Ivan Petrella

University of Warwick - Finance Group

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

University of Warwick - Warwick Business School

Coventry CV4 7AL

United Kingdom

University of Warwick

Gibbet Hill Rd.

Coventry, West Midlands CV4 8UW

United Kingdom

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

33

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4,510

SSRN CITATIONS
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Top 3,336

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253

CROSSREF CITATIONS

288

Scholarly Papers (33)

1.

Taming Momentum Crashes

Number of pages: 73 Posted: 09 Aug 2022 Last Revised: 24 Apr 2024
Daniele Bianchi, Andrea De Polis, Ivan Petrella, Ivan Petrella and Ivan Petrella
School of Economics and Finance, Queen Mary University of London, University of Warwick - Warwick Business School and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 1,053 (40,016)
Citation 1

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Time-varying skewness, Momentum investing, Risk-return trade-off, Asset pricing.

2.
Downloads 447 (121,622)
Citation 14

Modeling and Forecasting Macroeconomic Downside Risk

Bank of Italy Temi di Discussione (Working Paper) No. 1324
Number of pages: 100 Posted: 25 May 2021
Davide Delle Monache, Andrea De Polis, Ivan Petrella, Ivan Petrella and Ivan Petrella
Bank of Italy, University of Warwick - Warwick Business School and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 447 (120,307)
Citation 19

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business cycle, financial conditions, downside risk, skewness, score driven models

Modeling and Forecasting Macroeconomic Downside Risk

CEPR Discussion Paper No. DP15109
Number of pages: 100 Posted: 18 Aug 2020 Last Revised: 29 Mar 2022
Andrea De Polis, Davide Delle Monache, Ivan Petrella, Ivan Petrella and Ivan Petrella
University of Warwick - Warwick Business School, Bank of Italy and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
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Citation 2
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Business cycle, Downside risk, financial conditions, score driven models, Skewness

Dividend Momentum and Stock Return Predictability: A Bayesian Approach

WBS Finance Group Research Paper
Number of pages: 79 Posted: 06 Oct 2021 Last Revised: 13 Feb 2024
Juan Antolin-Diaz, Ivan Petrella, Ivan Petrella, Ivan Petrella and Juan F. Rubio-Ramírez
London Business School - Department of Economics, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Emory University
Downloads 355 (156,800)

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Dividend Momentum and Stock Return Predictability: A Bayesian Approach

CEPR Discussion Paper No. DP16613
Number of pages: 81 Posted: 09 Nov 2021
Juan Antolin-Diaz, Ivan Petrella, Ivan Petrella, Ivan Petrella and Juan F. Rubio-Ramírez
London Business School - Department of Economics, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Emory University
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Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data

Number of pages: 47 Posted: 12 Aug 2020
Juan Antolin-Diaz, Thomas Drechsel, Ivan Petrella, Ivan Petrella and Ivan Petrella
London Business School - Department of Economics, London School of Economics & Political Science (LSE) and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 337 (165,865)
Citation 19

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Nowcasting, Dynamic Factor Models, Real-Time Data, Bayesian Methods, Fat Tails

Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data

CEPR Discussion Paper No. DP15926
Number of pages: 63 Posted: 15 Mar 2021 Last Revised: 22 Sep 2021
Juan Antolin-Diaz, Thomas Drechsel, Ivan Petrella, Ivan Petrella and Ivan Petrella
London Business School - Department of Economics, London School of Economics & Political Science (LSE) and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
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Bayesian methods, Daily economic index, Dynamic factor models, Fat Tails, Nowcasting, real-time data

5.
Downloads 336 (167,636)
Citation 50

Leverage and Deepening Business Cycle Skewness

Number of pages: 63 Posted: 28 Aug 2017
Henrik Jensen, Ivan Petrella, Ivan Petrella, Ivan Petrella, Søren Hove Ravn and Emiliano Santoro
University of Copenhagen - Department of Economics, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group, University of Copenhagen and University of Copenhagen - Department of Economics
Downloads 247 (229,059)
Citation 26

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Credit constraints, business cycles, skewness, deleveraging

