Nuno Cassola

University of Milan Bicocca - CefES

Scientific Council

Milan

Italy

University of Lisbon - CEMAPRE

Lisbon

Portugal

SCHOLARLY PAPERS

23

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Top 5,004

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15

CROSSREF CITATIONS

202

Scholarly Papers (23)

Monetary Policy and the Stock Market in the Euro Area

ECB Working Paper No. 119
Number of pages: 85 Posted: 14 Jan 2003
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca
Downloads 374 (81,063)

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Monetary policy transmission mechanism; price stability; financial stability

2.

Manipulation in Money Markets

Swiss Finance Institute Research Paper No. 29
Number of pages: 42 Posted: 26 Nov 2006
University of Zurich, Department of Economics, University of Milan Bicocca - CefES, European Central Bank (ECB) and European Union - European Investment Bank
Downloads 311 (100,683)
Citation 21

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Manipulation, Money markets, SWAPS

3.

A Two-Factor Model of the German Term Structure of Interest Rates

ECB Working Paper No. 46
Number of pages: 63 Posted: 12 Apr 2003
Nuno Cassola and Jorge Barros Luis
University of Milan Bicocca - CefES and Montepio Bank
Downloads 260 (121,829)

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expectations hypothesis, term premiums, pricing kernels, affine model

Modelling Short-Term Interest Rate Spreads in the Euro Money Market

ECB Working Paper No. 982
Number of pages: 41 Posted: 23 Dec 2008
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca
Downloads 188 (166,619)
Citation 2

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money market interest rates, euro area, sub-prime credit crisis, credit risk, liquidity risk, long memory, structural change, fractional co-integration, co-breaking, fractionally integrated factor vector autoregressive model

Modelling Short-Term Interest Rate Spreads in the Euro Money Market

International Journal of Central Banking, 4, 2008
Posted: 12 May 2010
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca

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money market interest rates, euro area, sub-prime credit crisis, credit risk, liquidity risk, long memory, structural change, fractional cointegration, cobreaking, fractionally integrated factor vector autoregressive model

5.

A Money Demand System for Euro Area M3

ECB Working Paper No. 39
Number of pages: 48 Posted: 12 Dec 2002
Claus Brand and Nuno Cassola
European Central Bank (ECB) and University of Milan Bicocca - CefES
Downloads 184 (169,898)
Citation 4

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Money Demand, Fisher Hypothesis, Term Structure, Structural Cointegrated VAR, Response Profiles

6.

Volatility of Interest Rates in the Euro Area: Evidence from High Frequency Data

ECB Working Paper No. 235
Number of pages: 74 Posted: 02 Dec 2003
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca
Downloads 180 (173,347)
Citation 1

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Money market microstructure; money market interest rates; liquidity effect; stochastic volatility; fractional integration and cointegration

7.

Liquidity, Information, and the Overnight Rate

ECB Working Paper No. 378; IEER Working Paper No. 186
Number of pages: 38 Posted: 14 Jun 2004
University of Zurich, Department of Economics, University of Milan Bicocca - CefES, European Central Bank (ECB) and European Union - European Investment Bank
Downloads 144 (209,624)

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Liquidity effect, asymmetric information, monetary policy implementation

8.

The Euro Overnight Interbank Market and ECB's Liquidity Management Policy During Tranquil and Turbulent Times

ECB Working Paper No. 1247
Number of pages: 61 Posted: 05 Oct 2010
Nuno Cassola and Michael Huetl
University of Milan Bicocca - CefES and affiliation not provided to SSRN
Downloads 124 (235,748)

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liquidity management, open market operations, simulation, microstructure

Comovements in Volatility in the Euro Money Market

ECB Working Paper No. 703
Number of pages: 54 Posted: 28 Dec 2006
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca
Downloads 118 (245,747)

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Money market interest rates, liquidity effect, realized volatility, fractional integration and cointegration, fractional vector error correction model

Comovements in Volatility in the Euro Money Market

Journal of International Money and Finance, Vol. 29, 2010
Posted: 12 May 2010
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca

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Money market interest rates, liquidity effect, realized volatility, fractional integration and cointegration, fractional vector error correction model

10.

