The increasing use of internal market models for market risk assessment and management promotes, in compliance with Basel II, better risk management practices but introduces at the same time the so called model risk. In the light of the many open issues connected to market risk, the aim of this...

English Abstract: They can be seen as the sum of a bond and an option (derivative component). The work explores some of the issues for the evaluation of the theoretical value (or fair value) of this type of bonds, providing an order of magnitude of the difference between the issue price (gross...

English abstract: This paper investigates how Covid mobility restrictions impacted the population of investors of the Italian stock market.The research is the result of a collaboration between Consob and the Scuola Normale Superiore di Pisa. The analysis tracks the trading activity of individual...

Il lavoro propone un’analisi comparata dell’andamento dei principali aggregati macroeconomici, reali e creditizi, nonché delle reazioni della politica monetaria in occasione delle più gravi recessioni attraversate dall’economia italiana. L’indagine, di tipo descrittivo, si concentra...

We study monetary policy in a New Keynesian (NK) model with endogenous growth and knowledge spillovers external to each firm. We find the following results: (i) technology and government spending shocks have different effects on growth; (ii) disinflationary monetary policies entail positive...

This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component technique is first used to summarize the...

This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component analysis is first used to summarize the...

The economic collapse of 2007-10 is described as a debt deflation crisis triggered by a speculative bubble. The basic causes are traced back to the policy choices of the great capitalist powers governing globalization. Market liberalization and the TRIPS agreements work as a sort of global...

This paper proposes a comparative analysis of the main macroeconomic aggregates (both real and credit aggregates), and the monetary policy response during the most severe recessions experienced by the Italian economy. This descriptive study focuses mainly on the last forty years, a period for...

This paper aims to construct a high-frequency coincident indicator of economic activity for Lombardy and for the provinces of Milan and Pavia, by using the dynamic factor model approach introduced by Stock e Watson (1998a e 1998b). The principal component analysis is first used to summarize the...