Leverage and Deepening Business Cycle Skewness

Banco de Espana Working Paper No. 1732
Number of pages: 70 Posted: 28 Sep 2017
Henrik Jensen, Ivan Petrella, Ivan Petrella, Ivan Petrella, Søren Hove Ravn and Emiliano Santoro
University of Copenhagen - Department of Economics, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group, University of Copenhagen and University of Copenhagen - Department of Economics
Downloads 89 (532,466)
Citation 26

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Credit Constraints, Business Cycles, Skewness, Deleveraging

Leverage and Deepening Business Cycle Skewness

CEPR Discussion Paper No. DP12239
Number of pages: 91 Posted: 29 Aug 2017 Last Revised: 01 Apr 2019
Henrik Jensen, Ivan Petrella, Ivan Petrella, Ivan Petrella, Søren Hove Ravn and Emiliano Santoro
University of Copenhagen - Department of Economics, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group, University of Copenhagen and University of Copenhagen - Department of Economics
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business cycles, credit constraints, Deleveraging, Skewness

6.
Downloads 302 (187,671)
Citation 3

Risk Premia and Seasonality in Commodity Futures

Bank of England Working Paper No. 591
Number of pages: 68 Posted: 06 May 2016
Constantino Hevia, Ivan Petrella, Ivan Petrella, Ivan Petrella and Martín Sola
Universidad Torcuato Di Tella - Departamento de Economia, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Universidad Torcuato Di Tella
Downloads 300 (187,814)

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Commodity futures, Nelson and Siegel, seasonality, risk premium, theory of storage

Risk Premia and Seasonality in Commodity Futures

CEPR Discussion Paper No. DP11169
Number of pages: 68 Posted: 18 Apr 2016 Last Revised: 12 Mar 2018
Constantino Hevia, Ivan Petrella, Ivan Petrella, Ivan Petrella and Martin Sola
Universidad Torcuato Di Tella - Departamento de Economia, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Universidad Torcuato Di Tella
Downloads 2 (1,167,702)
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Commodity Futures, Nelson and Siegel, Risk premium, Seasonality, Theory of storage.

7.
Downloads 0 (294,154)
Citation 62

Speculation in the Oil Market

CEPR Discussion Paper No. DP9808
Number of pages: 37 Posted: 02 Jun 2014
Luciana Juvenal, Ivan Petrella, Ivan Petrella and Ivan Petrella
Federal Reserve Bank of Saint Louis and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
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Citation 20
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DFM, oil prices, speculation

Factor Demand Linkages, Technology Shocks and the Business Cycle

Number of pages: 43 Posted: 04 Nov 2010
Sean Holly, Ivan Petrella, Ivan Petrella and Ivan Petrella
University of Cambridge - Department of Applied Economics and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 95 (510,365)
Citation 5

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Technology Shocks, Multisectors, Business Cycle, Long-run Restrictions, Cross Sectional Dependence

Factor Demand Linkages, Technology Shocks and the Business Cycle

Center for Economic Studies, KU Leuven - Discussion Paper No. 10.26
Number of pages: 43 Posted: 11 Oct 2010
Sean Holly, Ivan Petrella, Ivan Petrella and Ivan Petrella
University of Cambridge - Department of Applied Economics and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 93 (517,604)

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Technology Shocks, Multisectors, Business Cycle, Long-run Restrictions, Cross Sectional Dependence.

Price Dividend Ratio and Long-Run Stock Returns: A Score Driven State Space Model

Bank of Italy Temi di Discussione (Working Paper) No. 1296
Number of pages: 63 Posted: 13 Oct 2020
Davide Delle Monache, Ivan Petrella, Ivan Petrella, Ivan Petrella and Fabrizio Venditti
Bank of Italy, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and European Central Bank (ECB)
Downloads 104 (479,487)
Citation 19

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state space models, time-varying parameters, score-driven models, equity premium, present-value models

Price Dividend Ratio and Long-Run Stock Returns: A Score Driven State Space Model

Number of pages: 83 Posted: 03 Feb 2020
Davide Delle Monache, Ivan Petrella, Ivan Petrella, Ivan Petrella and Fabrizio Venditti
Bank of Italy, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and European Central Bank (ECB)
Downloads 66 (635,867)

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equity premium, present-value models., score-driven models, state space models, time-varying parameters

Price Dividend Ratio and Long-Run Stock Returns: A Score Driven State Space Model

