Research
Working Papers
Crypto Risk Premia
with Daniele Massacci, Mirco Rubin and Dario Ruzzi, July 2022 [pdf]
Media coverage: Risk.net, August 5 2022 |
Media coverage: Financial Times, May 13 2022 | Financial Times, May 22 2022 | Pour l'Eco, June-July 2022 | Chainlink Research Report, June 2022 | Investor's Chronicle, September 8 2022
Redistributive Taxation with Skill Biased Technologies
Crypto Premium: Higher-Order Moments and Tail Risk
Cryptomarket Discounts
Limited participation and local currency sovereign debt
Sovereign Risk Premia (Revise and Resubmit RFS)
2010 WRDS Best Paper Award (EFMA Conference)
ABI Country Risk Forum Best Paper Award 2010 (IRMC Conference)
Published Papers
The Cross-Section of Cryptocurrency Returns
With Kirill Shakhnov, [pdf+online appendix], Review of Asset Pricing Studies (forthcoming)
Breakup and Default Risks in the Great Lockdown
With Giovanni Bonaccolto and Andrea Consiglio, Journal of Banking & Finance (2021) [pdf+online appendix] [published version]
The Great Lockdown: Inactive Workers and Mortality by Covid-19
With Francesco Drago, Chiara Santantonio, and Francesco Sobbrio, Health Economics (2021) [published version] [pdf]
[also available as CEPR DP15317][VoxEu column on our paper]
Global Risk in Long-Term Sovereign Debt
With Kirill Shakhnov, Review of Asset Pricing Studies (2021) [pdf+online appendix] [published version] [slides] [video]
Systemic Risk and the COVID Challenge in the European Banking Sector
with Giorgio di Giorgio, Journal of Banking & Finance, (2021) [pdf] [published version]
Optimal Taxation with Homeownership and Wealth Inequality
With Pietro Reichlin, Review of Economic Dynamics, Vol. 40, April 2021, pp. 64-84 [pdf] [published version]
Regulation Spillovers across Cryptocurrency Markets
With Kirill Shakhnov, Finance Research Letters, October 2020 [pdf][Media Coverage: Mondato]
Financial Intermediaries' Asset-Liability Dependency and Low-Interest Rate Environment: Evidence from EU Life Insurers
With Rosaria Cerrone, Rosa Cocozza and Domenico Curcio, Journal of Financial Management, Markets and Institutions, Vol. 7, No. 1, 2019
Conditional Tail-Risk in Cryptocurrency Markets
Journal of Empirical Finance (Lead Article), Vol. 50, January 2019 [published version][pdf][BibTeX]
Redenomination-Risk Spillovers in the Eurozone
Economic Letters, Vol. 174, January 2019 [pdf] [policy version for lavoce.info in Italian]
Life Insurers' Asset-Liability Dependency and Low Interest-Rate Environment
With Rosaria Cerrone, Rosa Cocozza and Domenico Curcio, in M. Corazza, M. Durban, A. Grane', C. Perna and M. Sibillo, eds. Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, 2018
The Housing Cost Disease
With Pietro Reichlin, Journal of Economic Dynamics and Controls, Vol. 87, February 2018 [pdf][BibTeX]
[CEPR WP DP10756 version][Voxeu column based on this paper (September 8, 2015)]
Local Currency Systemic Risk
Emerging Markets Review, Vol. 34, 2018 [pdf][BibTeX]
https://doi.org/10.1016/j.ememar.2017.11.003
The Performance of Market-Timing Strategies of Italian Mutual Funds Investors
With Alberto Cagnazzo, Economics Notes, Vol. 47: No.1, pp 5-20, 2018 [pdf]
[featured on TheStreet.com 6/22/2015, "Why Chasing Stock Returns Could Cost You $1.9 Million"]
Sensitivity, Moment Conditions, and the Risk-Free Rate in Yogo (2006)
with Giuseppe Ragusa, Critical Finance Review, Vol. 6: No. 2, pp 381-393, 2017 [pdf][replication files]
Systemic Risk in the Italian Banking Industry
With Marianna Caccavaio, Giorgio di Giorgio and Alberto Sorrentino, Economic Notes, Vol. 43, 1, pp. 21-38, 2014 [link]
Systemic Risk in the European Banking Sector
With Marianna Caccavaio, Giorgio di Giorgio and Alberto Sorrentino, Rapporto Fondazione Rosselli 2012 [link]
I debiti sovrani nell'area euro: implicazioni per la gestione e la distribuzione dei prodotti di risparmio
With Filippo Russo, Rivista Bancaria, 5-6, 2011 [pdf]
Other Papers
Wealth Taxes and Inequality
With Pietro Reichlin, July 2018 [pdf] [slides] [also available as CEPR DP13067]
Closed-End Fund Discounts and Aggregate Risk
With Adrien Verdelhan, July 2009
Japanese Medium Term Cycle
With Diego Comin, 2009
Discussions Slides
The Cryptocurrency Elephant in the Room
By Ran Duchin, David H. Solomon, Jun Tu and Xi Wang (2023)
NBER Behavioral Finance Fall Workshop, November 2023
Barriers to Global Capital Allocation
By Bruno Pellegrino, Enrico Spolaore and Romain Wacziarg
Luiss workshop, June 2022
Bank Risk-Taking and the Real Economy: Evidence from the Housing Boom and its Aftermath
By Antonio Falato, Giovanni Favara, and David Scharfstein
Conference in Honor of Francesco Giavazzi, Bocconi, September 2019