Roberto Panzica

Bank of Portugal

Rua Francisco Ribeiro, 2

Lisbon, 1150-165

Portugal

SCHOLARLY PAPERS

12

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4,128

TOTAL CITATIONS
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Top 8,617

in Total Papers Citations

189

Scholarly Papers (12)

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1.

The Pricing of Green Bonds: Are Financial Institutions Special?

Number of pages: 46 Posted: 01 Jul 2020
Serena Fatica, Roberto Panzica and Michela Rancan
European Commission - Joint Research Centre, Bank of Portugal and University of Milan
Downloads 771 (71,633)
Citation 106

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Sustainable finance, climate change, green bonds, financial istitutions, bank loans

2.

The Greenium matters: greenhouse gas emissions, environmental disclosures, and stock prices

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 418
Number of pages: 37 Posted: 13 Sep 2019 Last Revised: 02 Oct 2020
Alessi Lucia, Elisa Ossola and Roberto Panzica
Joint Research Center of the European Commission, University of Milano-Bicocca and Bank of Portugal
Downloads 764 (71,869)
Citation 52

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Climate risk, ESG disclosure, factor models, asset pricing, stress test

3.

The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification

SAFE Working Paper No. 166
Number of pages: 63 Posted: 13 Feb 2017
Monica Billio, Massimiliano Caporin, Roberto Panzica and Loriana Pelizzon
University of Venice - Department of Economics, University of Padua - Department of Statistical Sciences, Bank of Portugal and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 513 (119,380)
Citation 14

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CAPM, volatility, network, interconnections, systematic risk

4.

The Demand for Central Clearing: To Clear or Not to Clear, That Is the Question!

Downloads 491 (125,828)
Citation 9

The Demand for Central Clearing: To Clear or Not to Clear, That Is the Question!

SAFE Working Paper No. 193
Number of pages: 60 Posted: 02 Feb 2018 Last Revised: 05 Dec 2023
Mario Bellia, Giulio Girardi, Roberto Panzica, Loriana Pelizzon and Tuomas A. Peltonen
European Union - JRC-Ispra, European Commision, Securities and Exchange Commission, Bank of Portugal, Goethe University Frankfurt - Faculty of Economics and Business Administration and European Central Bank (ECB)
Downloads 430 (145,785)
Citation 9

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Credit Default Swap (CDS), Central Counterparty Clearing House (CCP), European Market Infrastructure Regulation (EMIR), Sovereign CDS.

The Demand for Central Clearing: To Clear or Not to Clear, that is the Question

ESRB: Working Paper Series No. 2017/62
Number of pages: 58 Posted: 05 Nov 2020
Mario Bellia, Roberto Panzica, Loriana Pelizzon and Tuomas Peltonen
European Union - JRC-Ispra, European Commision, Bank of Portugal, Goethe University Frankfurt - Faculty of Economics and Business Administration and European Systemic Risk Board
Downloads 61 (784,503)

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Central Counterparty Clearing House (CCP), Credit Default Swap (CDS), European Market Infrastructure Regulation (EMIR), sovereign

5.

Sustainable Investing in Times of Crisis: Evidence from Bond Holdings and the COVID-19 Pandemic

Downloads 404 (158,285)
Citation 3

Sustainable Investing in Times of Crisis: Evidence from Bond Holdings and the COVID-19 Pandemic

Number of pages: 42 Posted: 22 Dec 2021 Last Revised: 27 Dec 2021
Serena Fatica and Roberto Panzica
European Commission - Joint Research Centre and Bank of Portugal
Downloads 350 (184,017)
Citation 2

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Financial crises, sustainable finance, green bonds, institutional investors

Sustainable Investing in Times of Crisis Evidence from Bond Holdings and the COVID-19 Pandemic

Number of pages: 45 Posted: 28 Jul 2022
Serena Fatica and Roberto Panzica
European Commission - Joint Research Centre and Bank of Portugal
Downloads 54 (835,223)
Citation 1

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G01, G11, G23

6.

Green Bonds as a Tool Against Climate Change?

Number of pages: 23 Posted: 02 Dec 2020
Serena Fatica and Roberto Panzica
European Commission - Joint Research Centre and Bank of Portugal
Downloads 359 (180,645)

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climate change; green bonds; impact investing; corporate sustainability; environment

7.

Estimation and Model-Based Combination of Causality Networks

SAFE Working Paper No. 165
Number of pages: 95 Posted: 02 Feb 2017
Giovanni Bonaccolto, Massimiliano Caporin and Roberto Panzica
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and Bank of Portugal
Downloads 272 (242,997)

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Granger Causality, Quantile Causality, Multi-Layer Network, Network Combination

8.

When Do Investors Go Green? Evidence From a Time-Varying Asset-Pricing Model

Number of pages: 37 Posted: 04 Mar 2022
Alessi Lucia, Elisa Ossola and Roberto Panzica
Joint Research Center of the European Commission, University of Milano-Bicocca and Bank of Portugal
Downloads 243 (272,057)
Citation 4

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Climate risk, environmental disclosure, conditional factor models, asset pricing

9.

Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections

SAFE Working Paper No. 228
Number of pages: 41 Posted: 29 Aug 2018
Roberto Panzica
Bank of Portugal
Downloads 178 (368,558)

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Idiosyncratic volatility puzzle; Networks; Expected Returns; Granger Causality

10.

The Systemic Risk of Us Oil and Natural Gas Companies

Number of pages: 41 Posted: 08 Jul 2022 Last Revised: 05 May 2023
Massimiliano Caporin, Fulvio Fontini and Roberto Panzica
University of Padua - Department of Statistical Sciences, University of Padova - Department of Economics and Management "Marco Fanno" and Bank of Portugal
Downloads 67 (739,070)
Citation 1

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Systemic risk, Oil and Natural Gas, Fossil Fuel, Energy J.E.L. classification: Q43, Q40, G10, C21, C58

11.

When Do Investors Go Green? Evidence from a Time-Varying Asset-Pricing Model

Number of pages: 51 Posted: 14 Apr 2023
Lucia Alessi, Elisa Ossola and Roberto Panzica
affiliation not provided to SSRN, University of Milano-Bicocca and Bank of Portugal
Downloads 50 (848,993)

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Climate risk, environmental disclosure, conditional factor models, asset pricing

12.

Climate Stress Test of the Global Supply Chain Network: The Case of River Floods

Bank of Greece Working Paper No. 337
Number of pages: 52 Posted: 17 Apr 2025
Georgios Papadopoulos, Javier Ojea Ferreiro and Roberto Panzica
Bank of Greece, European Central Bank (ECB) and Bank of Portugal
Downloads 16 (1,232,144)

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climate risk, supply chain, floods, agent-based, data-driven