CEPR Discussion Paper No. DP14107
Number of pages: 69 Posted: 04 Dec 2019
Davide Delle Monache, Ivan Petrella, Ivan Petrella, Ivan Petrella and Fabrizio Venditti
Bank of Italy, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and European Central Bank (ECB)
Downloads 1 (1,176,933)
Citation 2
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Equity premium, present-value models, score-driven models, State space models, time-varying parameters

Aggregate Fluctuations and the Cross-Sectional Dynamics of Firm Growth

Number of pages: 34 Posted: 19 Apr 2011
Sean Holly, Ivan Petrella, Ivan Petrella, Ivan Petrella and Emiliano Santoro
University of Cambridge - Department of Applied Economics, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Catholic University of the Sacred Heart of Milan - Department of Economics
Downloads 116 (441,760)

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Business Cycle, Corporate Growth, Asymmetric Exponential Power Distribution

Aggregate Fluctuations and the Cross-Sectional Dynamics of Firm Growth

Number of pages: 34 Posted: 13 May 2011
Sean Holly, Ivan Petrella, Ivan Petrella, Ivan Petrella and Emiliano Santoro
University of Cambridge - Department of Applied Economics, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Catholic University of the Sacred Heart of Milan - Department of Economics
Downloads 50 (729,960)

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Business Cycle, Corporate Growth, Asymmetric Exponential Power Distribution

Terms-of-Trade Shocks are Not All Alike

IMF Working Paper No. 2020/280
Number of pages: 62 Posted: 26 Jan 2021
Federico Di Pace, Luciana Juvenal, Ivan Petrella, Ivan Petrella and Ivan Petrella
Bank of England, International Monetary Fund (IMF) and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 98 (499,814)

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Terms-of-Trade Shocks are Not all Alike

Bank of England Working Paper No. 901
Number of pages: 30 Posted: 12 Jan 2021
Federico Di Pace, Luciana Juvenal, Ivan Petrella, Ivan Petrella and Ivan Petrella
Bank of England, International Monetary Fund (IMF) and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 64 (646,540)
Citation 1

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Terms of trade, commodity prices, business cycles, world shocks

12.

Structural Scenario Analysis with SVARs

Journal of Monetary Economics, Forthcoming
Number of pages: 37 Posted: 23 Sep 2020
Juan Antolin-Diaz, Ivan Petrella, Ivan Petrella, Ivan Petrella and Juan F. Rubio-Ramírez
London Business School - Department of Economics, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Emory University
Downloads 119 (431,451)

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Conditional forecasts, SVARs, Bayesian methods, Forward guidance, Stress testing

13.

Size, Age and the Growth of Firms: New Evidence from Quantile Regressions

FEEM Working Paper No. 69.2014
Number of pages: 15 Posted: 22 Jul 2014
Roberta Distante, Ivan Petrella, Ivan Petrella, Ivan Petrella and Emiliano Santoro
Fondazione Eni Enrico Mattei (FEEM), University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Catholic University of the Sacred Heart of Milan - Department of Economics
Downloads 111 (454,535)
Citation 2

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Firm Growth, Size, Age, Conditional Quantile

14.
Downloads 108 (463,555)
Citation 17

Adaptive Models and Heavy Tails

Bank of Italy Temi di Discussione (Working Paper) No. 1052
Number of pages: 62 Posted: 12 May 2016
Davide Delle Monache, Ivan Petrella, Ivan Petrella and Ivan Petrella
Bank of Italy and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 55 (697,996)
Citation 7

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adaptive algorithms, inflation, score driven models, student-t, time-varying parameters

Adaptive Models and Heavy Tails

Bank of England Working Paper No. 577
Number of pages: 63 Posted: 09 Jan 2016
Ivan Petrella, Ivan Petrella, Ivan Petrella and Davide Delle Monache
University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Bank of Italy
Downloads 53 (710,331)
Citation 11

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Adaptive algorithms, student-t, inflation, score driven models, time-varying parameters

Inflation Dynamics and Real Marginal Costs: New Evidence from U.S. Manufacturing Industries

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 11-32
Number of pages: 43 Posted: 27 Jan 2012
Ivan Petrella, Ivan Petrella, Ivan Petrella and Emiliano Santoro
University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and University of Copenhagen - Department of Economics
Downloads 56 (692,024)

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New Keynesian Phillips Curve, Aggregation, Sectoral Data, Intermediate Goods

Inflation Dynamics and Real Marginal Costs: New Evidence from U.S. Manufacturing Industries

Number of pages: 44 Posted: 14 Jan 2012
Ivan Petrella, Ivan Petrella, Ivan Petrella and Emiliano Santoro
University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Catholic University of the Sacred Heart of Milan - Department of Economics
Downloads 42 (786,356)
Citation 1

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New Keynesian Phillips Curve, aggregation, sectoral data, intermediate goods

16.

