Simone Manganelli

European Central Bank (ECB)

Principal Economist, DG-Research

Kaiserstrasse 29

Frankfurt am Main, 60311

Germany

http://www.simonemanganelli.org

  • European Central Bank (ECB)

SCHOLARLY PAPERS

41

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280

Scholarly Papers (41)

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1.

Value at Risk Models in Finance

ECB Working Paper No. 75
Number of pages: 41 Posted: 25 Feb 2003
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University (NYU) - Department of Finance
Downloads 8,083 (1,397)
Citation 2

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Value at Risk; CAViaR; Extreme Value Theory

2.

Bank Risk During the Financial Crisis: Do Business Models Matter?

Downloads 1,361 (25,474)

Bank Risk During the Financial Crisis: Do Business Models Matter?

ECB Working Paper No. 1394
Number of pages: 53 Posted: 05 Nov 2011
Yener Altunbas, Simone Manganelli and David Marques-Ibanez
University of Wales, Bangor, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,361 (25,048)
Citation 7

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bank risk, business models, bank regulation, financial crisis, Basle III

Bank Risk During the Financial Crisis: Do Business Models Matter?

Bangor Business School Research Paper No. 12/003
Posted: 03 Feb 2012 Last Revised: 06 Feb 2012
Yener Altunbas, Simone Manganelli and David Marques-Ibanez
University of Wales, Bangor, European Central Bank (ECB) and European Central Bank (ECB)

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bank risk, business models, bank regulation, financial crisis, Basle III

3.

The Impact of the Eurosystem's Covered Bond Purchase Programme on the Primary and Secondary Markets

ECB Occasional Paper No. 122
Number of pages: 36 Posted: 19 Jan 2011
John Beirne, Lars Dalitz, Jacob Ejsing, Magdalena Grothe, Simone Manganelli, Fernando Monar, Benjamin Sahel, Matjaz Susec, Jens Tapking and Tana Vong
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 984 (40,838)
Citation 29

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covered bonds, liquidity, primary market, secondary market

4.

The Euro Area Financial System: Structure, Integration and Policy Initiatives

Number of pages: 55 Posted: 06 Jun 2003
Philipp Hartmann, Angela Maddaloni and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 902 (45,866)
Citation 13

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Financial system design, financial structure, financial integration, euro area, financial policy

5.

Measuring Comovements by Regression Quantiles

ECB Working Paper No. 501
Number of pages: 50 Posted: 28 Jul 2005
Lorenzo Cappiello, Simone Manganelli and Bruno Gerard
European Central Bank (ECB), European Central Bank (ECB) and BI Norwegian Business School - Department of Finance
Downloads 623 (74,914)
Citation 3

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codependence, semi-parametric, conditional quantiles

6.

Sensitivity Analysis of Volatility: A New Tool for Risk Management

Number of pages: 38 Posted: 10 Dec 2002
Simone Manganelli, Vladimiro Ceci and Walter Vecchiato
European Central Bank (ECB), Cassa Depositi e Prestiti S.p.A. and Veneto Banca
Downloads 615 (76,078)
Citation 2

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Risk Management, Sensitivity Analysis, Dynamic Correlations, GARCH

7.

Market Discipline, Financial Integration and Fiscal Rules: What Drives Spreads in the Euro Area Government Bond Market?

ECB Working Paper No. 745
Number of pages: 40 Posted: 25 Apr 2007
Simone Manganelli and Guido Wolswijk
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 553 (86,866)
Citation 9

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Bond spreads, credit risk, liquidity risk

8.

Duration, Volume and Volatility Impact of Trades

ECB Working Paper No. 125
Number of pages: 47 Posted: 12 Feb 2002
Simone Manganelli
European Central Bank (ECB)
Downloads 511 (95,831)
Citation 17

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Autoregressive Conditional Duration, GARCH, Ultra High Frequency Data, Empirical Market Microstructure

9.

The Impact of the Euro on Financial Markets

ECB Working Paper No. 598
Number of pages: 113 Posted: 25 Apr 2006
Lorenzo Cappiello, Peter Hördahl, Arjan Kadareja and Simone Manganelli
European Central Bank (ECB), Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 505 (97,200)
Citation 12

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Financial markets, euro, financial integration, volatility, conditional correlation, term structure, fundamentals, risk premia

10.

Forecasting and Stress Testing with Quantile Vector Autoregression

Number of pages: 43 Posted: 18 Nov 2019
Sulkhan Chavleishvili and Simone Manganelli
Aarhus University - School of Business and Social Sciences and European Central Bank (ECB)
Downloads 450 (111,561)
Citation 25

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growth at risk, regression quantiles, structural VAR

11.

