Giulio CIFARELLI

Ruolo attuale:: Docente a Contratto
Afferenza organizzativa:: Amministrazione Centrale

Recapiti

	0552759598
	giulio.cifarelli(AT)unifi.it

Ulteriori Recapiti

	Via delle Pandette 9 - 50127 Firenze (Edificio D6 stanza 2.54)
	055 437 4598 / 06 5803922
	giulio.cifarelli(AT)unifi.it/ g.cifarelli.76(AT)cantab.net / cifarelli1(AT)tiscali.it

Giulio CIFARELLI

Orario di ricevimento (aggiornato al 21/02/2024)

Giovedì, ore 18.00 19.30

DISEI, D.6, secondo piano stanza 54

Tursday, from 6.00 to 7:30 p.m.

DISEI Building D6, second floor, room 54.

Giulio CIFARELLI

Biografia

Membro del comitato scientifico dell'European Journal of Finance.

Giulio CIFARELLI

Curriculum

Titoli di Studio

- Baccalauréat, série B, (Sciences Economiques), Lycée Chateaubriand, Roma

- B.A. in Economia, Oberlin College, Oberlin (Ohio), USA, (Phi Beta Kappa)

- Laurea in Scienze Economiche, Universita' di Siena

- Ph.D. in Economia, Universita' di Cambridge, Gran Bretagna

Ha insegnato Storia del Pensiero Monetario, Politica Economica, Economia Monetaria, Econometria, Finanza Internazionale ed Economia Internazionale nelle seguenti universita':

LUISS, Siena, Cassino, Roma II (Tor Vergata),Firenze (Scienze Politiche) e Brescia.

Giulio CIFARELLI

Interessi

Economia e finanza internazionale; economia delle fonti energetiche.

Pubblicazioni recenti

- Giulio Cifarelli and Giovanna Paladino (2014), "One size does not fit all. A non-linear analysis of European monetary transmission", DISEI, WP n. 22/2014.

- Giulio Cifarelli and Giovanna Paladino (2015), "A dynamic model of hedging and speculation in the commodity futures market", Journal of Financial Markets, 25, p. 1-15.

- Giulio Cifarelli and Paolo Paesani (2016), "Speculative cotton pricing in the Liverpool cotton futures market: a nonlinear tale of noise traders and fundamentalists", Cliometrica, published online.

- Giulio Cifarelli and Giovanna Paladino (2016), "Time-varying mark-up and the ECB monetary policy transmission in a highly non-linear framework", International Review of Economics and Finance, published on line.

- Giulio Cifarelli and Giovanna Paladino (2016), "The impact of unconventional monetary policy on the sovereign bank nexus within and across EU countries. A time-varying conditional correlation analysis", DISEI, WP n. 10/2016.

- Giulio Cifarelli and Giovanna Paladino (2017) "Can the interaction with a single long term attractor explain the exchange rate conundrum?". DISEI, WP n. 8/2017, forthcoming on Research in International Business and Finance.

- Giulio Cifarelli and Paolo Paesani (2017), "On the difficulty of interpreting market behaviour in an uncertain world: the case of Oil futures pricing from 2003 and 2016," DISEI, WP n. 16/2017.

- Giulio Cifarelli and Giovanna Paladino ( 2018), "Sovereign - Bank risk interconnections during the Greek financial crisis and the role of the Italian debt." DISEI, WP n. 1/2018.

- Giulio Cifarelli and Giovanna Paladino (2019), "A non-linear analysis of the sovereign bank nexus in the EU", Journal of Economic Asymmetries, forthcoming, //doi.o!g/10.1016/jjcra.2019.e00135

- Giulio Cifarelli and Paolo Paesani (2021), "Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing", The Energy Journal, vol. 42, p. 101-122.

