9
H index
9
i10 index
1214
Citations
Marcello Pericoli : Citation Profile
Banca d'Italia | RESEARCH PRODUCTION: 14 Articles 31 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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33 years (1992 - 2025). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Marcello Pericoli. | Is cited by:
| Cites to:
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Main data
Where Marcello Pericoli has published?
| Journals with more than one article published | # docs |
|---|---|
| International Finance | 3 |
| Journal of Money, Credit and Banking | 2 |
Recent works citing Marcello Pericoli (2026 and 2025)
| Year | Title of citing document |
|---|---|
| 2026 | What Drives Contagion? Identifying and Attributing Cross-Border Transmission Mechanisms. (2026). Sahu, Hitesh Kumar ; Parida, Ipsita ; Bhandari, Avishek. In: Papers. RePEc:arx:papers:2604.26546. Full description at Econpapers || Download paper |
| 2024 | The Impact of Market Sentiment and Macroeconomic Fundamentals on Government Bond (Mis)-pricing. (2024). Munari, Pietro. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24228. Full description at Econpapers || Download paper |
| 2025 | Survey-based daily estimates of inflation expectations and risk premia in the euro area. (2025). Zinna, Gabriele ; Lilla, Francesca. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_991_25. Full description at Econpapers || Download paper |
| 2024 | HOW IMPORTANT ARE ESG FACTORS FOR BANKS€™ COST OF DEBT? AN EMPIRICAL INVESTIGATION. (2024). Romeo, Rosario ; Persico, Mattia ; Nobili, Stefano. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_052_24. Full description at Econpapers || Download paper |
| 2024 | HOW IMPORTANT ARE ESG FACTORS FOR BANKS€™ COST OF DEBT? AN EMPIRICAL INVESTIGATION. (2024). Nobili, Stefano ; Romeo, Rosario ; Persico, Mattia. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:mip_052_24. Full description at Econpapers || Download paper |
| 2025 | The heterogeneous impact of monetary policy announcements on firms financial outcomes. (2025). Of, Central Bank. In: BIS Papers chapters. RePEc:bis:bisbpc:157-21. Full description at Econpapers || Download paper |
| 2025 | Investor sentiment and dynamic connectedness in European markets: insights from the covid-19 and Russia-Ukraine conflict. (2025). Santon, Alessandro ; Harasheh, Murad ; Bouteska, Ahmed ; Buchetti, Bruno. In: Working Paper Series. RePEc:ecb:ecbwps:20253050. Full description at Econpapers || Download paper |
| 2025 | An experimental analysis of contagion in financial markets. (2025). Vorsatz, Marc ; Peeters, Ronald ; Veiga, Helena. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002252. Full description at Econpapers || Download paper |
| 2025 | Cross-asset contagion and risk transmission in global financial networks. (2025). Wang, Qing ; Wu, Baoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:80:y:2025:i:c:s1062940825001512. Full description at Econpapers || Download paper |
| 2025 | The term structure of macroeconomic risks at the effective lower bound. (2025). Roussellet, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623000143. Full description at Econpapers || Download paper |
| 2025 | Foreign currency forecasting in emerging markets: What can stock and bond markets tell us?. (2025). Phylaktis, Kate ; Yamani, Ehab. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000635. Full description at Econpapers || Download paper |
| 2025 | The complex interplay between exchange rate and real markets: An agent-based model exploration. (2025). Ricchiuti, Giorgio ; Delli Gatti, Domenico ; Gusella, Filippo ; Roventini, Andrea ; Ferraresi, Tommaso ; Popoyan, Lilit. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:238:y:2025:i:c:s0167268125003713. Full description at Econpapers || Download paper |
| 2024 | The effect of fragmentation risk on monetary conditions in the euro area. (2024). , Ivo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:146:y:2024:i:c:s0261560624000962. Full description at Econpapers || Download paper |
| 2025 | How Stable are Inflation Expectations in the Euro Area? Evidence from the Euro-Area Financial Markets. (2025). Grishchenko, Olesya ; Moraux, Franck ; Pakulyak, Olga. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-41. Full description at Econpapers || Download paper |
| 2025 | Quantile-Time-Frequency Connectedness in Global Equity Markets: Evidence from BRICS and G7 Economies. (2025). Hachicha, Nejib ; Boumrifeg, Mejed ; Dammak, Fredj Amine. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:9:p:526-:d:1753074. Full description at Econpapers || Download paper |
| 2025 | Cryptocurrencies and Economic Community of West African States Stock Markets: An Analysis by the DCC-GARCH Model. (2025). Gaudens-Omer, Kouakou Thiaedjae. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:17:y:2025:i:4:p:111. Full description at Econpapers || Download paper |
| 2026 | Nature-adjusted probability of default for European small and medium enterprises. (2026). Marc, Cowling ; Raffaella, Calabrese ; Yujia, Chen ; Fernanda, Valente ; Lucia, Alessi. In: JRC Working Papers in Economics and Finance. RePEc:jrs:wpaper:202601. Full description at Econpapers || Download paper |
| 2025 | Crude oil, forex, and stock markets: unveiling the higher-order moment and cross-moment risk spillovers in times of turmoil. (2025). Maghyereh, Aktham ; Cui, Jinxin ; Ziadat, Salem. In: Humanities and Social Sciences Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-05308-7. Full description at Econpapers || Download paper |
| 2025 | Insights Into Financial Contagion: A Bibliometric Study. (2025). Kaur, Harpreet. In: FIIB Business Review. RePEc:sae:fbbsrw:v:14:y:2025:i:3:p:288-300. Full description at Econpapers || Download paper |
| 2025 | Was Covid-19 a wake-up call on climate risks? Evidence from the greenium. (2025). Marinelli, Giuseppe ; Liberati, Danilo. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:6:d:10.1007_s00181-025-02711-6. Full description at Econpapers || Download paper |
| 2025 | The heterogeneous impact of monetary policy announcements on firms’ financial outcomes. (2025). Akarsu, Okan ; Olak, Mehmet Selman ; Torun, Huzeyfe ; Karahan, Hatice. In: Empirical Economics. RePEc:spr:empeco:v:69:y:2025:i:6:d:10.1007_s00181-025-02817-x. Full description at Econpapers || Download paper |
| 2026 | Dynamic spillover effect among Islamic stock indices amidst global financial crises: evidence from QVAR network and frequency connectedness. (2026). Yeboah, Samuel Duku ; Fumey, Michael Provide ; Gatsi, John Gartchie ; Korsah, David ; Adela, Vincent ; Kuffour, Thomas Adjei. In: Future Business Journal. RePEc:spr:futbus:v:12:y:2026:i:1:d:10.1186_s43093-026-00730-y. Full description at Econpapers || Download paper |