Sporadic Manipulation in Money Markets with Central Bank Standing Facilities

ECB Working Paper No. 399
Number of pages: 36 Posted: 13 Dec 2004
University of Zurich, Department of Economics, University of Milan Bicocca - CefES, European Central Bank (ECB) and European Union - European Investment Bank
Downloads 118 (244,602)

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Money market, corridor system, manipulation

11.

Understanding Chinese Bond Yields and Their Role in Monetary Policy

IMF Working Paper No. 11/225
Number of pages: 43 Posted: 08 Oct 2011
Nathan Porter and Nuno Cassola
affiliation not provided to SSRN and University of Milan Bicocca - CefES
Downloads 103 (269,163)

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Bond markets, Bonds, China, Interest rate structures, Monetary policy

The Collateral Channel of Open Market Operations

Banque de France Working Paper No. 593
Number of pages: 52 Posted: 25 May 2016 Last Revised: 12 Oct 2016
Nuno Cassola and Francois Koulischer
University of Milan Bicocca - CefES and Luxembourg School of Finance
Downloads 69 (347,789)

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Collateral, Haircut, Central Bank, Money Market

The Collateral Channel of Open Market Operations

ECB Working Paper No. 1906
Number of pages: 50 Posted: 18 Jun 2016
Nuno Cassola and Francois Koulischer
University of Milan Bicocca - CefES and Luxembourg School of Finance
Downloads 23 (539,378)

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collateral, haircut, central bank, money market

The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds

ECB Working Paper No. 1374
Number of pages: 65 Posted: 25 Aug 2011
Nuno Cassola, Ali Hortacsu and Jakub Kastl
University of Milan Bicocca - CefES, University of Chicago - Department of Economics and Stanford University
Downloads 44 (432,099)
Citation 3

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Multiunit auctions, primary market, structural estimation, subprime market, liquidity crisis

The 2007 Subprime Market Crisis Through the Lens of European Central Bank Auctions for Short-Term Funds

NBER Working Paper No. w15158
Number of pages: 60 Posted: 21 Jul 2009 Last Revised: 10 Aug 2009
Nuno Cassola, Ali Hortacsu and Jakub Kastl
University of Milan Bicocca - CefES, University of Chicago - Department of Economics and Stanford University
Downloads 29 (502,549)

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14.

Optimal Allotment Policy in the Eurosystem's Main Refinancing Operations

ECB Working Paper No. 295
Number of pages: 49 Posted: 10 Feb 2004
University of Zurich, Department of Economics, University of Milan Bicocca - CefES, European Central Bank (ECB) and European Union - European Investment Bank
Downloads 72 (335,742)

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Euro, monetary policy instruments, operational framework, refinancing operations

15.

Overbidding in Fixed Rate Tenders: The Role of Exposure Risk

Swiss Finance Institute Research Paper No. 10-35
Number of pages: 43 Posted: 25 Aug 2010 Last Revised: 02 Jun 2011
Christian Ewerhart, Nuno Cassola and Natacha Valla
University of Zurich, Department of Economics, University of Milan Bicocca - CefES and European Union - European Investment Bank
Downloads 69 (343,656)
Citation 1

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Eurosystem; Bank of England, Fixed rate tender, Overbidding, Exposure risk, Existence of equilibrium, Dynamics

16.

Euro Money Market Spreads During the 2007-? Financial Crisis

ECB Working Paper No. 1437
Number of pages: 26 Posted: 09 Jul 2012
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca
Downloads 64 (357,562)
Citation 1

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Money market interest rates, credit/liquidity risk, fractionally integrated heteroskedastic factor vector autoregressive model

17.