Giulio CIFARELLI

Pubblicazioni

Legenda

Contributo su rivista |

Articolo su libro |

Libro |

Contributo in atti di convegno (proceeding) |

Brevetto |

Curatela | Altro

Altro |

Tesi di Dottorato

Bargigli, Leonardo; Cifarelli, Giulio (2024). Endogenous Volatility in the Foreign Exchange Market. JOURNAL OF FINANCIAL ECONOMETRICS, pp. 0-0, ISSN:1479-8409 DOI

Giulio Cifarelli (2020). A non-linear analysis of the sovereign bank nexus in the EU. JOURNAL OF ECONOMIC ASYMMETRIES, vol. 21, pp. 0-17, ISSN:1703-4949 DOI Accesso ONLINE all'editore

Cifarelli, Giulio; Paladino, Giovanna (2018). Sovereign - Bank Default Risk Linkages During the Greek Financial Crisis and the Role of the Italian Debt. INTERNATIONAL JOURNAL OF ACCOUNTING AND FINANCIAL REPORTING, vol. 8, pp. 1-24, ISSN:2162-3082 DOI

Cifarelli, Giulio*; Paladino, Giovanna (2018). Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, vol. 46, pp. 313-323, ISSN:0275-5319 DOI Accesso ONLINE all'editore

Cifarelli, Giulio; Paladino, Giovanna (2016). Time-varying mark-up and the ECB monetary policy transmission in a highly non linear framework.. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, vol. 45, pp. 247-262, ISSN:1059-0560 DOI Accesso ONLINE all'editore

Cifarelli, Giulio; Paesani, Paolo (2016). Speculative pricing in the Liverpool cotton futures market: a nonlinear tale of noise traders and fundamentalists from the 1920s. CLIOMETRICA, vol. 10, pp. 31-54, ISSN:1863-2505 DOI

Cifarelli, Giulio; Paladino, Giovanna (2015). A dynamic model of hedging and speculation in the commodity futures market.. JOURNAL OF FINANCIAL MARKETS, vol. 25, pp. 1-15, ISSN:1386-4181

Giulio Cifarelli; Giovanna Paladino (2014). Oil futures market: a dynamic model of hedging and speculation. In: Sofia Ramos, Helena Veiga. The interrelationship between financial and energy markets, pp. 141-155, Berlin Heidelberg: Springer-Verlag, ISBN:9783642553813. DOI Accesso ONLINE all'editore

Giulio Cifarelli (2013). Smooth transition regime shifts and oil price dynamics. ENERGY ECONOMICS, vol. 38, pp. 160-167, ISSN:0140-9883 DOI Accesso ONLINE all'editore

F. Cesarano; G. Cifarelli; G. Toniolo (2012). Exchange rate regimes and reserve policy: the italian lira, 1883-1911. OPEN ECONOMIES REVIEW, vol. 23, pp. 253-275, ISSN:0923-7992 DOI

G.Cifarelli; G.Paladino (2012). Can oil diversify away the unpriced risk of a portfolio?. INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, vol. 17, pp. 73-88, ISSN:1099-1158 DOI

Cifarelli, Giulio; Paesani, Paolo (2012). A new test of the theory of storage comparing historical and contemporary data.. In: Giulio Cifarelli, Paolo Paesani. A new test of the theory of storage comparing historical and contemporary data., pp. 151-174, Roma: Università di Roma Sapienza. Accesso ONLINE all'editore

G.Cifarelli; G.Paladino (2010). Oil price dynamics and speculation. A multivariate financial approach. ENERGY ECONOMICS, vol. 32, pp. 363-372, ISSN:0140-9883 DOI

G. Cifarelli; G. Paladino (2009). The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation. OPEN ECONOMIES REVIEW, vol. 20, pp. 525-543, ISSN:0923-7992 DOI

G. Cifarelli; G. Paladino (2009). Is oil a financial asset? An empirical investigation spanning the last fifteen years. Firenze: Working Paper n. 12, Dipartimento di Scienze Economiche, Università di Firenze Accesso ONLINE all'editore

F. Cesarano; G. Cifarelli; G. Toniolo (2009). Exchange rate regimes and reserve management on the periphery: the Italian lira 1883-1911. Firenze: Working Paper n. 11, Dipartimento di Scienze Economiche,Università di Firenze Accesso ONLINE all'editore

G.Cifarelli;G.Paladino (2008). Reserve overstocking in a highly integrated world. New evidence from Asia and Latin America. EUROPEAN JOURNAL OF FINANCE, vol. 14, pp. 315-336, ISSN:1351-847X

G.Cifarelli;G.Paladino (2008). Oil price dynamics and speculation. A multivariate financial approach.. Firenze: Dipartimento di Scienze Economiche Accesso ONLINE all'editore

G.Cifarelli;G.Paladino (2007). The buffer stock model redux? an analysis of the dynamics of reserve accumulation.. Firenze: Dipartimento di Scienze Economiche Accesso ONLINE all'editore

