alexandra Schober-Rhomberg, Andreas Hertkorn, Michael Sigmund, Christoph Kaufmann, Lucía Kazarian Avakian, Patricia Stupariu, Kimmo Koskinen, Marco Taboga, Franck Sédillot, Luis Tavares, Jani Matilainen, Emme Van den, Falk Mazelis, Andrea Zaghini and Barra McCarthy
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), De Nederlandsche Bank, Banque de France, Athens University of Economics and Business - Department of Accounting and Finance, European Central Bank (ECB), Banque Centrale du Luxembourg, European Central Bank (ECB), European Central Bank (ECB), Bank of Finland, European Central Bank (ECB), Banque Centrale du Luxembourg, International Monetary FundEuropean Central Bank, Financial Research Division, Bank of Finland - Research, Oesterreichische Nationalbank (OeNB), European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), European Central Bank, European Central Bank (ECB), Banco de España, Bank of Finland, Bank of Italy, Banque de France, Banque de France, European Central Bank (ECB), De Nederlandsche Bank, European Central Bank (ECB), Bank of Italy and Central Bank of Ireland
Downloads 392 (159,091)
Citation 5

Abstract:

Loading...

Asset purchases, Financial markets stress, Low interest rates, Monetary policy transmission, Non-bank intermediation, Risk-taking

13.

Do Fixed Income Securities Also Show Asymmetric Effects in Conditional Second Moments?

Number of pages: 74 Posted: 16 Nov 2000
Lorenzo Cappiello
European Central Bank (ECB)
Downloads 257 (249,460)

Abstract:

Loading...

Intertemporal CAPM, business cycle, assymetric multivariate GARCH-in-Mean, regime shifts

14.

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 244 (262,751)
Citation 1

Abstract:

Loading...

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

15.

Country and Industry Equity Risk Premia in the Euro Area: An Intertemporal Approach

ECB Working Paper No. 913
Number of pages: 45 Posted: 24 Mar 2008 Last Revised: 17 Nov 2021
Lorenzo Cappiello, Marco Lo Duca and Angela Maddaloni
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 231 (277,124)
Citation 2

Abstract:

Loading...

conditional asset pricing, intertemporal risk, financial integration, multivariate GARCH, Kalman filter

16.

Uncovered Interest Parity at Distant Horizons: Evidence on Emerging Economies & Nonlinearities

ECB Working Paper No. 801
Number of pages: 41 Posted: 11 Sep 2007
Arnaud Mehl and Lorenzo Cappiello
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 183 (344,708)

Abstract:

Loading...

Uncovered interest parity, distant horizon, emerging economies, nonlinearities

17.

Measuring Market and Inflation Risk Premia in France and in Germany

Number of pages: 35 Posted: 28 Apr 2005
Lorenzo Cappiello and Stephane Guene
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 175 (358,624)

Abstract:

Loading...

Intertemporal CAPM, business cycles, GARCH-in-Mean

18.

Investment Funds, Risk-Taking, and Monetary Policy in the Euro Area

ECB Working Paper No. 2021/2605
Number of pages: 49 Posted: 13 Oct 2021
Margherita Giuzio, Christoph Kaufmann, Ellen Ryan and Lorenzo Cappiello
European Central Bank (ECB), European Central Bank, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 150 (409,199)
Citation 2

Abstract:

Loading...

liquidity management, monetary policy, non-bank financial intermediation

19.

The Impact of the Euro on Equity Markets: A Country and Sector Decomposition

ECB Working Paper No. 906
Number of pages: 54 Posted: 01 Jul 2008
Lorenzo Cappiello, Arjan Kadareja and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 132 (453,046)
Citation 2

Abstract:

Loading...

National and industry equity returns, euro, conditional comovements, regression quantiles

20.

The Impact of Credit Supply Shocks in the Euro Area: Market-Based Financing Versus Loans

ECB Working Paper No. 2022/2673
Number of pages: 76 Posted: 01 Jul 2022
Kristina Barauskaitė, Anh D. M. Nguyen, Linda Fache Rousová and Lorenzo Cappiello
European Central Bank (ECB), International Monetary Fund (IMF), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 92 (588,868)

Abstract:

Loading...

business cycles, credit supply, debt securities, loan, non-bank financial intermediation, VAR

Other Papers (1)

Total Downloads: 32
Actions:
Email selected abstracts
1.

Financial Integration of New EU Member States

Number of pages: 46 Posted: 15 Mar 2006
Lorenzo Cappiello, Arjan Kadareja, Bruno Gerard and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB), BI Norwegian Business School - Department of Finance and European Central Bank (ECB)
Downloads 32

Abstract:

Loading...

Integration, new EU member states, regression quantile, variance decomposition