Matteo Ciccarelli

European Central Bank (ECB)

Adviser

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

32

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226

Scholarly Papers (32)

Trusting the Bankers: A New Look at the Credit Channel of Monetary Policy

Number of pages: 39 Posted: 27 Feb 2011 Last Revised: 30 Aug 2013
Angela Maddaloni, Matteo Ciccarelli and Jose-Luis Peydro
European Central Bank (ECB), European Central Bank (ECB) and Government of Catalan - Catalan Institution for Research and Advanced Studies (ICREA)
Downloads 313 (94,585)
Citation 20

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Credit channel, Firm and household balance-sheet channels, Bank lending channel, Credit crunch, Credit supply, Monetary policy.

Trusting the Bankers: A New Look at the Credit Channel of Monetary Policy

ECB Working Paper No. 1228
Number of pages: 61 Posted: 26 Jul 2010
Matteo Ciccarelli, Angela Maddaloni and Jose-Luis Peydro
European Central Bank (ECB), European Central Bank (ECB) and Government of Catalan - Catalan Institution for Research and Advanced Studies (ICREA)
Downloads 306 (96,964)
Citation 47

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Non-financial borrower balance-sheet channel, Bank lending channel, Credit channel, Credit crunch, Lending standards, Monetary policy

2.
Downloads 479 ( 57,767)
Citation 29

Panel Vector Autoregressive Models: A Survey

ECB Working Paper No. 1507
Number of pages: 55 Posted: 12 Feb 2013
Fabio Canova and Matteo Ciccarelli
Bi norwegian business school and European Central Bank (ECB)
Downloads 471 (58,355)
Citation 6

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Panel VAR, estimation, identification, inference

Panel Vector Autoregressive Models: A Survey

CEPR Discussion Paper No. DP9380
Number of pages: 53 Posted: 12 Mar 2013
Fabio Canova and Matteo Ciccarelli
Bi norwegian business school and European Central Bank (ECB)
Downloads 8 (612,664)
Citation 32
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Bayesian methods, dynamic models, Panel vector autoregression

3.

Global Inflation

ECB Working Paper No. 537, FRB of Chicago Working Paper No. 2008-05
Number of pages: 48 Posted: 10 Nov 2005
Matteo Ciccarelli and Benoit Mojon
European Central Bank (ECB) and Banque de France
Downloads 458 (61,045)
Citation 105

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global Inflation, common factor, international business cycle

Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model

UPF Economics and Business Working Paper No. 443
Number of pages: 31 Posted: 22 Nov 2000
Fabio Canova and Matteo Ciccarelli
Bi norwegian business school and European Central Bank (ECB)
Downloads 396 (72,058)
Citation 33

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Forecasting, Turning Points, Bayesian Methods, Panel VAR, Markov Chains Monte Carlo Methods.

Forecasting and Turning-Point Predictions in a Bayesian Panel VAR Model

CEPR Discussion Paper No. 2961
Number of pages: 38 Posted: 01 Oct 2001
Fabio Canova and Matteo Ciccarelli
Bi norwegian business school and European Central Bank (ECB)
Downloads 23 (514,147)
Citation 3
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Forecasting, turning points, Bayesian methods, panel VAR, Markov chains, Monte Carlo methods

Measuring Contagion with a Bayesian, Time-Varying Coefficient Model

ECB Working Paper No. 263
Number of pages: 45 Posted: 26 Jan 2004
Matteo Ciccarelli and Alessandro Rebucci
European Central Bank (ECB) and Johns Hopkins University - Carey Business School
Downloads 218 (137,945)

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Contagion, Gibbs sampling, Heteroskedasticity, Omitted variable bias, Time-varying coefficient models

Measuring Contagion with a Bayesian Time-Varying Coefficient Model

IMF Working Paper No. 03/171
Number of pages: 33 Posted: 03 Feb 2006
Matteo Ciccarelli and Alessandro Rebucci
European Central Bank (ECB) and Johns Hopkins University - Carey Business School
Downloads 55 (373,328)
Citation 1

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contagion Gibbs sampling heteroskedasticity omitted variable bias time-varying coefficient models

6.

Low Inflation in the Euro Area: Causes and Consequences

ECB Occasional Paper No. 181
Number of pages: 89 Posted: 03 Feb 2017
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Banque de France, European Central Bank (ECB), Bank of Portugal, Bank of Italy, Bank of Italy and National Bank of Belgium
Downloads 255 (118,349)
Citation 1

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low inflation, Phillips curve, inflation expectations, unconventional monetary policy

7.