Measuring Financial Integration in New EU Member States

ECB Occasional Paper No. 81
Number of pages: 38 Posted: 15 Mar 2008
Markus Baltzer, Lorenzo Cappiello, Roberto A. De Santis and Simone Manganelli
Deutsche Bundesbank, European Central Bank (ECB), European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB)
Downloads 447 (112,458)
Citation 11

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12.

Financial Integration of New EU Member States

ECB Working Paper No. 683
Number of pages: 74 Posted: 09 Nov 2006
Lorenzo Cappiello, Arjan Kadareja, Bruno Gerard and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB), BI Norwegian Business School - Department of Finance and European Central Bank (ECB)
Downloads 386 (133,318)

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Integration, new EU member states, regression quantile

13.

Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR

ECB Working Paper No. 957
Number of pages: 40 Posted: 20 Nov 2008
Halbert L. White Jr., Tae-Hwan Kim and Simone Manganelli
University of California, San Diego (UCSD) - Department of Economics, University of Nottingham - School of Economics and European Central Bank (ECB)
Downloads 349 (148,912)
Citation 1

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Asset returns, CAViaR, Conditional quantiles, Dynamic quantiles, Kurtosis, Skewness

14.

A New Theory of Forecasting

ECB Working Paper No. 584, EFA 2006 Zurich Meetings
Number of pages: 43 Posted: 03 Feb 2006
Simone Manganelli
European Central Bank (ECB)
Downloads 339 (153,575)

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Decision under uncertainty, estimation, overfitting, asset allocation

15.

Lending-of-Last-Resort Is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

Downloads 325 (160,759)
Citation 33

Lending-of-Last-Resort Is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

Journal of Financial Intermediation, Forthcoming
Number of pages: 58 Posted: 23 Sep 2015 Last Revised: 24 May 2016
Carlos Garcia-de-Andoain, Florian Heider, Marie Hoerova and Simone Manganelli
European Central Bank (ECB), Leibniz Institute for Financial Research SAFE, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 258 (203,020)
Citation 25

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Lender-of-last-resort, Interbank Markets, Financial Crisis, Sovereign Debt Crisis, Central Bank Policy

Lending-of-Last-Resort is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

ECB Working Paper No. 1886
Number of pages: 62 Posted: 25 Feb 2016
Carlos Garcia-de-Andoain, Florian Heider, Marie Hoerova and Simone Manganelli
European Central Bank (ECB), Leibniz Institute for Financial Research SAFE, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 66 (585,729)

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lender-of-last-resort, interbank markets, financial crisis, sovereign debt

Lending-of-Last-Resort is as Lending-of-Last-Resort Does: Central Bank Liquidity Provision and Interbank Market Functioning in the Euro Area

CEPR Discussion Paper No. DP10901
Number of pages: 62 Posted: 28 Oct 2015
Carlos Garcia-de-Andoain, Florian Heider, Marie Hoerova and Simone Manganelli
European Central Bank (ECB), Leibniz Institute for Financial Research SAFE, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1 (1,093,300)
Citation 2
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central bank policy, financial crisis, interbank markets, lender-of-last-resort, sovereign debt crisis

16.

Asset Allocation by Penalized Least Squares

ECB Working Paper No. 723
Number of pages: 53 Posted: 06 Feb 2007
Simone Manganelli
European Central Bank (ECB)
Downloads 287 (183,183)
Citation 1

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Portfolio optimization, mean-risk utility model, stochastic dominance, asymmetric least squares, expectile

17.

Caviar: Conditional Value at Risk by Quantile Regression

NBER Working Paper No. w7341
Number of pages: 54 Posted: 17 Feb 2000 Last Revised: 23 Jan 2022
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University (NYU) - Department of Finance
Downloads 252 (208,714)
Citation 9

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18.

The Central Bank as a Risk Manager: Quantifying and Forecasting Inflation Risks

Number of pages: 57 Posted: 04 Jun 2003
Lutz Kilian and Simone Manganelli
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 244 (215,379)

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Inflation, deflation, risk, forecast, monetary policy

19.

The Risk Management Approach to Macro-Prudential Policy

ECB Working Paper No. 2021/2565
Number of pages: 76 Posted: 03 Jun 2021
Sulkhan Chavleishvili, Robert F. Engle, Stephan Fahr, Manfred Kremer, Simone Manganelli and Bernd Schwaab
Aarhus University - School of Business and Social Sciences, New York University (NYU) - Department of Finance, European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
Downloads 222 (235,935)
Citation 3

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20.

Bank Risk and Business Models During the Great Recession

Number of pages: 36 Posted: 21 Mar 2011
David Marques-Ibanez, Simone Manganelli and Yener Altunbas
European Central Bank (ECB), European Central Bank (ECB) and University of Wales, Bangor
Downloads 207 (251,707)
Citation 2

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bank risk, business models, quantile regression, great recession

21.

