Jean-Yves Gnabo

University of Namur

Rempart de la Vierge, 8

Namur B-5000

Belgium

SCHOLARLY PAPERS

17

DOWNLOADS
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1,925

SSRN CITATIONS
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Top 29,620

in Total Papers Citations

20

CROSSREF CITATIONS

9

Scholarly Papers (17)

1.

Assessing the Contribution of Banks, Insurance and Other Financial Services to Systemic Risk

Journal of Banking and Finance, Forthcoming
Number of pages: 18 Posted: 19 Jul 2013 Last Revised: 04 Sep 2014
Oscar Bernal, Jean-Yves Gnabo and Grégory Guilmin
University of Namur, University of Namur and University of Namur
Downloads 269 (166,000)
Citation 6

Abstract:

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Systemic risk, CoVaR, Quantile regression, Stochastic dominance test

2.

Economic Policy Uncertainty and Risk Spillovers in the Eurozone

Number of pages: 26 Posted: 24 Jan 2015
Oscar Bernal, Jean-Yves Gnabo and Grégory Guilmin
University of Namur, University of Namur and University of Namur
Downloads 246 (181,286)
Citation 8

Abstract:

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Euro area, Economic Policy Uncertainty, Risk Spillovers, Government bond spreads, Debt crisis, CoVaR, Quantile regression

3.

Common Short Selling and Excess Comovement

Number of pages: 47 Posted: 30 Oct 2017 Last Revised: 07 Mar 2022
Marco Valerio Geraci, Jean-Yves Gnabo and David Veredas
National Bank of Belgium, University of Namur and Vlerick Business School
Downloads 188 (232,462)

Abstract:

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short selling, correlation, informed trading

4.

How Different Are ESG Mutual Funds? Evidence and Implications

Number of pages: 65 Posted: 28 Mar 2022
Camille Baily and Jean-Yves Gnabo
University of Namur and University of Namur
Downloads 157 (270,812)

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environmental, social and governance (ESG), climate risk, distinctiveness, US equity mutual funds, performance, flows

5.

Does Transparency in Central Bank Intervention Policy Bring Noise to the FX Market? The Case of the Bank of Japan

Number of pages: 26 Posted: 26 Sep 2006
Jean-Yves Gnabo, Sébastien Laurent and Christelle Lecourt
University of Namur, AMSE and Facultés Universitaires Notre-Dame de la Paix (FUNDP) - Department of Business Administration
Downloads 136 (303,626)
Citation 2

Abstract:

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Central banks, Foreign exchange market, Interventions, Communication policy, Rumours

6.

The Importance of Conflicts of Interest in Attributing Sovereign Credit Ratings

Number of pages: 47 Posted: 12 Feb 2015 Last Revised: 10 Aug 2016
University of Namur - Center for Research in Finance and Management (CeReFiM), University of NamurSaint-Louis University, Brussels and University of Namur
Downloads 119 (335,092)

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Credit Rating Agencies, NRSRO, Rating Solicitation, Sovereign Credit Rating, Conflicts of Interest

7.

How Transparent is the Intervention Exchange Rate Policy of the Bank of Japan?

Number of pages: 31 Posted: 07 Nov 2005
Jean-Yves Gnabo and Christelle Lecourt
University of Namur and Facultés Universitaires Notre-Dame de la Paix (FUNDP) - Department of Business Administration
Downloads 119 (335,092)
Citation 7

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Foreign exchange market, central bank interventions, transparency, rumours

8.

Intervention Policy of the Boj: A Unified Approach

CESifo Working Paper Series No. 1894
Number of pages: 37 Posted: 16 Nov 2006
University of Luxemburg, Free University of Brussels, University of Namur and Facultés Universitaires Notre-Dame de la Paix (FUNDP) - Department of Business Administration
Downloads 118 (337,103)
Citation 1

Abstract:

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FX intervention, Secrecy Puzzle, Market Detection, Nested

9.

Spatial Dependence in Sovereign Wealth Funds' Investments

Number of pages: 30 Posted: 07 Jan 2016
Nicolas Debarsy, Jean-Yves Gnabo and Malik Kerkour
University of Orleans, University of Namur and University of Namur - Department of Finance
Downloads 115 (343,241)

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Sovereign Wealth Funds, Pull Factors, Spatial Econometrics, Inverse Hyperbolic Sine Transformation, Interactions

10.

