Gabriele Zinna - Economist

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). Gabriele has also been a visiting scholar at the International Monetary Fund, Warwick Business School, Manchester Business School, Einaudi Institute for Economics and Finance, De Nederlandsche Bank, Amsterdam Business School, and Tilburg University. He holds a PhD in Finance from the University of Tor Vergata in Rome.

Fields of Specialization

Empirical Asset Pricing (primary), International Finance, Credit Risk and Institutional Investors

Working Papers

Skewness Risk Premia and the Cross-Section of Currency Returns, 2023, with Junye Li and Lucio Sarno.

Publications

Risks and Risk Premia in the US Treasury Market, 2023, Journal of Economic Dynamics and Control , forthcoming , with Junye Li and Lucio Sarno.

Currency Risk Premiums Redux, 2023, Review of Financial Studies , forthcoming , with Federico Nucera and Lucio Sarno.

Risky Bank Guarantees, 2020, Journal of Financial Economics , Volume 136, Issue 2, Pages 490-522, with Taneli Mäkinen and Lucio Sarno.

Official Demand for U.S. Debt: Implications for U.S. Real Rates, 2019, Journal of Money, Credit, and Banking , Volume 52, Issue 2-3, Pages 323-364, with Iryna Kaminska.

How Much of Bank Credit Risk is Sovereign Risk? Evidence from Europe, 2018, Journal of Money, Credit, and Banking , Volume 50, Issue 6, Pages 1225-1269, with Junye Li.

The Variance Risk Premium: Components, Term Structures and Stock Return Predictability, 2018, Journal of Business & Economic Statistics , Volume 36, Issue 3, Pages 411-425, with Junye Li.

The Market for Lemmings: The Herding Behavior of Pension Funds, 2017, Journal of Financial Markets , Volume 36, Pages 17-39, with David Blake and Lucio Sarno;

Covered in Retirement Fund Managers Behave Like Lemmings, by Chris Flood, FT.com

Covered in Investor Herding Instict, FT Adviser

Price Pressures on UK Real Rates: An Empirical Investigation, 2016, Review of Finance, Volume 20, Issue 4, Pages 1587-1630.

The Scapegoat Theory of Exchange Rates: The First Tests, 2015, Journal of Monetary Economics, Volume 70, Pages 1–21, with Marcel Fratzscher, Dagfinn Rime and Lucio Sarno.

On Bank Credit Risk: Sytemic or Bank-specific? Evidence from the US and UK, 2014, Journal of Financial and Quantitative Analysis, 49, 1403-1442, with Junye Li.

Identifying Risks in Emerging Market Sovereign and Corporate Bond Spreads, Emerging Market Review, Volume 20, September 2014, Pages 1-22.

Sovereign Default Risk Premia: Evidence from the Credit Default Swap Market, Journal of Empirical Finance, Volume 21, March 2013, Pages 15-35.

Book Chapters and Policy Papers

The Effectiveness of the ECB’s Asset Purchases at the Lower Bound, 2019, Bank of Italy Occasional Papers , No. 541, with Giuseppe Grande and Adriana Grasso.

China's Changing Growth Pattern, 2011, Bank of England Quarterly Bulletin , No. 2011 Q1, with Ed Dew, Jeremy Martin and Julia Giese.

A Rating-Based Approach to Pricing Sovereign Credit Risk, in Carsten S. Wehn, Christian Hope and Greg N. Gregoriou, Rethinking (eds.), Valuation and Pricing Models: Lessons Learned from the Crises and Future Challanges, Elsevier, 2012, with Marco Rossi.

Unpublished Manuscripts

Financial Intermediaries and Bond Risk Premia, 2013, Bank of England mimeo, with Rodrigo Guimaraes

Preferred-habitat Investors and the US Term Structure of Real Rates , London School of Economics, mimeo, 2011, with Iryna Kaminska and Dimitri Vayanos