Marco Taboga

Bank of Italy

Via Nazionale 91

00184 Roma

Italy

SCHOLARLY PAPERS

17

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2,378

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Top 5,222

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99

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Scholarly Papers (17)

1.

An Assessment of Financial Sector Rescue Programmes

Bank of Italy Occasional Paper No. 47
Number of pages: 80 Posted: 15 May 2010 Last Revised: 28 Oct 2010
Bank for International Settlements (BIS), Bank of Italy, Bank for International Settlements, Ivey Business School, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 480 (57,255)

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bank asset guarantees, capital injection, banks, financial sector, financial crisis, bank consolidation, bank mergers and acquisitions, event studies, government guaranteed bonds, credit crunch, exit strategy

2.

A Simple Model of Robust Portfolio Selection

Number of pages: 44 Posted: 22 Jun 2004
Marco Taboga
Bank of Italy
Downloads 393 (72,921)

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Robustness, portfolio selection, Markowitz, ambiguity, parameter uncertainty

3.

Under/Over-Valuation of the Stock Market and Cyclically Adjusted Earnings

Bank of Italy Temi di Discussione (Working Paper) No. 780
Number of pages: 46 Posted: 08 Apr 2011
Marco Taboga
Bank of Italy
Downloads 246 (122,036)

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earnings/price ratio, cyclically adjusted earnings, undervaluation/overvaluation of stocks

4.

Recent Estimates of Sovereign Risk Premia for Euro-Area Countries

Bank of Italy Occasional Paper No. 128
Number of pages: 41 Posted: 10 Oct 2012
Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 235 (127,840)

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interest rates, government yield spreads, sovereign risk premia, government debt, financial crisis, sovereign debt crisis, financial contagion, euro break up, convertibility risk

Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate

Bank of Italy Temi di Discussione (Working Paper) No. 699
Number of pages: 51 Posted: 11 Mar 2009
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 120 (230,156)

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exchange rate, term structure, UIP

Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate

Number of pages: 45 Posted: 19 Feb 2009
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 90 (281,228)

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bond risk premium, exchamge rate, affine model

Portfolio Selection with Monotone Mean-Variance Preferences

Bank of Italy Temi di Discussione (Working Paper) No. 664
Number of pages: 50 Posted: 20 Jun 2008
Bocconi University - Department of Decision Sciences, University of Turin - Department of Statistics and Applied Mathematics, University of Minnesota - Twin Cities - Department of Economics and Bank of Italy
Downloads 123 (225,771)

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portfolio selection, decision theory, mean-variance

Portfolio Selection with Monotone Mean-Variance Preferences

Mathematical Finance, Vol. 19, Issue 3, pp. 487-521, July 2009
Number of pages: 35 Posted: 30 Jun 2009
Bocconi University - Department of Decision Sciences, University of Turin - Department of Statistics and Applied Mathematics, University of Minnesota - Twin Cities - Department of Economics and Bank of Italy
Downloads 3 (645,195)
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7.

Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premiums

Bank of Italy Economic Research Paper No. 580
Number of pages: 45 Posted: 10 Apr 2006
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 120 (229,151)

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term structure models, yield curve, risk premium

8.

The Riskiness of Corporate Bonds

Bank of Italy Temi di Discussione (Working Paper) No. 730
Number of pages: 45 Posted: 11 May 2010
Marco Taboga
Bank of Italy
Downloads 116 (234,983)

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riskiness, corporate bonds, predictability

9.

Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia

Journal of Money, Credit, and Banking, 2008
Number of pages: 34 Posted: 05 Sep 2008
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 87 (284,984)

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term structure models, yield curve, risk premium

10.

Assessing the Risks of Asset Overvaluation: Models and Challenges

Bank of Italy Temi di Discussione (Working Paper) No. 1114
Number of pages: 40 Posted: 08 May 2017
Sara Cecchetti and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 67 (331,394)

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stock risk premium, bond risk premium, fundamental value, under-/over-valuation

11.

Bayesian Analysis of Coefficient Instability in Dynamic Regressions

Bank of Italy Temi di Discussione (Working Paper) No. 836
Number of pages: 64 Posted: 24 Feb 2012
Emanuela Ciapanna and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 60 (350,521)

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time-varying regression, coefficient instability

12.

Understanding Policy Rates at the Zero Lower Bound: Insights from a Bayesian Shadow Rate Model

Bank of Italy Temi di Discussione (Working Paper) No 1023
Number of pages: 41 Posted: 20 Jan 2016
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 57 (359,436)

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zero lower bound, shadow rate term structure model

13.

What is a Prime Bank? A Euribor – OIS Spread Perspective

Bank of Italy Temi di Discussione (Working Paper) No. 895
Number of pages: 45 Posted: 21 Feb 2013 Last Revised: 23 Feb 2013
Marco Taboga
Bank of Italy
Downloads 56 (362,468)

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Euribor rates, Euribor survey, Euribor – OIS spread

14.

Easier Said than Done? Reforming the Prudential Treatment of Banks’ Sovereign Exposures

Bank of Italy Occasional Paper No. 326
Number of pages: 47 Posted: 30 Apr 2016
Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 52 (375,021)

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sovereign risk, prudential regulation, sustainability of public finances

15.

Decomposing Euro Area Sovereign Spreads: Credit, Liquidity and Convenience

Bank of Italy Temi di Discussione (Working Paper) No. 1021
Number of pages: 52 Posted: 08 Nov 2015
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 52 (375,021)

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sovereign spreads, liquidity premia, convenience yields

16.

Sectoral Differences in Managers’ Compensation: Insights from a Matching Model

Bank of Italy Temi di Discussione (Working Paper) No. 1000
Number of pages: 51 Posted: 24 Apr 2015
Emanuela Ciapanna, Marco Taboga and Eliana Viviano
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 21 (506,648)

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managers’ compensation, job matching

17.

The Equity Premium in the Long-Run

Applied Financial Economics, Vol. 14, pp. 645-650, 2004
Posted: 22 Jun 2004
Marco Taboga
Bank of Italy

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Equity premium, equity premium puzzle, stock market, equilibrium returns