| 2025 | Unraveling the Interplay of Knowledge and Innovation in the Global Financial System: A Vine Copula Analysis of Sino-US Financial Risk Contagion. (2025). Cai, Shuhui ; He, Hua ; Zhou, Yan. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:16:y:2025:i:1:d:10.1007_s13132-024-01869-1. Full description at Econpapers || Download paper |
| 2025 | A revised approach to testing for asymmetric intermarket spillover effects. (2025). Mohammad, Suleiman ; Shrydeh, Najib ; Shahateet, Mohammed ; Sumadi, Mohammad. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:13:y:2025:i:1:p:2440440. Full description at Econpapers || Download paper |
| 2025 | The Heterogeneous Impact of Monetary Policy Announcements on Firms’ Financial Outcomes. (2025). Torun, Huzeyfe ; Karahan, Hatice ; Colak, Mehmet Selman ; Akarsu, Okan. In: Working Papers. RePEc:tcb:wpaper:2514. Full description at Econpapers || Download paper |
Works by Marcello Pericoli:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2001 | Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test In: Center Discussion Papers. [Full Text][Citation analysis] | paper | 66 |
| 2001 | Correlation Analysis of Financial Contagion: What One Should Know before Running a Test.(2001) In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
| 2001 | Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test.(2001) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
| 2019 | An assessment of recent trends in market-based expected iflation in the euro area In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 1 |
| 2022 | Sovereign spreads and economic fundamentals: an econometric analysis In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 3 |
| 2024 | ESG risks and corporate viability: insights from default probability term structure analysis In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 3 |
| 2026 | ESG risks and corporate viability: Insights from default probability term structure analysis.(2026) In: International Review of Financial Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2025 | Issuing European safe assets: how to get the most out of Eurobonds? In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 0 |
| 2014 | Fiscal Policy and Macroeconomic Imbalances In: Workshop and Conferences. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Forecaster heterogeneity, surprises and financial markets In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 8 |
| 2015 | Decomposing euro area sovereign spreads: credit, liquidity and convenience In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 5 |
| 2015 | Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 10 |
| 2017 | Monetary policy surprises over time In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 7 |
| 2018 | Monetary Policy Surprises over Time.(2018) In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2018 | Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 3 |
| 2022 | Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models*.(2022) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2018 | Macroeconomics determinants of the correlation between stocks and bonds In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 5 |
| 2022 | An analysis of objective inflation expectations and inflation risk premia In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 6 |
| 1999 | The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 26 |
| 2002 | The impact of news on the exchange rate of the lira and long-term interest rates.(2002) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
| 2000 | Stock Values and Fundamentals; Link or Irrationality? In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 1 |
| 2000 | Stock Values and Fundamentals: Link or Irrationality?..(2000) In: Banca Italia - Servizio di Studi. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2001 | A Primer on Financial Contagion In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 386 |
| 2003 | A Primer on Financial Contagion.(2003) In: Journal of Economic Surveys. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 386 | article | |
| 2005 | Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 2 |
| 2006 | Canonical term-structure models with observable factors and the dynamics of bond risk premiums In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 30 |
| 2008 | Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia.(2008) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
| 2006 | The CAPM and the risk appetite index; theoretical differences and empirical similarities In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 3 |
| 2009 | Bond risk premia, macroeconomic fundamentals and the exchange rate In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 18 |
| 2012 | Bond risk premia, macroeconomic fundamentals and the exchange rate.(2012) In: International Review of Economics & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2008 | Bond risk premia, macroeconomic fundamentals and the exchange rate.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2012 | Real term structure and inflation compensation in the euro area In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 6 |
| 2014 | Real Term Structure and Inflation Compensation in the Euro Area.(2014) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2012 | Expected inflation and inflation risk premium in the euro area and in the United States In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 2 |
| 2013 | Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 135 |
| 2013 | Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis.(2013) In: International Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 135 | article | |
| 2013 | Macroeconomic and monetary policy surprises and the term structure of interest rates In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 0 |
| 2009 | Capital Asset Pricing Model and the Risk Appetite Index: Theoretical Differences, Empirical Similarities and Implementation Problems In: International Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | On risk factors of the stock–bond correlation In: International Finance. [Full Text][Citation analysis] | article | 0 |
| 2002 | Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 459 |
| 2005 | Some contagion, some interdependence: More pitfalls in tests of financial contagion.(2005) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 459 | article | |
| 2024 | Shocks and global asset market connectedness In: Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2007 | A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1992 | Single Market Emu and Widening. Responses to Three Institutional Shocks in the European Community In: Department of Economics Working Papers. [Citation analysis] | paper | 0 |
| 2008 | Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 25 |
| 2008 | Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia.(2008) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 25 | article |
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