Foreign-Exchange Intervention Strategies and Market Expectations: Insights from Japan

Number of pages: 36 Posted: 04 Jul 2008
Jean-Yves Gnabo and Jerome Teiletche
University of Namur and Unigestion
Downloads 96 (387,162)
Citation 2

Abstract:

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Central Bank Interventions, Event Studies, Communication Policy, Risk Neutral Density

11.

Talks, Financial Operations or Both? Generalizing Central Banks' FX Reaction Functions

Number of pages: 27 Posted: 26 Sep 2006
Oscar Bernal and Jean-Yves Gnabo
Free University of Brussels and University of Namur
Downloads 95 (389,741)
Citation 5

Abstract:

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Central banks, Foreign exchange market, Interventions

12.

Understanding the Decision Making Process of Sovereign Wealth Funds: The Case of Temasek

Economie Internationale, Vol. 52, No. 1, 2017
Number of pages: 24 Posted: 24 Sep 2018 Last Revised: 02 Oct 2018
University of Namur, University of Namur - Department of Finance, Aix-Marseille University - Aix-Marseille School of Economics and Université Paris X Nanterre
Downloads 78 (438,979)

Abstract:

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Sovereign Wealth Funds, Nested Logit Model, Foreign Investment

13.

The Intra-Day Impact of Communication on Euro-Dollar Volatility and Jumps

KU Leuven - Center for Economic Studies Discussion Paper No. DPS13.04
Number of pages: 37 Posted: 11 Mar 2013
Catholic University of Leuven (KUL) - Department of Economics, IESEG School of Management, Department of Finance, LEM-CNRS 9221, France, University of Namur and Facultés Universitaires Notre-Dame de la Paix (FUNDP) - Department of Business Administration
Downloads 76 (445,382)
Citation 5

Abstract:

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Central bank communication, Exchange rate communication, Official statements, High-frequency data, Jump process, Volatility

14.

System-Wide Tail Comovements: A Bootstrap Test for Cojump Identification on the S&P 500, US Bonds and Exchange Rates

Number of pages: 44 Posted: 08 Oct 2014
Jean-Yves Gnabo, Liudmyla Hvozdyk and Jérôme Lahaye
University of Namur, University of Essex and Fordham University
Downloads 66 (480,148)
Citation 1

Abstract:

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cojump, jump, bootstrap, diffusion, Brownian, semi-martingale, high-frequency, simulation, risk, diversification

15.

Lobbying and Cartel Enforcement

Number of pages: 52 Posted: 28 Mar 2022 Last Revised: 27 Jul 2022
University of NamurSaint-Louis University, Brussels, University of Namur and UCLouvain Saint-Louis Brussels
Downloads 47 (560,734)

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Cartel, Lobbying, US Antitrust Division, Cartel Enforcement, Cartel Sanctions, Competition authorities

16.

Measuring Interconnectedness Between Financial Institutions with Bayesian Time-Varying Vector Autoregressions

Journal of Financial and Quantitative Analysis (JFQA) doi: 10.1017/S0022109018000108
Posted: 24 Dec 2015 Last Revised: 01 Jun 2018
Marco Valerio Geraci and Jean-Yves Gnabo
National Bank of Belgium and University of Namur

Abstract:

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financial interconnectedness, time-varying parameter, systemic risk

17.

The Risk Management Approach to Monetary Policy, Nonlinearity and Aggressiveness: The Case of the US Fed

ECB Working Paper No. 1792
Posted: 23 Jun 2015
Diego Moccero and Jean-Yves Gnabo
European Central Bank (ECB) and University of Namur

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aggressiveness; monetary policy; risk management; smooth-transition regression model; US Fed

Other Papers (1)

Total Downloads: 0
1.

Short Selling and Excess Return Correlation

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Posted: 04 Jun 2018
Marco Valerio Geraci, Jean-Yves Gnabo and David Veredas
National Bank of Belgium, University of Namur and Vlerick Business School

Abstract:

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short selling, correlation, informed trading