Measuring Financial Fragmentation in the Euro Area Corporate Bond Market

Banque de France Working Paper No. 582
Number of pages: 34 Posted: 05 Apr 2016
Guillaume Horny, Simone Manganelli and Benoît Mojon
Banque de France, European Central Bank (ECB) and Bank for International Settlements (BIS)
Downloads 186 (277,157)
Citation 23

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financial integration, credit risk, country premia, fragmentation index

22.

A High Frequency Assessment of the ECB Securities Markets Programme

Downloads 155 (324,210)
Citation 41

A High Frequency Assessment of the ECB Securities Markets Programme

ECB Working Paper No. 1642
Number of pages: 27 Posted: 15 Mar 2014
Eric Ghysels, Julien Idier, Simone Manganelli and Olivier Vergote
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 153 (328,046)
Citation 1

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unconventional monetary policy; euro area crisis; SMP; component models; high frequency data

A High Frequency Assessment of the ECB Securities Markets Programme

CEPR Discussion Paper No. DP9778
Number of pages: 29 Posted: 10 Dec 2013
Eric Ghysels, Julien Idier, Simone Manganelli and Olivier Vergote
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2 (1,084,536)
Citation 14
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A High-Frequency Assessment of the ECB Securities Markets Programme

Journal of the European Economic Association, January 2017, 15(1), 218-243
Posted: 25 May 2018
Olivier Vergote, Eric Ghysels, Julien Idier and Simone Manganelli
European Central Bank (ECB), University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche and European Central Bank (ECB)

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23.

VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles

ECB Working Paper No. 1814
Number of pages: 50 Posted: 23 Jun 2015
Halbert L. White Jr., Tae-Hwan Kim and Simone Manganelli
University of California, San Diego (UCSD) - Department of Economics, University of Nottingham - School of Economics and European Central Bank (ECB)
Downloads 137 (357,897)
Citation 18

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CAViaR; codependence; quantile impulse-responses; spillover

24.

Fragmentation in the Euro Overnight Unsecured Money Market

Downloads 125 (383,827)
Citation 15

Fragmentation in the Euro Overnight Unsecured Money Market

Number of pages: 10 Posted: 16 Sep 2014 Last Revised: 28 Jan 2016
Carlos Garcia-de-Andoain, Peter Hoffmann and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 94 (473,404)
Citation 1

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Money Markets, Financial Integration, Sovereign Debt Crisis, Monetary Policy Implementation

Fragmentation in the Euro Overnight Unsecured Money Market

ECB Working Paper No. 1755
Number of pages: 13 Posted: 20 Dec 2014
Carlos Garcia-de-Andoain, Peter Hoffmann and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 31 (809,833)
Citation 2

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money markets, financial integration, sovereign debt crisis, monetary policy implementation

25.

The Impact of the Euro on Equity Markets: A Country and Sector Decomposition

ECB Working Paper No. 906
Number of pages: 54 Posted: 01 Jul 2008
Lorenzo Cappiello, Arjan Kadareja and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 121 (393,296)
Citation 2

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National and industry equity returns, euro, conditional comovements, regression quantiles

26.

Financial Markets, Diversification, and Allocative Efficiency: International Evidence

Number of pages: 46 Posted: 17 Mar 2010
Simone Manganelli and Alexander A. Popov
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 119 (398,082)

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Financial markets, growth, volatility, diversification, mean-variance efficiency

27.

Finance and Diversification

ECB Working Paper No. 1259
Number of pages: 59 Posted: 22 Oct 2010
Simone Manganelli and Alexander A. Popov
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 117 (402,986)

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Financial Development, Growth, Volatility, Diversification, Mean-Variance Efficiency

28.

A Risk Management Perspective on Macroprudential Policy

ECB Working Paper No. 2021/2556
Number of pages: 35 Posted: 24 May 2021
Sulkhan Chavleishvili, Stephan Fahr, Manfred Kremer, Simone Manganelli and Bernd Schwaab
Aarhus University - School of Business and Social Sciences, European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
Downloads 83 (507,313)
Citation 1

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29.

Financial Conditions, Business Cycle Fluctuations and Growth at Risk

ECB Working Paper No. 20202470
Number of pages: 26 Posted: 28 Sep 2020
Andrea Falconio and Simone Manganelli
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 83 (507,313)
Citation 1

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financial conditions, quantile regression, risk, uncertainty

30.