G.Cifarelli;G.Paladino (2006). Volatility co-movements between emerging sovereign bonds: is there segmentation between geographical areas?. GLOBAL FINANCE JOURNAL, vol. 16, pp. 245-263, ISSN:1044-0283

G.Cifarelli;G.Paladino (2005). Volatility linkages across three major equity markets: a financial arbitrage approach. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, vol. 24, pp. 413-439, ISSN:0261-5606 DOI

G.Cifarelli;G.Paladino (2005). The international reserves glut: is it for real?. Firenze: Dipartimento di Scienze Economiche, Università di Firenze Accesso ONLINE all'editore

G.Cifarelli (2004). Yes implied volatilities are not informationally efficient. an empirical estimate using options on interest rate futures contracts.. Firenze: Dipartimento di Scienze Economiche, Università di Firenze. Accesso ONLINE all'editore

G.Cifarelli;G.Paladino (2004). The impact of the argentine default on volatility co-movements in emerging bond markets.. EMERGING MARKETS REVIEW, vol. 5, pp. 427-446, ISSN:1566-0141

G.Cifarelli;G.Paladino (2003). Spreads on emerging-market debt: global vs. regional factors.. ECONOMIA INTERNAZIONALE, vol. 56, pp. 255-286, ISSN:0012-981X

G.Cifarelli;G.Paladino (2003). The impact of the argentine default on volatility co-movements in emerging bond markets. Firenze: Dipartimento di Scienze Economiche, Università di Firenze Accesso ONLINE all'editore

G.Cifarelli;K.Giannopoulos (2002). Dynamic mechanisms of volatility transmission among stock markets.. THE INTERNATIONAL JOURNAL OF FINANCE, vol. 14, pp. 2216-2242, ISSN:1041-2743

G.Cifarelli (2002). The information content of implied volatilities of options on eurodeposit futures traded on the liffe: is there long memory?. Firenze: Dipartimento di Scienze Economiche, Università di Firenze. Accesso ONLINE all'editore

G.Cifarelli;G.Paladino (2002). Emerging markets risk: an analysis of the dynamics of emerging market bond spreads. Roma: LUISS Edizioni

G.Cifarelli (2001). Forecasting financial markets: perspectives on the 1999 conference.. EUROPEAN JOURNAL OF FINANCE, vol. 7, pp. 286-288, ISSN:1351-847X

G.Cifarelli;G.Paladino (2001). Volatility spillovers and the role of leading financial centres.. QUARTERLY REVIEW. BANCA NAZIONALE DEL LAVORO, vol. 54, pp. 37-71, ISSN:0005-4607

G.Cifarelli (2000). The implied volatilities of options on short sterling and three month euromark futures contracts traded on the liffe. a comparative analysis. Brescia: Università di Brescia

G.Cifarelli (2000). L'economia politica e le relazioni internazionali.. In: F.Cerutti. Gli occhi sul mondo. le relazioni internazionali in prospettiva interdisciplinare., pp. 193-204, Roma: Carocci, ISBN:9788843014927.

G.Cifarelli;G.Paladino (2000). Stock market exuberance: linkages between the us and the european markets. Roma: LUISS Edizioni.

K.Giannopoulos; G.Cifarelli (1999). Volatility transmission among national equity markets: an econometric analysis. Firenze: Dipartimento di Scienze Economiche, Università di Firenze.

G.Cifarelli;G.Paladino (1999). Volatility spillovers and geographical hierarchy across international equity markets. Brescia: Università di Brescia

G.Cifarelli (1998). The exchange rate crisis of september 1992 and the pricing of italian financial futures.. THE JOURNAL OF FUTURES MARKETS, vol. 18, pp. 827-849, ISSN:0270-7314

G.Cifarelli; A.Calamia (1998). The BTP futures contracts: interest rate risk hedging and exchange rate crises.. GIORNALE DEGLI ECONOMISTI E ANNALI DI ECONOMIA, vol. 57, pp. 189-211, ISSN:0017-0097

G.Cifarelli (1996). On the daily pricing of italian financial futures. An econometric investigation. Siena: Dipartimento di Economia Politica Università di Siena

G.Cifarelli (1995). Ex ante real interest rate differentials, ex ante real exchange rate changes and the pricing of forward exchange rates.. GIORNALE DEGLI ECONOMISTI E ANNALI DI ECONOMIA, vol. 54, pp. 57-77, ISSN:0017-0097

