Marcello Pericoli

>> 1997 - today: senior economist at Banca d'Italia, Rome Italy. >> 2002-2003: visiting fellow Bendhein Center for Finance, Princeton University, NJ USA. >> 1996-1997: market economist San Paolo Bank, London UK. >>>>>>>>>>>>>>>> last publications >>>>>>>>>>>>>>>>>>>>>>> >> Pericoli M., Sbracia M., 2009, “The CAPM and the Risk Appetite Index: Theoretical Differences, Empirical Similarities, and Implementation Problems,” International Finance, forthcoming. >> Pericoli M., Taboga M., 2008, “Canonical term-structure models with observable factors and the dynamics of bond risk premia,” Journal of Money, Credit and Banking, Vol. 40, 7, 1471-1488. >> Corsetti G., Pericoli M., Sbracia M., 2005, "Some contagion, some interdependence: more pitfalls in tests of financial contagion,” Journal of International Money and Finance, 24, 1177-1199. >> Pericoli M., Sbracia M., 2003, "A primer on financial contagion,” Journal of Economic Surveys, Vol. 17, 4, September, pp.571-608.

Term structure models, asset pricing, contagion