The Reserve Fulfilment Path of Euro Area Commercial Banks: Empirical Testing Using Panel Data

ECB Working Paper No. 869
Number of pages: 47 Posted: 26 Feb 2008
Nuno Cassola
University of Milan Bicocca - CefES
Downloads 56 (382,053)

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Monetary policy implementation, Reserve requirements, Rate corridor, Liquidity management, Panel data

18.

Declining Valuations and Equilibrium Bidding in Central Bank Refinancing Operations

ECB Working Paper No. 668, Swiss Finance Institute Research Paper No. 07-22
Number of pages: 33 Posted: 22 Aug 2006
Christian Ewerhart, Nuno Cassola and Natacha Valla
University of Zurich, Department of Economics, University of Milan Bicocca - CefES and European Union - European Investment Bank
Downloads 53 (391,783)

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Open market operations, uniform price auction, discriminatory, Eurosystem, discriminatory auction, bid shading, collateral

19.

Equilibrium and Inefficiency in Fixed Rate Tenders

ECB Working Paper No. 554
Number of pages: 35 Posted: 30 Nov 2005
Christian Ewerhart, Nuno Cassola and Natacha Valla
University of Zurich, Department of Economics, University of Milan Bicocca - CefES and European Union - European Investment Bank
Downloads 49 (405,453)

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Fixed rate tenders, rationing, equilibrium, inefficiency

The ECB After the Crisis: Existing Synergies Among Monetary Policy, Macroprudential Policies and Banking Supervision

University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 424, December 2019
Number of pages: 57 Posted: 12 Dec 2019
University of Milan Bicocca - CefES, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 26 (520,334)

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European Central Bank, monetary policy, banking union, banking supervision, financial stability, systemic risks, macroprudential policies, decision-making process

The ECB After the Crisis: Existing Synergies Among Monetary Policy, Macroprudential Policies and Banking Supervision

ECB Occasional Paper No. 237
Number of pages: 69 Posted: 21 Nov 2019
University of Milan Bicocca - CefES, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 19 (565,969)

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banking supervision, banking union, decision-making process, European Central Bank, financial stability, macroprudential policies, monetary policy, systemic risks

Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem

ECB Working Paper No. 793
Number of pages: 33 Posted: 17 Aug 2007
University of Zurich, Department of Economics, University of Milan Bicocca - CefES and Università di Milano Bicocca
Downloads 45 (428,120)

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Repo auctions, monetary policy implementation, primary money market market, multi unit auctions, discriminatory auctions, collateral, central bank, nonparametric estimation

Structural Econometric Approach to Bidding in the Main Refinancing Operations of the Eurosystem

Journal of Financial Transformation, Vol. 19, pp. 81-90, 2007
Posted: 03 Oct 2006
Università di Milano Bicocca, University of Zurich, Department of Economics and University of Milan Bicocca - CefES

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repo auctions, monetary policy implementation, primary money market market, multi unit auctions, discriminatory auctions, collateral, central bank, nonparametric estimation

22.

Declining Valuations and Equilibrium Bidding Central Bank Refinancing Operations

Banque de France Working Paper No. NER-R 151
Number of pages: 54 Posted: 26 Oct 2010
Christian Ewerhart, Nuno Cassola and Natacha Valla
University of Zurich, Department of Economics, University of Milan Bicocca - CefES and European Union - European Investment Bank
Downloads 21 (534,369)
Citation 31

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Open market Operations, Uniform Price Auction, Discriminatory Auction, Eurosystem

23.

Euro Money Market Spreads During the 2007-? Financial Crisis

Journal of Empirical Finance, 2012, 19, 548-557.
Posted: 12 May 2010 Last Revised: 09 Jun 2013
Nuno Cassola and Claudio Morana
University of Milan Bicocca - CefES and Università di Milano Bicocca

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money market interest rates, euro area, sub-prime credit crisis, credit risk, liquidity risk, long memory, structural change, fractionally integrated heteroskedastic factor vector autoregressive model