G.Cifarelli (1995). Fundamentals, regime shifts and dollar behavior in the 1980s.. OPEN ECONOMIES REVIEW, vol. 6, pp. 29-48, ISSN:0923-7992

G.Cifarelli (1995). On time varying risk premia in the foreign exchange market. Siena: Dipartimento di Economia Politica Università di Siena

G.Cifarelli (1993). Systematic forward forecast errors, ex ante real interest rate differentials and ex ante real exchange rate changes. An empirical analysis. Siena: Dipartimento di Economia Politica, Università di Siena

G.Cifarelli (1992). Exchange rate market efficiency tests and cointegration analysis.. ECONOMIA INTERNAZIONALE, vol. 45, pp. 197-208, ISSN:0012-981X

G.Cifarelli (1992). Fundamentals regime shifts and dollar behaviour in the 1980s. An empirical analysis. Siena: Dipartimento di Economia Politica, Università di Siena

G.Cifarelli (1991). Cointegration and the unbiased efficiency of the forward exchange rate.. In: Atlantic Economic Society, 31st Atlantic Economic Conference, Roma, 15-22 marzo 1991, vol. 1, pp. 40-44.

G.Cifarelli (1991). Le fluttuazioni del dollaro negli anni ottanta. Una analisi econometrica. Siena: Dipartimento di Economia Politica, Università di Siena

G.Cifarelli (1991). Sui determinanti degli errori di previsione a termine sul mercato dei cambi: una analisi empirica.. NOTE ECONOMICHE, vol. 21, pp. 69-89, ISSN:0391-8289

G.Cifarelli (1990). Cointegration and the unbiased efficiency of the forward exchange rate. Siena: Dipartimento di Economia Politica, Università di Siena

G.Cifarelli (1990). Sui determinanti degli errori di previsione a termine sul mercato dei cambi.. GIORNALE DEGLI ECONOMISTI E ANNALI DI ECONOMIA, vol. 49, pp. 557-572, ISSN:0017-0097

G. Cifarelli (1990). Un modello del tasso di cambio a termine: analisi teorica e verifica empirica. ECONOMIA POLITICA, vol. 7, pp. 165-190, ISSN:1120-2890

G.Cifarelli (1990). Sui determinanti degli errori di previsione a termine nel mercato dei cambi.. Siena: Quaderni del Dipartimento di Economia Politica n. 99, Università di Siena

G.Cifarelli (1988). Tassi di cambio e "notizie": alcuni problemi di identificazione econometrica.. RASSEGNA ECONOMICA, vol. 52, pp. 65-78, ISSN:0390-010X

G.Cifarelli (1988). "Measurement Error Models" by W.A. Fuller. JOURNAL OF APPLIED ECONOMETRICS, vol. 3, pp. 315-317, ISSN:0883-7252

G.Cifarelli (1988). La razionalità del tasso di cambio a termine e le "notizie": una analisi empirica. Siena: Dipartimento di Economia Politica, Università di Siena

G.Cifarelli (1987). L'economia monetaria.. In: L.Tomassini. Economia, pp. 741-801 A.Curcio.

G.Cifarelli (1986). Exchange rates, market efficiency and "news". Model specification and econometric identification. Siena: Istituto di Economia, Università di Siena

G.Cifarelli (1985). The natural rate of unemployment and rational expectation hypotheses: some empirical tests. Siena: Istituto di Economia, Università di Siena

G.Cifarelli (1985). Equilibrium and disequilibrium interpretations of inflation. an empirical investigation of the behaviour of italian output and prices using a classical macroeconometric model.. Siena: Collana dell'Istituto di Economia n. 4, Stamperia della Facoltà di Scienze Economiche e Bancarie, Università di Siena.

G.Cifarelli (1984). Una interpretazione macrorazionale del ciclo.. GIORNALE DEGLI ECONOMISTI E ANNALI DI ECONOMIA, vol. 43, pp. 345-358, ISSN:0017-0097

G.Cifarelli (1983). Inflation and output in italy: a rational expectations interpretation. Siena: Istituto di Economia, Università di Siena

G.Cifarelli (1983). Test di verosimiglianza logaritmica e modelli macrorazionali.. RASSEGNA ECONOMICA, vol. 47, pp. 1089-1108, ISSN:0390-010X

G.Cifarelli (1982). L'applicazione dell'ipotesi delle aspettative razionali alla teoria della politica economica: una rassegna critica.. ECONOMIA INTERNAZIONALE, vol. 35, pp. 3-36, ISSN:0012-981X

G.Cifarelli (1981). Some econometric implications of the natural rate of unemployment with rational expectations model.. ECONOMIC NOTES, vol. 10, pp. 92-115, ISSN:0391-5026

Giulio CIFARELLI

Tematiche di tesi

Giulio CIFARELLI

Biography

Member of the editorial board of the European Journal of Finance.