Estimating Multi-Country VAR Models

ECB Working Paper No. 603
Number of pages: 37 Posted: 24 Apr 2006
Fabio Canova and Matteo Ciccarelli
Bi norwegian business school and European Central Bank (ECB)
Downloads 208 (144,604)
Citation 27

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Multi country VAR, Markov Chain Monte Carlo methods, Flexible priors, International transmission

8.
Downloads 144 (199,728)
Citation 40

Similarities and Convergence in G-7 Cycles

ECB Working Paper No. 312
Number of pages: 47 Posted: 18 May 2004
Fabio Canova, Eva Ortega and Matteo Ciccarelli
Bi norwegian business school, Bank of Spain, Research Department and European Central Bank (ECB)
Downloads 126 (222,936)

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Business cycle, indicators, Panel Data, Bayesian methods

Similarities and Convergence in G-7 Cycles

CEPR Discussion Paper No. 4534
Number of pages: 39 Posted: 30 Sep 2004
Fabio Canova, Matteo Ciccarelli and Eva Ortega
Bi norwegian business school, European Central Bank (ECB) and Bank of Spain, Research Department
Downloads 18 (546,033)
Citation 70
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Business cycle, G-7, indicators, panel data, Bayesian methods

9.

Bayesian Vars: A Survey of the Recent Literature with an Application to the European Monetary System

IMF Working Paper No. 03/102
Number of pages: 46 Posted: 29 Jan 2006
Alessandro Rebucci and Matteo Ciccarelli
Johns Hopkins University - Carey Business School and European Central Bank (ECB)
Downloads 137 (207,932)
Citation 2

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Bayesian VAR, Gibbs sampling, Time-Varying Reaction Function, EMS

10.

Inflation Forecasts, Monetary Policy and Unemployment Dynamics: Evidence from the Us and the Euro Area

ECB Working Paper No. 725
Number of pages: 39 Posted: 09 Feb 2007
Matteo Ciccarelli and Carlo Altavilla
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 136 (209,124)
Citation 5

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Inflation Forecasts, Unemployment, Model Uncertainty.

11.

What Drives Euro Area Break-Even Inflation Rates?

ECB Working Paper No. 996
Number of pages: 40 Posted: 04 Feb 2009
Matteo Ciccarelli and Juan A. Garcia
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 114 (239,190)
Citation 4

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break-even inflation rates, inflation risk premia, business cycle indicators, Bayesian model selection

Price Setting and Inflation Persistence: Did Emu Matter?

ECB Working Paper No. 597
Number of pages: 81 Posted: 25 Apr 2006
Ignazio Angeloni, Luc Aucremanne and Matteo Ciccarelli
Italian Finance Ministry - International Financial Relations, National Bank of Belgium and European Central Bank (ECB)
Downloads 92 (278,731)
Citation 5

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Price setting, Inflation persistence, Aggregate and Sectoral Inflation, EMU

Price Setting and Inflation Persistence: Did Emu Matter?

Economic Policy, Vol. 21, No. 46, pp. 353-387, April 2006
Number of pages: 34 Posted: 08 May 2006
Ignazio Angeloni, Luc Aucremanne and Matteo Ciccarelli
Italian Finance Ministry - International Financial Relations, National Bank of Belgium and European Central Bank (ECB)
Downloads 17 (552,523)
Citation 4
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13.

Unconventional Monetary Policy and the Anchoring of Inflation Expectations

ECB Working Paper No. 1995
Number of pages: 33 Posted: 03 Feb 2017
Matteo Ciccarelli, Juan A. Garcia and Carlos Montes-Galdon
European Central Bank (ECB), European Central Bank (ECB) and Columbia University, Graduate School of Arts and Sciences, Department of Economics
Downloads 101 (260,307)
Citation 3

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inflation expectations, unconventional monetary policy, news shocks

14.

The Transmission Mechanism of European Monetary Policy: Is There Heterogeneity? Is it Changing Over Time?