Realized Bank Risk during the Great Recession

FRB International Finance Discussion Paper No. 1140
Number of pages: 38 Posted: 05 Sep 2015
Yener Altunbas, Simone Manganelli and David Marques-Ibanez
University of Wales, Bangor, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 71 (555,040)
Citation 10

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Bank risk, business models, great recession

31.

The Portfolio of Euro Area Fund Investors and ECB Monetary Policy Announcements

ECB Working Paper No. 2116, ISBN: 978-92-899-3039-0
Number of pages: 47 Posted: 08 Dec 2017
Johannes Bubeck, Maurizio Michael Habib and Simone Manganelli
Deutsche Bundesbank, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 51 (653,079)
Citation 5

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monetary policy, euro area, European Central Bank, asset allocation, investment funds

32.

Monetary Policy with Judgment

Downloads 47 (676,289)

Monetary Policy with Judgment

ECB Working Paper No. 20202404
Number of pages: 51 Posted: 12 May 2020
Paolo Gelain and Simone Manganelli
Federal Reserve Bank of Cleveland and European Central Bank (ECB)
Downloads 32 (801,462)

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DSGE, maximum likelihood, monetary policy, statistical decision theory

Monetary Policy with Judgment

FRB of Cleveland Working Paper No. 20-14
Number of pages: 44 Posted: 21 May 2020
Paolo Gelain and Simone Manganelli
Federal Reserve Bank of Cleveland and European Central Bank (ECB)
Downloads 15 (962,837)

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Monetary Policy, DSGE, Maximum Likelihood, Statistical Decision Theory

33.

Covid-19 and Rural Landscape: The Case of Italy

ECB Working Paper No. 20202478
Number of pages: 32 Posted: 08 Oct 2020
Simone Manganelli, Francesco Piras and Mauro Agnoletti
European Central Bank (ECB), University of Florence and European Central Bank (ECB)
Downloads 46 (682,345)
Citation 1

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environment, exposure to covid‐19, sustainable agriculture

34.

Deciding with Judgment

ECB Working Paper No. 1947
Number of pages: 45 Posted: 29 Aug 2016
Simone Manganelli
European Central Bank (ECB)
Downloads 35 (756,645)

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Statistical Decision Theory, Statistical Risk Aversion, Portfolio Selection

35.

Double Conditioning: The Hidden Connection between Bayesian and Classical Statistics

ECB Working Paper No. 2023/2786
Number of pages: 25 Posted: 17 Feb 2023
Simone Manganelli
European Central Bank (ECB)
Downloads 34 (764,039)

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ambiguity aversion, confidence intervals, hypothesis testing, statistical decision theory

36.

Estimating Systemic Risk for Non-Listed Euro-Area Banks

ECB Working Paper No. 2023/2856
Number of pages: 31 Posted: 13 Oct 2023
Robert F. Engle, Tina Emambakhsh, Simone Manganelli, Laura Parisi and Riccardo Pizzeghello
New York University (NYU) - Department of Finance, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 33 (771,683)

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banks’ balance sheet information content, stress testing, systemic risk

37.

Selecting Models with Judgment

ECB Working Paper No. 2188
Number of pages: 44 Posted: 29 Oct 2018
Simone Manganelli
European Central Bank (ECB)
Downloads 29 (803,125)

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Statistical Decision Theory, Model Selection Criteria, Inflation Forecasting

38.

The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks

Number of pages: 47 Posted: 25 Jul 2003
Lutz Kilian and Simone Manganelli
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 19 (891,670)
Citation 3
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Risk, forecast, monetary policy, price stability, inflation, deflation

39.

Statistical Decision Functions with Judgment

ECB Working Paper No. 2021/2512
Number of pages: 23 Posted: 05 Mar 2021
Simone Manganelli
European Central Bank (ECB)
Downloads 17 (911,177)

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40.

The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan

CEPR Discussion Paper No. 6031
Number of pages: 36 Posted: 27 Jun 2007
Lutz Kilian and Simone Manganelli
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 4 (1,028,257)
Citation 16
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Greenspan, inflation, monetary policy, output, policy rule, preferences, risk

41.

Asset Allocation by Variance Sensitivity Analysis

Journal of Financial Econometrics, Vol. 2, No. 3, pp. 370-389, 2004
Posted: 29 Feb 2008
Simone Manganelli
European Central Bank (ECB)

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dynamic correlations, multivariate GARCH, risk management

Other Papers (1)

Total Downloads: 20
Actions:
Email selected abstracts
1.

Financial Integration of New EU Member States

Number of pages: 46 Posted: 15 Mar 2006
Lorenzo Cappiello, Arjan Kadareja, Bruno Gerard and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB), BI Norwegian Business School - Department of Finance and European Central Bank (ECB)
Downloads 20

Abstract:

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Integration, new EU member states, regression quantile, variance decomposition