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  1. Modeling turning points in global equity market
    Autor*in: Ahelegbey, Daniel Felix; Billio, Monica; Casarin, Roberto
    Erschienen: [2020]
    Verlag:  Università di Pavia, Department of Economics and Management, Pavia

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    Schriftenreihe: DEM working paper series ; # 195 (11-20)
    Umfang: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  2. Inside the ESG ratings
    (dis)agreement and performance
    Autor*in: Billio, Monica; Costola, Michele; Hristova, Iva; Latino, Carmelo; Pelizzon, Loriana
    Erschienen: [2020]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards in defining E, S and G components. We provide evidence that... mehr

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    We analyze the ESG rating criteria used by prominent agencies and show that there is a lack of a commonality in the definition of ESG (i) characteristics, (ii) attributes and (iii) standards in defining E, S and G components. We provide evidence that heterogeneity in rating criteria can lead agencies to have opposite opinions on the same evaluated companies and that agreement across those providers is substantially low. Those alternative definitions of ESG also a↵ect sustainable investments leading to the identification of di↵erent investment universes and consequently to the creation of di↵erent benchmarks. This implies that in the asset management industry it is extremely dicult to measure the ability of a fund manager if financial performances are strongly conditioned by the chosen ESG benchmark. Finally, we find that the disagreement in the scores provided by the rating agencies disperses the e↵ect of preferences of ESG investors on asset prices, to the point that even when there is agreement, it has no impact on financial performances.

     
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    Schriftenreihe: SAFE working paper ; no. 284
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  3. Global realignment in financial market dynamics
    evidence from ETF networks
    Autor*in: Billio, Monica; Lo, Andrew W.; Pelizzon, Loriana; Getmansky, Mila; Zareei, Abalfazl
    Erschienen: [2021]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using minute-by-minute data from 2012... mehr

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    The centrality of the United States in the global financial system is taken for granted, but its response to recent political and epidemiological events has suggested that China now holds a comparable position. Using minute-by-minute data from 2012 to 2020 on the financial performance of twelve country-specific exchange-traded funds, we construct daily snapshots of the global financial network and analyze them for the centrality and connectedness of each country in our sample. We find evidence that the U.S. was central to the global financial system into 2018, but that the U.S.-China trade war of 2018-2019 diminished its centrality, and the Covid-19 outbreak of 2019-2020 increased the centrality of China. These indicators may be the first signals that the global financial system is moving from a unipolar to a bipolar world.

     
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    hdl: 10419/229432
    Schriftenreihe: SAFE working paper ; no. 304
    Schlagworte: Network theory; Centrality; High Frequency Data; ETFs; Financial Crises; Covid-19; International Finance
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  4. The impact of climate on economic and financial cycles
    a Markov-switching panel approach
    Autor*in: Billio, Monica; Casarin, Roberto; De Cian, Enrica; Mistry, Malcolm; Osuntuyi, Anthony
    Erschienen: [2021]
    Verlag:  Department of Economics, Ca’ Foscari University of Venice, Venice Italy

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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2021, no. 03
    Schlagworte: Bayesian inference; climate shocks; financial cycle; business cycle; Markov-switching; Multi-country Panel
    Umfang: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  5. COVID-19 spreading in financial networks
    a semiparametric matrix regression model
    Autor*in: Billio, Monica; Casarin, Roberto; Costola, Michele; Iacopini, Matteo
    Erschienen: [2021]
    Verlag:  Department of Economics, Ca’ Foscari University of Venice, Venice Italy

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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2021, no. 05
    Schlagworte: Multilayer networks; financial markets; COVID-19
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  6. Buildings' energy efficiency and the probability of mortgage default
    the Dutch case
    Autor*in: Billio, Monica; Costola, Michele; Pelizzon, Loriana; Riedel, Max
    Erschienen: [2019]
    Verlag:  SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    In this paper, we investigate the relation between buildings' energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional building... mehr

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    In this paper, we investigate the relation between buildings' energy efficiency and the probability of mortgage default. To this end, we construct a novel panel dataset by combining Dutch loan-level mortgage information with provisional building energy ratings that are calculated by the Netherlands Enterprise Agency. By employing the Logistic regression and the extended Cox model, we find that buildings' energy efficiency is associated with lower likelihood of mortgage default. The results hold for a battery of robustness checks. Additional findings indicate that credit risk varies with the degree of energy efficiency.