IMF Working Paper No. 02/54
Number of pages: 42 Posted: 09 Feb 2006
Matteo Ciccarelli and Alessandro Rebucci
European Central Bank (ECB) and Johns Hopkins University - Carey Business School
Downloads 98 (265,601)
Citation 2

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Bayesian estimation, European monetary policy, Gibbs sampling, Heterogeneity, Transmission mechanism

The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty - Evidence from the US and the Euro Area

CESifo Working Paper Series No. 2575
Number of pages: 44 Posted: 11 Mar 2009
Carlo Altavilla and Matteo Ciccarelli
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 62 (351,385)
Citation 2

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monetary policy, model uncertainty, Bayesian model averaging, unemployment gap, Taylor rule

The Effects of Monetary Policy on Unemployment Dynamics Under Model Uncertainty: Evidence from the US and the Euro Area

ECB Working Paper No. 1089
Number of pages: 48 Posted: 09 Oct 2009
Carlo Altavilla and Matteo Ciccarelli
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 31 (468,818)

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monetary policy, model uncertainty, Bayesian model averaging, unemployment gap, Taylor rule

Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

Banco de Espana Working Paper No. 1241
Number of pages: 48 Posted: 23 Dec 2012
Matteo Ciccarelli, Eva Ortega and Maria Teresa Valderrama
European Central Bank (ECB), Bank of Spain, Research Department and Österreichische Nationalbank - Department of Economics
Downloads 67 (337,310)
Citation 58

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financial crisis, macro-financial linkages, panel VAR models

Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

ECB Working Paper No. 1498
Number of pages: 47 Posted: 15 Dec 2012
Matteo Ciccarelli, Eva Ortega and Maria Teresa Valderrama
European Central Bank (ECB), Bank of Spain, Research Department and Österreichische Nationalbank - Department of Economics
Downloads 21 (526,872)

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financial crisis, macro-financial linkages, panel VAR models

17.

Heterogeneous Transmission Mechanism: Monetary Policy and Financial Fragility in the Euro Area

ECB Working Paper No. 1527
Number of pages: 48 Posted: 10 Apr 2013
Matteo Ciccarelli, Angela Maddaloni and Jose-Luis Peydro
European Central Bank (ECB), European Central Bank (ECB) and Government of Catalan - Catalan Institution for Research and Advanced Studies (ICREA)
Downloads 86 (288,636)
Citation 14

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Heterogeneity, credit channel, financial crisis, monetary policy, non-standard measures

18.

Mending the Broken Link: Heterogeneous Bank Lending and Monetary Policy Pass-Through

ECB Working Paper No. 1978
Number of pages: 54 Posted: 03 Feb 2017
Carlo Altavilla, Fabio Canova and Matteo Ciccarelli
European Central Bank (ECB), Bi norwegian business school and European Central Bank (ECB)
Downloads 78 (306,084)
Citation 9

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monetary policy pass-through, bank balance sheet characteristics

19.

Financial Shocks and the Macroeconomy: Heterogeneity and Non-Linearities

ECB Occasional Paper No. 143
Number of pages: 71 Posted: 12 Mar 2013
Board of Governors of the Federal Reserve System, European Stability Mechanism, National Bank of Slovakia, European Central Bank (ECB), Banque Centrale du Luxembourg, Bank of Finland - Research, National Bank of Belgium, Bank of Portugal, Bank of Spain, Research Department, Österreichische Nationalbank - Department of Economics and Magyar Nemzeti Bank
Downloads 71 (322,945)
Citation 3

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macro-financial linkages, financial shocks, lead-lag relationships, heterogeneity, cross-country spillovers, non-linearities

20.

Information Combination and Forecast (St)Ability Evidence from Vintages of Time-Series Data

ECB Working Paper No. 846
Number of pages: 73 Posted: 21 Dec 2007
Matteo Ciccarelli and Carlo Altavilla
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 60 (352,504)
Citation 2

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Real-time data, Forecast Combination, Data and Model Uncertainty

21.

International Spillovers in Inflation Expectations

ECB Working Paper No. 1857
Number of pages: 32 Posted: 16 Oct 2015
Matteo Ciccarelli and Juan A. Garcia
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 56 (364,521)
Citation 2

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Inflation expectations, global inflation, international spillovers, deflation

22.

The Link between Labor Cost and Price Inflation in the Euro Area

ECB Working Paper No. 2235 (2019); ISBN 978-92-899-3497-8
Number of pages: 66 Posted: 05 Feb 2019
Elena Bobeica, Matteo Ciccarelli and Isabel Vansteenkiste
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 49 (387,021)

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inflation, pass-through, labor costs, structural VAR, euro area

23.

