Marco Lo Duca

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

17

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9,220

CITATIONS
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Top 1,627

in Total Papers Citations

446

Scholarly Papers (17)

1.
Downloads 2,184 ( 6,133)
Citation 174

Risk, Uncertainty and Monetary Policy

Journal of Monetary Economics, Vol. 60, Vol. 7, pp. 771-788, 2013
Number of pages: 34 Posted: 08 Mar 2010 Last Revised: 17 Sep 2015
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,940 (7,364)
Citation 6

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Monetary policy; Option implied volatility; Risk aversion; Uncertainty; Business cycle

Risk, Uncertainty and Monetary Policy

Netspar Discussion Paper No. 05/2011-102
Number of pages: 42 Posted: 08 May 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 93 (278,353)
Citation 6

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Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle, stock market volatility dynamics

Risk, Uncertainty and Monetary Policy

ECB Working Paper No. 1565
Number of pages: 40 Posted: 12 Aug 2013
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 73 (323,255)
Citation 14

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Monetary policy, option implied volatility, risk aversion, uncertainty, business cycle

Risk, Uncertainty and Monetary Policy

National Bank of Belgium Working Paper No. 229
Number of pages: 63 Posted: 13 Oct 2012
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 56 (372,220)
Citation 4

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Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle, Stock market volatility dynamics

Risk, Uncertainty and Monetary Policy

NBER Working Paper No. w16397
Number of pages: 51 Posted: 18 Oct 2010 Last Revised: 19 Oct 2010
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 19 (543,117)

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Risk, Uncertainty and Monetary Policy

CEPR Discussion Paper No. DP8154
Number of pages: 44 Posted: 27 Dec 2010
Geert Bekaert, Marie Hoerova and Marco Lo Duca
Columbia Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 3 (654,731)
Citation 33
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business cycle, monetary policy, option implied volatility, risk aversion, stock market volatility dynamics, uncertainty

On the International Spillovers of US Quantitative Easing

DIW Berlin Discussion Paper No. 1304
Number of pages: 64 Posted: 10 Jun 2013
Marcel Fratzscher, Marco Lo Duca and Roland Straub
DIW Berlin, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,585 (10,326)
Citation 46

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monetary policy, quantitative easing, portfolio choice, capital flows, Federal Reserve, United States, policy responses, emerging markets, panel data

On the International Spillovers of US Quantitative Easing

ECB Working Paper No. 1557
Number of pages: 64 Posted: 19 Jul 2013
Marcel Fratzscher, Marco Lo Duca and Roland Straub
DIW Berlin, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 103 (259,835)

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monetary policy, quantitative easing, portfolio choice, capital flows, Federal Reserve, United States, policy responses, emerging markets, panel data

On the International Spillovers of US Quantitative Easing

The Economic Journal, Vol. 128, Issue 608, pp. 330-377, 2018
Number of pages: 48 Posted: 08 Feb 2018
Marcel Fratzscher, Marco Lo Duca and Roland Straub
DIW Berlin, European Central Bank (ECB) and European Central Bank (ECB)
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3.

A Global Monetary Tsunami? On the Spillovers of US Quantitative Easing

Number of pages: 60 Posted: 20 Oct 2012
Marcel Fratzscher, Marco Lo Duca and Roland Straub
DIW Berlin, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,420 (12,549)
Citation 20

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monetary policy, quantitative easing, capital flows, Federal Reserve, policy responses, emerging markets, panel data

4.

CISS - A Composite Indicator of Systemic Stress in the Financial System

ECB Working Paper No. 1426
Number of pages: 51 Posted: 19 Mar 2012
Daniel Hollo, Manfred Kremer and Marco Lo Duca
Magyar Nemzeti Bank, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 777 (30,723)

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Financial system, financial stability, systemic risk, financial stress index, macro-financial, linkages

5.

CISS - A Composite Indicator of Systemic Stress in the Financial System

Number of pages: 47 Posted: 19 May 2010 Last Revised: 19 Aug 2015
Daniel Hollo, Manfred Kremer and Marco Lo Duca
affiliation not provided to SSRN, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 772 (31,009)
Citation 106

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Financial system, Financial stability, Systemic risk, Financial stress index, Macro-financial linkages

6.

The Role of Financial Markets and Innovation in Productivity and Growth in Europe

ECB Occasional Paper No. 72
Number of pages: 51 Posted: 26 Sep 2007
European Central Bank (ECB), European Central Bank (ECB), London Business School and European Central Bank (ECB)
Downloads 562 (47,457)
Citation 1

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7.

Cross-Border Bank Contagion in Europe

ECB Working Paper No. 662
Number of pages: 57 Posted: 02 Aug 2006
Reint Gropp, Marco Lo Duca and Jukka M. Vesala
Halle Institute for Economic Research, European Central Bank (ECB) and Bank of Finland - Finnish Financial Supervision Authority (FIN-FSA)
Downloads 382 (76,234)
Citation 2

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Banking, Contagion, Distance to default, Multinomial logit model

8.