     
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    Auflage/Ausgabe: This draft: October 14, 2019
    Schriftenreihe: SAFE working paper ; no. 261
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  7. Credit scoring in SME asset-backed securities
    an Italian case study
    Autor*in: Bedin, Andrea; Billio, Monica; Costola, Michele; Pelizzon, Loriana
    Erschienen: [2019]
    Verlag:  SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information provided by the European... mehr

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    We investigate the default probability, recovery rates and loss distribution of a portfolio of securitised loans granted to Italian small and medium enterprises (SMEs). To this end, we use loan level data information provided by the European DataWarehouse platform and employ a logistic regression to estimate the company default probability. We include loan-level default probabilities and recovery rates to estimate the loss distribution of the underlying assets. We find that bank securitised loans are less risky, compared to the average bank lending to small and medium enterprises.

     
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    hdl: 10419/204824
    Schriftenreihe: SAFE working paper ; no. 262
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  8. Markov switching panel with endogenous synchronization effects
    Autor*in: Agudze, Komla M.; Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco
    Erschienen: [2021]
    Verlag:  unibz, Faculty of Economics and Management, [Bozen]

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    Schriftenreihe: BEMPS ; no 82 (2021)
    Schlagworte: Bayesian inference; interacting Markov chains; multi-layer networks; panel Markov-switching
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  9. Sustainable finance
    a journey toward ESG and climate risk
    Autor*in: Billio, Monica; Costola, Michele; Hristova, Iva; Latino, Carmelo; Pelizzon, Loriana
    Erschienen: 2022
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    The present paper proposes an overview of the existing literature covering several aspects related to environmental, social, and governance (ESG) factors. Specifically, we consider studies describing and evaluating ESG methodologies and those... mehr

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    The present paper proposes an overview of the existing literature covering several aspects related to environmental, social, and governance (ESG) factors. Specifically, we consider studies describing and evaluating ESG methodologies and those studying the impact of ESG on credit risk, debt and equity costs, or sovereign bonds. We further expand the topic of ESG research by including the strand of the literature focusing on the impact of climate change on financial stability, thus allowing us to also consider the most recent research on the impact of climate change on portfolio management.

     
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    hdl: 10419/253382
    Schriftenreihe: SAFE working paper ; no. 349 (April 2022)
    Schlagworte: Environmental; social; and governance factors (ESG); credit risk; debt cost; equity cost; sovereign bonds; portfolio management
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  10. Creditworthiness and buildings' energy efficiency in the Italian mortgage market
    Autor*in: Billio, Monica; Costola, Michele; Pelizzon, Loriana; Riedel, Max
    Erschienen: [2022]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    Energy efficiency represents one of the key planned actions aiming at reducing greenhouse emissions and the consumption of fossil fuel to mitigate the impact of climate change. In this paper, we investigate the relationship between energy efficiency... mehr

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    Energy efficiency represents one of the key planned actions aiming at reducing greenhouse emissions and the consumption of fossil fuel to mitigate the impact of climate change. In this paper, we investigate the relationship between energy efficiency and the borrower's solvency risk in the Italian market. Specifically, we analyze a residential mortgage portfolio of four financial institutions which includes about 70,000 loans matched with the energy performance certificate of the associated buildings. Our findings show that there is a negative relationship between a building's energy efficiency and the owner's probability of default. Findings survive after we account for dwelling, household, mortgage, market control variables, and regional and year fixed effect. Additionally, a ROC analysis shows that there is an improvement in the estimation of the mortgage default probability when the energy efficiency characteristic is included as a risk predictor in the model.

     
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    hdl: 10419/261328
    Schriftenreihe: SAFE working paper ; no. 352 (June 2022)
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  11. Buildings' energy efficiency and the probability of mortgage default
    the Dutch case
    Autor*in: Billio, Monica; Costola, Michele; Pelizzon, Loriana; Riedel, Max
    Erschienen: [2020]
    Verlag:  Department of Economics, Ca’ Foscari University of Venice, Venice Italy

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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2020, no. 06
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  12. Inside the ESG ratings
    (dis)agreement and performance
    Autor*in: Billio, Monica; Costola, Michele; Hristova, Iva; Latino, Carmelo; Pelizzon, Loriana
    Erschienen: [2020]
    Verlag:  Department of Economics, Ca’ Foscari University of Venice, Venice Italy

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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2020, no. 17
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  13. Networks in risk spillovers
    a multivariate GARCH perspective
    Autor*in: Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo; Pelizzon, Loriana
    Erschienen: [2020]
    Verlag:  Department of Economics, Ca’ Foscari University of Venice, Venice Italy

