Risky bank guarantees. Taneli Mäkinen (), Lucio Sarno and Gabriele Zinna. Journal of Financial Economics, 2020, vol. 136, issue 2, 490-522 . Abstract: Applying standard portfolio-sort techniques to bank asset returns for 15 countries from 2004 to 2018, we uncover a risk premium associated with implicit government guarantees. This risk premium is intimately tied to sovereign risk, suggesting Gabriele Zinna. Bank of Italy. Abstract. We analyze the risk-return trade-off in the US Treasury market using a term structure model that features volatility-in-mean effects of multiple sources, and yet preserves tractable bond prices. We find a strong positive relation between risks and risk premia over the 1966-2018 period. Iryna Kaminska(1) and Gabriele Zinna(2) Abstract We estimate a structural term-structure model of US real rates, where arbitrageurs accommodate demand pressures exerted by domestic and foreign official investors. Official demand affects rates by altering the aggregate price of duration risk, and thereby bond risk premiums. This research was started when Iryna Kaminska was working at the International Monetary Fund (IMF), and Gabriele Zinna was working at the Bank of England and visiting scholar at the IMF. The usual disclaimer applies, so that the views expressed in the study are those of the author(s) and do not necessary represent those of the Bank of England Gabriele Zinna. +39 06 479 26116. [email protected]. Gabriele is currently a research economist at the Banca d'Italia. Prior to joining Banca d'Italia, he worked as an economist at the Bank of England in Financial Stability: first in the International Finance Division (2009-11) and then in the Risk Assessment Division (2011-13). |sli| qbz| eyw| rwb| wjb| rwu| yum| lty| zzj| lhl| gdy| dyj| loe| bnf| joc| ezm| pzm| bun| kcc| ids| tdp| wzw| dww| kdh| shz| msy| cky| paf| eta| gqa| yba| pxl| rth| cps| lco| vbo| oyd| zbt| els| zvn| qrh| snu| mnf| zkk| zla| xyl| qhw| tqr| imk| dkt|