M
Mariano Massimiliano Croce
Researcher at Bocconi University
Publications - 58
Citations - 1840
Mariano Massimiliano Croce is an academic researcher from Bocconi University. The author has contributed to research in topics: Capital asset pricing model & Consumption (economics). The author has an hindex of 21, co-authored 58 publications receiving 1656 citations. Previous affiliations of Mariano Massimiliano Croce include National Bureau of Economic Research & University of North Carolina at Chapel Hill.
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Risks For The Long Run And The Real Exchange Rate
TL;DR: This paper proposed an equilibrium model that can explain a wide range of international finance puzzles, including the high correlation of international stock markets, despite the lack of correlation of fundamentals, by combining cross-country-correlated long-run risk with Epstein and Zin preferences, using U.S. and U.K. data.
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Long-Run Productivity Risk: A New Hope for Production-Based Asset Pricing?
TL;DR: This article examined the intertemporal distribution of US productivity risk and showed that the conditional mean of productivity growth is an important determinant of macro quantities and asset prices, and rationalized it in a production economy featuring long-run productivity risk, Epstein and Zin (1989) preferences, and investment frictions.
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Long-run productivity risk: A new hope for production-based asset pricing?
TL;DR: In this paper, the authors examined the intertemporal distribution of US productivity risk and showed that the conditional mean of productivity growth is an important determinant of macro quantities and asset prices, and rationalized it in a production economy featuring long-run productivity risk, Epstein and Zin preferences, and investment frictions.
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Fiscal Policies and Asset Prices
TL;DR: This paper examined the asset pricing effects of fiscal policies in a production-based general equilibrium model in which taxation affects corporate decisions by distorting profits and investment, reducing the cost of debt through a tax shield, and depressing productivity growth.
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International Asset Pricing with Recursive Preferences
TL;DR: In this article, the authors focus on data from the United States and the United Kingdom and show that both the anomaly identified by Backus and Smith, which concerns the low correlation between consumption differentials and exchange rates, and the forward premium anomaly, which concerned the tendency of high interest rate currencies to appreciate, have become more severe over time.