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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2020, no. 16
    Umfang: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  14. The importance of compound risk in the nexus of COVID-19, climate change and finance
    Autor*in: Monasterolo, Irene; Billio, Monica; Battiston, Stefano
    Erschienen: [2020]
    Verlag:  Department of Economics, Ca’ Foscari University of Venice, Venice Italy

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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2020, no. 15
    Umfang: 1 Online-Ressource (circa 8 Seiten), Illustrationen
  15. Learning from experts
    energy efficiency in residential buildings
    Autor*in: Billio, Monica; Casarin, Roberto; Costola, Michele; Veggente, Veronica
    Erschienen: [2023]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    Measuring and reducing energy consumption constitutes a crucial concern in public policies aimed at mitigating global warming. The real estate sector faces the challenge of enhancing building efficiency, where insights from experts play a pivotal... mehr

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    Measuring and reducing energy consumption constitutes a crucial concern in public policies aimed at mitigating global warming. The real estate sector faces the challenge of enhancing building efficiency, where insights from experts play a pivotal role in the evaluation process. This research employs a machine learning approach to analyze expert opinions, seeking to extract the key determinants influencing potential residential building efficiency and establishing an efficient prediction framework. The study leverages open Energy Performance Certificate databases from two countries with distinct latitudes, namely the UK and Italy, to investigate whether enhancing energy efficiency necessitates different intervention approaches. The findings reveal the existence of non-linear relationships between efficiency and building characteristics, which cannot be captured by conventional linear modeling frameworks. By offering insights into the determinants of residential building efficiency, this study provides guidance to policymakers and stakeholders in formulating effective and sustainable strategies for energy efficiency improvement.

     
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    hdl: 10419/279413
    Schriftenreihe: SAFE working paper ; no. 403 (October 2023)
    Schlagworte: Energy efficiency; Energy Performance Certificate; Machine learning; Tree-based models; big data
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  16. Unpacking the ESG ratings
    does one size fit all?
    Autor*in: Billio, Monica; Fitzpatrick, Aoife Claire; Latino, Carmelo; Pelizzon, Loriana
    Erschienen: [2024]
    Verlag:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, [Frankfurt am Main]

    In this study, we unpack the ESG ratings of four prominent agencies in Europe and find that (i) each single E, S, G pillar explains the overall ESG score differently, (ii) there is a low co-movement between the three E, S, G pillars and (iii) there... mehr

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    In this study, we unpack the ESG ratings of four prominent agencies in Europe and find that (i) each single E, S, G pillar explains the overall ESG score differently, (ii) there is a low co-movement between the three E, S, G pillars and (iii) there are specific ESG Key Performance Indicators (KPIs) that are driving these ratings more than others. We argue that such discrepancies might mislead firms about their actual ESG status, potentially leading to cherry-picking areas for improvement, thus raising questions about the accuracy and effectiveness of ESG evaluations in both explaining sustainability and driving capital toward sustainable companies.

     
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    hdl: 10419/284398
    Schriftenreihe: SAFE working paper ; no. 415 (February 2024)
    Schlagworte: ESG Investing; ESG ratings; Asset Allocation; Portfolio Management; Sustainable Finance
    Umfang: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  17. Networks in risk spillovers
    a multivariate GARCH perspective
    Autor*in: Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo; Pelizzon, Loriana
    Erschienen: [2018]
    Verlag:  SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity and identification of the... mehr

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    We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity and identification of the model, and analyze consistency and asymptotic normality of the quasi-maximum-likelihood estimator. We show how to isolate risk channels and we discuss how to compute target exposure able to reduce system variance. An empirical analysis on Euro-area cross-country holdings shows that Italy and Ireland are key players in spreading risk, France and Portugal are the major risk receivers, and we uncover Spain's non-trivial role as risk middleman.

