Marco Tronzano
Biographic Data
| ID | 5929423 |
|---|---|
| NAME | Marco Tronzano |
| GIVEN NAMES | Marco |
| FAMILY NAME | Tronzano |
| SIGNATURE | TRONZANO M |
| AFFILIATIONS | University of Genoa |
| ORCID | 0000-0003-4535-1149 |
| VERIFIED | Yes |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 1 |
| AUTHOR COUNT | 4 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2001 |
| LATEST PUBLICATION YEAR | 2018 |
| H-INDEX | 1 |
A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
This article develops a new Markov-switching vector autoregressive (VAR) model with stochastic correlation for contagion analysis on financial markets. The correlation and the log-volatility dynamics are driven by two independent Markov chains, thus allowing for different effects such as volatility spill-overs and correlation shifts with various degrees of intensity. We outline a suitable Bayesian inference procedure based on Markov chain Monte C…
Optimal Real Exchange Rate Targeting
Cet article contribue à la littérature sur le taux de change réel dans un cadre d’optimisation stochastique où ce taux montre un retour à la moyenne de longue période tout en temporairement reflétant un « effet de liquidité ». Dans un cadre de volatilité variable au cours du temps, nous trouvons deux seuils, respectivement pour la volatilité de longue période et la réaction de la volatilité aux chocs de taux de change réel, au-delà desquels une r…
Is a Monetary Union a Never-Ending Story
Cet article prolonge la littérature existante sur la soutenabilité à long terme d’une union monétaire en considérant qu’il existe un moment où sa rupture devient optimale. Nous supposons que l’inflation est endogène, la croissance de la masse monétaire constituant la variable de contrôle. On montre que l’union est viable à long terme lorsque certains paramètres du modèle satisfont à une condition précise. Par ailleurs, la rupture éventuelle de l’…
Macroeconomic Fundamentals and Exchange Rate Credibility. Further Evidence on the Italian Experience from a Regime‐switching Approach
This paper explores the links between exchange rate credibility and macroeconomic fundamentals with reference to the Italian experience during the first half of the 90’s. The analysis relies on a nonlinear framework emphasizing shifts between credible and not credible states, and assuming a significant degree of persistence in the above regimes. We detect a significant influence of a cumulative loss in external competitiveness and of real output …
Macroeconomic Fundamentals and Exchange Rate Credibility. Further Evidence on the Italian Experience from a Regime‐switching Approach
This paper explores the links between exchange rate credibility and macroeconomic fundamentals with reference to the Italian experience during the first half of the 90’s. The analysis relies on a nonlinear framework emphasizing shifts between credible and not credible states, and assuming a significant degree of persistence in the above regimes. We detect a significant influence of a cumulative loss in external competitiveness and of real output …
Macroeconomic Fundamentals and Exchange Rate Credibility. Further Evidence on the Italian Experience from a Regime‐switching Approach
This paper explores the links between exchange rate credibility and macroeconomic fundamentals with reference to the Italian experience during the first half of the 90’s. The analysis relies on a nonlinear framework emphasizing shifts between credible and not credible states, and assuming a significant degree of persistence in the above regimes. We detect a significant influence of a cumulative loss in external competitiveness and of real output …
Is a Monetary Union a Never-Ending Story
Cet article prolonge la littérature existante sur la soutenabilité à long terme d’une union monétaire en considérant qu’il existe un moment où sa rupture devient optimale. Nous supposons que l’inflation est endogène, la croissance de la masse monétaire constituant la variable de contrôle. On montre que l’union est viable à long terme lorsque certains paramètres du modèle satisfont à une condition précise. Par ailleurs, la rupture éventuelle de l’…
Optimal Real Exchange Rate Targeting
Cet article contribue à la littérature sur le taux de change réel dans un cadre d’optimisation stochastique où ce taux montre un retour à la moyenne de longue période tout en temporairement reflétant un « effet de liquidité ». Dans un cadre de volatilité variable au cours du temps, nous trouvons deux seuils, respectivement pour la volatilité de longue période et la réaction de la volatilité aux chocs de taux de change réel, au-delà desquels une r…
A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
This article develops a new Markov-switching vector autoregressive (VAR) model with stochastic correlation for contagion analysis on financial markets. The correlation and the log-volatility dynamics are driven by two independent Markov chains, thus allowing for different effects such as volatility spill-overs and correlation shifts with various degrees of intensity. We outline a suitable Bayesian inference procedure based on Markov chain Monte C…
Monetary Policy and Economic Impact (3 works) · Economic theories and models (2 works) · Economics (2 works) · Autoregressive conditional heteroskedasticity (1 work) · Autoregressive model (1 work) · Bayesian inference (1 work) · Bayesian probability (1 work) · Computer Science (1 work) · Credibility (1 work) · Devaluation (1 work)