Monetary Policy Analysis in Real-Time: Vintage Combination from a Real-Time Dataset

CESifo Working Paper Series No. 3372
Number of pages: 39 Posted: 19 Mar 2011
Carlo Altavilla and Matteo Ciccarelli
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 44 (404,548)

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monetary policy, Taylor rule, real-time data, great moderation, forecasting

24.

Do Institutional Changes Affect Business Cycles? Evidence from Europe

Banco de Espana Working Paper No. 0921
Number of pages: 40 Posted: 21 Jul 2009
Fabio Canova, Matteo Ciccarelli and Eva Ortega
Bi norwegian business school, European Central Bank (ECB) and Bank of Spain, Research Department
Downloads 41 (415,564)
Citation 62

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business cycles, European Monetary Union, Panel VAR, structural changes

25.

The Dutch Block of the Escb Multi-Country Model

ECB Working Paper No. 646
Number of pages: 73 Posted: 30 Jun 2006
Matteo Ciccarelli, Elena Angelini and Frédéric Boissay
European Central Bank (ECB), European Central Bank (ECB) and Bank for International Settlements (BIS)
Downloads 37 (431,425)

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Multi-country model, Forecast, Simulation, Netherlands

26.

Panel Index VAR Models: Specification, Estimation, Testing and Leading Indicators

CEPR Discussion Paper No. 4033
Number of pages: 28 Posted: 15 Oct 2003
Fabio Canova and Matteo Ciccarelli
Bi norwegian business school and European Central Bank (ECB)
Downloads 34 (443,792)
Citation 12
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Panel VAR, Bayesian methods, leading indicators, Markov Chain Monte Carlo methods

27.

Cyclical Fluctuations in the Mediterranean Basin

ECB Working Paper No. 1367
Number of pages: 42 Posted: 19 Aug 2011
Fabio Canova and Matteo Ciccarelli
Bi norwegian business school and European Central Bank (ECB)
Downloads 25 (487,354)
Citation 6

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Bayesian Methods, Business Cycles, Mediterranean Basin, Developing and Developed Countries

28.

Has the Transmission Mechanism of Euro Monetary Policy Changed in the Run-Up to Emu?

CEPR Discussion Paper No. 4535
Number of pages: 51 Posted: 30 Sep 2004
Matteo Ciccarelli and Alessandro Rebucci
European Central Bank (ECB) and Johns Hopkins University - Carey Business School
Downloads 18 (527,126)
Citation 12
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European monetary policy, Bayesian estimation, Gibbs sampling, time-varying coefficient model, transmission mechanism

29.

Estimating Multicountry VAR Models

International Economic Review, Vol. 50, Issue 3, pp. 929-959, August 2009
Number of pages: 31 Posted: 09 Jul 2009
Fabio Canova and Matteo Ciccarelli
Bi norwegian business school and European Central Bank (ECB)
Downloads 2 (631,365)
Citation 43
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30.

Mending the Broken Link: Heterogeneous Bank Lending and Monetary Policy Pass-Through

CEPR Discussion Paper No. DP11584
Number of pages: 54 Posted: 24 Oct 2016
Carlo Altavilla, Fabio Canova and Matteo Ciccarelli
European Central Bank (ECB), Bi norwegian business school and European Central Bank (ECB)
Downloads 0 (662,094)
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European Banks, Heterogeneity, Monetary pass-through, VARs

31.

Heterogeneous Transmission Mechanism: Monetary Policy and Financial Fragility in the Eurozone

Economic Policy, Vol. 28, Issue 75, pp. 459-512, 2013
Number of pages: 54 Posted: 16 Jul 2013
Matteo Ciccarelli, Angela Maddaloni and Jose-Luis Peydro
European Central Bank (ECB), European Central Bank (ECB) and Government of Catalan - Catalan Institution for Research and Advanced Studies (ICREA)
Downloads 0 (662,094)
Citation 21
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32.

Measuring Contagion and Interdependence with a Bayesian Time-Varying Coefficient Model: An Application to the Chilean Fx Market During the Argentine Crisis

Journal of Financial Econometrics, Vol. 5, Issue 2, pp. 285-320, 2007
Posted: 16 Jun 2008
Matteo Ciccarelli and Alessandro Rebucci
European Central Bank (ECB) and Johns Hopkins University - Carey Business School

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Argentine crisis, Chile, contagion, interdependence, omitted variables, time-varying coefficient models