     
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    hdl: 10419/181755
    Schriftenreihe: SAFE working paper ; no. 225
    Umfang: 1 Online-Ressource (circa 86 Seiten), Illustrationen
  18. Modeling systemic risk with Markov switching graphical SUR models
    Autor*in: Bianchi, Daniele; Billio, Monica; Casarin, Roberto; Guidolin, Massimo
    Erschienen: [2018]
    Verlag:  IGIER, Università Bocconi, Milano, Italy

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    Auflage/Ausgabe: This version: July, 2018
    Schriftenreihe: Working paper series / IGIER ; n. 626
    Schlagworte: Markov Regime-Switching; Weighted Eigenvector Centrality; Graphical Models; MCMC; Systemic Risk; Network Connectivity
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  19. Bayesian Markov switching tensor regression for time-varying networks
    Autor*in: Billio, Monica; Casarin, Roberto; Iacopini, Matteo
    Erschienen: [2018]
    Verlag:  Department of Economics, Ca’ Foscari University of Venice, Venice Italy

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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2018, no. 14
    Schlagworte: Tensor calculus; tensor decomposition; latent variables; Bayesian statistics; hierarchical prior; networks; zero-inflated model; time series; financial networks
    Umfang: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  20. Bayesian dynamic tensor regression
    Autor*in: Billio, Monica; Casarin, Roberto; Kaufmann, Sylvia; Iacopini, Matteo
    Erschienen: [2018]
    Verlag:  Department of Economics, Ca’ Foscari University of Venice, Venice Italy

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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2018, no. 13
    Schlagworte: Tensor calculus; tensor decomposition; Bayesian statistics; hierarchical prior; networks; autoregessive model; time series; international trade
    Umfang: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  21. Markov switching panel with network interaction effects
    Autor*in: Agudze, Komula Mawulom; Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco
    Erschienen: 2018
    Verlag:  Centre for Applied Macro- and Petroleum Economics, Oslo

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 321 (2018,1)
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 11250/2477643
    Schriftenreihe: CAMP working paper series ; no. 2018, 1
    Schlagworte: Markov-Kette; Bayes-Statistik; Zeitreihenanalyse; Dynamische Ökonometrie
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  22. Dynamical interaction between financial and business cycles
    Autor*in: Billio, Monica; Petronevich, Anna
    Erschienen: October 15, 2017
    Verlag:  Department of Economics, Ca’ Foscari University of Venice, Venice Italy

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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2017, no. 24
    Schlagworte: Business Cycle; Financial Cycle; Granger causality; Regime-switching models; Dynamic Factor Models; Dynamical interaction
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  23. Dynamic risk exposure in hedge funds
    Autor*in: Billio, Monica; Getmansky, Mila; Pelizzon, Loriana
    Erschienen: 2007
    Verlag:  Univ. degli Studi, Dip. di Scienze Economiche, Venezia

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2007,17
    Umfang: Online-Ressource
  24. Market linkages, variance spillovers and correlation stability
    empirical evidence of financial contagion
    Autor*in: Billio, Monica; Caporin, Massimiliano
    Erschienen: 2007
    Verlag:  Univ. degli Studi, Dip. di Scienze Economiche, Venezia

    We propose a simultaneous equation system with GARCH errors to model the contemporaneous relations among Asian and American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a correlation... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    We propose a simultaneous equation system with GARCH errors to model the contemporaneous relations among Asian and American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a correlation matrix distance, which allows both a graphical analysis and the development of a statistical test of correlation movements. Furthermore, we introduce a methodology that can be used for identifying turmoil periods on a data-driven basis. We employ the previous results in the analysis of the contagion issue between Asian and American stock markets. Our results shows some evidence of contagion and the proposed statistics identifies, on a data-driven basis, turmoil periods consistent with the ones currently assumed in the literature

     
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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2007,18
    University Ca' Foscari of Venice, Dept. of Economics Research Paper Series ; No. 18-07
    Umfang: Online-Ressource
  25. Dating EU15 monthly business cycle jointly using GDP and IPI
    Autor*in: Billio, Monica; Caporin, Massimiliano; Cazzavillan, Guido
    Erschienen: 2007
    Verlag:  Univ. degli Studi, Dip. di Scienze Economiche, Venezia

    This paper aims at the production of a chronology for the EU15 business cycle by comparing parametric and non-parametric procedures on monthly and quarterly data as well in a combined approach. The main innovation is the joint use of the monthly... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    This paper aims at the production of a chronology for the EU15 business cycle by comparing parametric and non-parametric procedures on monthly and quarterly data as well in a combined approach. The main innovation is the joint use of the monthly series for the EU15 Gross Domestic Product (GDP) and the EU15 Industrial Production Index (IPI) from 1970 to 2003. The monthly IPI and the quarterly GDP at the EU15 level have been reconstructed starting from the available national series. The monthly GDP has then been computed using temporal disaggregation techniques. The obtained chronology is directly comparable to ones produced by several authors for the euro area

     
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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2007,19
    University Ca' Foscari of Venice, Dept. of Economics Research Paper Series ; No. 19-07
    Umfang: Online-Ressource