Marco Taboga

Bank of Italy

Via Nazionale 91

00184 Roma

Italy

SCHOLARLY PAPERS

20

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2,759

SSRN CITATIONS
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Top 1,061

in Total Papers Citations

239

CROSSREF CITATIONS

871

Scholarly Papers (20)

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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
Thomas Faeh, Giuseppe Grande, Corrinne Ho, Michael R. King, Aviram Levy, Fabio Panetta, Federico Maria Signoretti, Marco Taboga and Andrea Zaghini
Bank for International Settlements (BIS), Bank of Italy, Bank for International Settlements, Gustavson School Of Business, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 496 (78,785)
Citation 7

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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 409 (98,936)

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Robustness, portfolio selection, Markowitz, ambiguity, parameter uncertainty

3.

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
Antonio Di Cesare, Giuseppe Grande, Michele Manna and Marco Taboga
Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 279 (149,817)
Citation 55

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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

4.

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 252 (165,955)
Citation 2

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

5.

Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate

Downloads 223 (186,472)
Citation 64

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 126 (302,992)
Citation 59

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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 97 (363,910)
Citation 5

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bond risk premium, exchamge rate, affine model

6.

Portfolio Selection with Monotone Mean-Variance Preferences

Downloads 157 (254,080)
Citation 240

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
Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini and Marco Taboga
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 154 (258,778)
Citation 40

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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
Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini and Marco Taboga
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 (866,489)
Citation 6

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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 123 (307,003)
Citation 56

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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 122 (308,881)
Citation 95

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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 98 (358,745)
Citation 3

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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 89 (381,029)
Citation 20

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

11.

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 78 (411,850)
Citation 24

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zero lower bound, shadow rate term structure model

12.

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 73 (427,309)
Citation 96

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time-varying regression, coefficient instability

13.

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
Michele Lanotte, Giacomo Manzelli, Anna Maria Rinaldi, Marco Taboga and Pietro Tommasino
Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 68 (443,785)
Citation 11

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sovereign risk, prudential regulation, sustainability of public finances

14.

A Composite Indicator of Sovereign Bond Market Liquidity in the Euro Area

Bank of Italy Occasional Paper No. 663
Number of pages: 52 Posted: 24 Jan 2022
Riccardo Poli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 67 (447,252)

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market liquidity, sovereign bonds, market microstructure, Covid-19

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 64 (457,749)
Citation 15

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sovereign spreads, liquidity premia, convenience yields

16.

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 64 (457,749)
Citation 25

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Euribor rates, Euribor survey, Euribor – OIS spread

17.

Non-Bank Financial Intermediation in the Euro Area: Implications for Monetary Policy Transmission and Key Vulnerabilities

ECB Occasional Paper No. 2021/270
Number of pages: 86 Posted: 23 Sep 2021 Last Revised: 19 Jan 2022
Lorenzo Cappiello, Federic Holm-Hadulla, Angela Maddaloni, Laura Arts, Nicolas Meme, Petros Migiakis, Caterina Behrens, Alban Moura, Stefano Corradin, Annalisa Ferrando, Juha Niemelä, Margherita Giuzio, Olivier Pierrard, Lev Ratnovski, Lev Ratnovski, Adam Gulan, Alexandra Schober-Rhomberg, Andreas Hertkorn, Michael Sigmund, Christoph Kaufmann, Lucía Kazarian Avakian, Patricia Stupariu, Kimmo Koskinen, Marco Taboga, Franck Sédillot, Luis Tavares, Jani Matilainen, Emme Van den, Falk Mazelis, Andrea Zaghini and Barra McCarthy
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), De Nederlandsche Bank, Banque de France, Athens University of Economics and Business - Department of Accounting and Finance, European Central Bank (ECB), Banque Centrale du Luxembourg, European Central Bank (ECB), European Central Bank (ECB), Bank of Finland, European Central Bank (ECB), Banque Centrale du Luxembourg, International Monetary FundEuropean Central Bank, Financial Research Division, Bank of Finland - Research, Oesterreichische Nationalbank (OeNB), European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), European Central Bank, European Central Bank (ECB), Banco de España, Bank of Finland, Bank of Italy, Banque de France, Banque de France, European Central Bank (ECB), De Nederlandsche Bank, European Central Bank (ECB), European Central Bank (ECB) and Central Bank of Ireland
Downloads 55 (491,910)

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Asset purchases, Financial markets stress, Low interest rates, Monetary policy transmission, Non-bank intermediation, Risk-taking

18.

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 24 (654,812)
Citation 25

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managers’ compensation, job matching

19.

Nearly Exact Bayesian Estimation of Non-Linear No-Arbitrage Term Structure Models

Bank of Italy Temi di Discussione (Working Paper) No. 1189, September 2018
Number of pages: 50 Posted: 09 Jul 2019
Marcello Pericoli and Marco Taboga
Bank of Italy and Bank of Italy
Downloads 18 (699,265)
Citation 19

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yield curve, shadow rate, deep learning, artificial intelligence

20.

The Equity Premium in the Long-Run

Posted: 22 Jun 2004
Marco Taboga
Bank of Italy

Abstract:

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