Monetary Policy and Risk Taking

SAFE Working Paper No. 8
Number of pages: 41 Posted: 09 Mar 2013
Ignazio Angeloni, Ester Faia and Marco Lo Duca
Italian Finance Ministry - International Financial Relations, Goethe University Frankfurt and European Central Bank (ECB)
Downloads 273 (110,865)
Citation 4

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bank runs, risk taking, monetary policy

Macro-Financial Vulnerabilities and Future Financial Stress - Assessing Systemic Risks and Predicting Systemic Events

BOFIT Discussion Paper No. 2/2011
Number of pages: 46 Posted: 07 Apr 2011
Marco Lo Duca and Tuomas A. Peltonen
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 138 (208,365)
Citation 23

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early warning indicators, asset price booms and busts, financial stress, macro-prudential policies

Macro-Financial Vulnerabilities and Future Financial Stress: Assessing Systemic Risks and Predicting Systemic Events

ECB Working Paper No. 1311
Number of pages: 39 Posted: 05 Apr 2011
Marco Lo Duca and Tuomas A. Peltonen
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 119 (234,092)

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Early warning Indicators, Asset Price Booms and Busts, Financial Stress, Macro-Prudential Policies

Global Corporate Bond Issuance: What Role for US Quantitative Easing?

ECB Working Paper No. 1649
Number of pages: 39 Posted: 18 Mar 2014
Marco Lo Duca, Giulio Nicoletti and Ariadna Martinez
European Central Bank (ECB), European Central Bank and European Central Bank (ECB)
Downloads 132 (216,159)

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monetary policy, quantitative easing, spill-overs, bond issuance, Federal Reserve, United States, crisis management, emerging markets

Global Corporate Bond Issuance: What Role for US Quantitative Easing?

Number of pages: 37 Posted: 12 Oct 2013 Last Revised: 08 Mar 2014
Marco Lo Duca, Giulio Nicoletti and Ariadna Martinez
European Central Bank (ECB), European Central Bank and European Central Bank (ECB)
Downloads 89 (286,329)

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monetary policy, quantitative easing, spill-overs, bond issuance, Federal Reserve, United States, crisis management, emerging markets

11.

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: 02 Jul 2008
Lorenzo Cappiello, Marco Lo Duca and Angela Maddaloni
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 155 (189,024)
Citation 2

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

Modelling the Time Varying Determinants of Portfolio Flows to Emerging Markets

Number of pages: 23 Posted: 19 Oct 2011 Last Revised: 26 Aug 2012
Marco Lo Duca
European Central Bank (ECB)
Downloads 67 (339,224)
Citation 8

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capital flows, emerging markets, financial crisis, push factors, pull factors

Modelling the Time Varying Determinants of Portfolio Flows to Emerging Markets

ECB Working Paper No. 1468
Number of pages: 25 Posted: 21 Sep 2012
Marco Lo Duca
European Central Bank (ECB)
Downloads 46 (407,141)

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capital flows, emerging markets, financial crisis, push factors, pull factors

13.

Benchmarking the Lisbon Strategy

ECB Occasional Paper No. 85
Number of pages: 59 Posted: 26 Jun 2008
European Central Bank (ECB), European Central Bank (ECB), European Central Bank and European Central Bank (ECB)
Downloads 113 (241,962)

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Lisbon Strategy, economic governance, benchmarking, benefit of the doubt weighting

14.

A New Database for Financial Crises in European Countries: ECB/ESRB EU Crises Database

ECB Occasional Paper No. 194
Number of pages: 62 Posted: 03 Aug 2017
European Central Bank (ECB), European Central Bank (ECB), European Systemic Risk Board, Halmstad University, European Central Bank (ECB), European Systemic Risk Board, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 110 (248,276)
Citation 1

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Financial Crises, Macroprudential, Crises Database, Early Warning Models, Central Bank Statistics

15.

CISS — A Portfolio-Theoretic Framework for the Construction of Composite Financial Stress Indices

Number of pages: 45 Posted: 03 Aug 2012
Manfred Kremer, Daniel Hollo and Marco Lo Duca
European Central Bank (ECB), affiliation not provided to SSRN and European Central Bank (ECB)
Downloads 105 (254,866)

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Financial stress index, Systemic risk, Financial stability, Financial crisis, Macro-financial linkages, Threshold VAR, Portfolio theory

16.

The Effect of G20 Summits on Global Financial Markets

ECB Working Paper No. 1668
Number of pages: 47 Posted: 03 Jul 2014
Marco Lo Duca and Livio Stracca
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 59 (357,446)

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G20, global financial markets, event studies, volatility, global governance, financial crisis

17.

Modeling Euro Area Bond Yields Using a Time-Varying Factor Model

ECB Working Paper No. 2012
Number of pages: 34 Posted: 06 Feb 2017
Tomas Adam and Marco Lo Duca
Czech National Bank (CNB) - Monetary Department and European Central Bank (ECB)
Downloads 29 (469,379)

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bond yield, sovereign debt crisis, factor model, stochastic volatility, Bayesian estimation

Other Papers (1)

Total Downloads: 166
1.

Contagion Detection with Switching Regime Models: A Short and Long Run Analysis

Number of pages: 26 Posted: 05 Mar 2005
Monica Billio, Marco Lo Duca and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, European Central Bank (ECB) and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 166

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Contagion, stock market crises, international financial markets, financial integration, Markov switching models, long run analysis