"Non-linear pricing in the Italian market of bank accounts: market power or insurance?"

"Asset prices in an ambiguous economy" abstract We price assets with ambiguous returns in a Lucas’ tree economy under general ambiguity sensitive inter-temporal utility. We provide intuitive conditions to guarantee existence and to characterize equilibria. Although we relax ambiguity aversion,portfolio inertia and excess volatility may obtain at the equilibrium, extending the results of Epstein and…

"Portfolio Optimization under Model Uncertainty" abstract This study proposes a novel methodology to deal with model uncertainty in forecasting stock returns. My main interest here is to overcome thetendency of Bayesian Model Averaging to give all of the weight to a single model. A potential solution of this problem is to capture thenature of the underlying data…

"Group Affiliation, Implicit Guarantees and the Cost of Borrowing" abstract This paper investigates the effect of group affiliation on credit spreads of firm’s public debt. We analyse all the firms issuing publicdebt on the US Primary and Secondary market from 1980 until 2006, by comparing business groups and independent firms new issuances. Theresults show that controlled firms…

"Labor Relations, Endogenous Dividends and the Equilibrium Term Structure of Equity" abstract Leading asset pricing models are inconsistent with the recent empirical findings which document downward sloping term structures of equity risk and premia. This paper shows that a simple general equilibrium model can accommodate the stylized facts about dividend strips as long as dividend distributions endogenously obtain…

"Labor and Finance: Mortensen and Pissarides meet Holmstrom and Tirole" abstract In real life labor markets firms hold at all times a variety of liquid assets not invested in their core business. Such external use of funds acts as an insurance against future adverse financial shocks, and typically varies across firms and sectors. As a…

"Seven ways to knit your portfolio: can familiarity explain the gender gap in finance?" abstract We investigate whether the gender gap in measured financial literacy, risk attitudes and portfolio choice may be affected by a gender gap in familiarity with the language and product supply in the life cycle saving and investing industry. Familiarity is…

"Optimal monetary policy with counter-cyclical credit spreads" Abstract We study the consequences for monetary policy design of including deep habits in credit markets into the benchmark New-Keynesian DSGE model. Under deep habits, monopolistically competitive banks set lending rates in a forward-looking fashion: they internalize the fact that, due to habits in banking (which are meant…