Giulio CIFARELLI

Curriculum

Titoli di Studio

- Baccalauréat, série B, (Sciences Economiques), Lycée Chateaubriand, Rome

- B.A. in Economics, Oberlin College, Oberlin (Ohio), USA, (Phi Beta Kappa)

- Laurea in Scienze Economiche, Universita' di Siena

- Ph.D. in Economics, University of Cambridge, UK

He taught Monetary Economics, Economic Policy, Econometrics, International Finance, and International Economics in the following universities:

LUISS, Siena, Cassino, Rome II (Tor Vergata), Florence, and Brescia.

Giulio CIFARELLI

Interest

Main scientific interests

International Economics and International Finance, Energy Economics.

Recent Publications

- Giulio Cifarelli and Giovanna Paladino (2015), "A dynamic model of hedging and speculation in the commodity futures market", Journal of Financial Markets, 25, p. 1-15.

- Giulio Cifarelli and Paolo Paesani (2016), "Speculative cotton pricing in the Liverpool cotton futures market: a nonlinear tale of noise traders and fundamentalists", Cliometrica, published on line.

- Giulio Cifarelli and Giovanna Paladino (2016), "Time-varying mark-up and the ECB monetary policy transmission in a highly non linear framework", International Review of Economics and Finance, published on line.

- Giulio Cifarelli and Giovanna Paladino (2016), "The impact of unconventional monetary policy on the sovereign bank nexus within and across EU countries. A time-varying conditional correlation analysis", DISEI, WP n. 10/2016.

- Giulio Cifarelli and Giovanna Paladino (2017) "Can the interaction with a single long term attractor explain the exchange rate conundrum?" . DISEI, WP n. 8/2017, forthcoming on Research in International Business and Finance.

- Giulio Cifarelli and Paolo Paesani (2017), "On the difficulty of interpreting market behavior in an uncertain world: the case of Oil futures pricing fronte 2003 and 2016," DISEI, WP n. 16/2017.

- Giulio Cifarelli and Giovanna Paladino ( 2018), "Sovereign - Bank risk interconnections during the Greek financial crisis and the role of the Italian debt." DISEI, WP n. 1/2018.

- Giulio Cifarelli and Giovanna Paladino (2019), "A non linear analysis of the sovereign bank nexus in the EU", Journal of Economic Asymmetries, forthcoming, //doi.o!g/10.1016/jjcra.2019.e00135

- Giulio Cifarelli and Paolo Paesani (2021),"Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing", The Energy Journal, vol. 42, p. 101-122.

Giulio CIFARELLI

Note

THIS IS NOT A COURSE FOR ERASMUS STUDENTS. IT'S AN ADVANCED COURSE.

•Reading List of the course in International and Financial Economics

- Giulio Cifarelli: Corso di Economia Internazionale Finanziaria. Parte I°. Analisi del Tasso di
Cambio Nominale, Firenze, 2004. (available upon request).

As an alternative, for non Italian students

- Ronald MacDonald: Exchange Rate Economics. Theories and Evidence. Routledge, London, 2007, chapters 1, 2, 4, 5, 6 and 7.

- Mark .P. Taylor: Exchange-Rate Behavior under Alternative Exchange-Rate Arrangements,
in Understanding Interdependence, The Macroeconomics of the Open Economy, P.B. Kenen
(ed.), Princeton University Press, Princeton, 1995, pp. 34-83.

- Giulio Cifarelli and Giovanna Paladino (2006): The International Reserves Glut: Is It for Real?, Studi e Discussioni n. 142, Dipartimento di Scienze Economiche, Università di Firenze (posted on the Social Science Research Network webside).

- Stephan Reitz and Franz Westerhoff (2007): Commodity Price Cycles and Heterogeneous
Speculators: A STAR GARCH Model, Empirical Economics, 33, 231-244.

Additional readings

- Barry Eichengreen: Capital Flows and Crises, The MIT Press, Cambridge, Mass. 2004, chapters 6-7-8-9.