Optimal Monetary Policy with Durable Consumption Goods and Factor Demand Linkages

EPRU Working Paper Series No. 2009-04
Number of pages: 46 Posted: 11 Oct 2010
Ivan Petrella, Ivan Petrella, Ivan Petrella and Emiliano Santoro
University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and University of Copenhagen - Department of Economics
Downloads 93 (513,147)
Citation 2

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Input-Output Interactions, Durable Goods, Optimal Monetary Pol- icy

Loss Aversion and the Asymmetric Transmission of Monetary Policy

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-21
Number of pages: 40 Posted: 16 Nov 2012
Edoardo Gaffeo, Ivan Petrella, Ivan Petrella, Ivan Petrella, Damjan Pfajfar and Emiliano Santoro
University of Trento - Department of Economics and Management, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group, Board of Governors of the Federal Reserve System and University of Copenhagen - Department of Economics
Downloads 83 (556,613)
Citation 1

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Asymmetry, Monetary Policy, Business Cycle, Prospect Theory

Loss Aversion and the Asymmetric Transmission of Monetary Policy

CEPR Discussion Paper No. DP10105
Number of pages: 55 Posted: 25 Sep 2014
Edoardo Gaffeo, Ivan Petrella, Ivan Petrella, Ivan Petrella, Damjan Pfajfar and Emiliano Santoro
University of Trento - Department of Economics and Management, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group, Board of Governors of the Federal Reserve System and Catholic University of the Sacred Heart of Milan - Department of Economics
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Citation 7
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asymmetry, business cycle, monetary policy, prospect theory

18.

Reference-Dependent Preferences and the Transmission of Monetary Policy

Center for Economic Studies, KU Leuven - Discussion Paper No. 10.28 , CentER Discussion Paper Series No. 2010-111, European Banking Center Discussion Paper No. 2010-28
Number of pages: 34 Posted: 14 Oct 2010 Last Revised: 15 Apr 2011
Edoardo Gaffeo, Ivan Petrella, Ivan Petrella, Ivan Petrella, Damjan Pfajfar and Emiliano Santoro
Universita degli Studi - Department of Economics, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group, Board of Governors of the Federal Reserve System and University of Copenhagen - Department of Economics
Downloads 70 (606,578)
Citation 1

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Reference-dependent Preferences, Asymmetry, Monetary policy

19.

Asset Market Participation, Redistribution, and Asset Pricing

WBS Finance Group Research Paper
Number of pages: 90 Posted: 05 Dec 2023
Francesco Saverio Gaudio, Ivan Petrella, Ivan Petrella, Ivan Petrella and Emiliano Santoro
Aix-Marseille University, AMSE, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Catholic University of the Sacred Heart of Milan - Department of Economics
Downloads 60 (656,512)

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Consumption, Income, Heterogeneity, Limited participation, Asset pricing.

20.

Asymmetry Reversals and the Business Cycle

FEEM Working Paper No. 54.2013
Number of pages: 29 Posted: 21 Jun 2013
Roberta Distante, Ivan Petrella, Ivan Petrella, Ivan Petrella and Emiliano Santoro
Fondazione Eni Enrico Mattei (FEEM), University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and University of Copenhagen - Department of Economics
Downloads 60 (656,512)
Citation 1

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Corporate Growth, Conditional Quantiles, Business Cycles, Asymmetry Reversals

21.
Downloads 55 (683,998)
Citation 2

Aggregate skewness and the business cycle

European Stability Mechanism Working Paper No. 53
Number of pages: 48 Posted: 01 Aug 2022
Martin Iseringhausen, Ivan Petrella, Ivan Petrella, Ivan Petrella and Konstantinos Theodoridis
European Stability Mechanism, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Cardiff University
Downloads 55 (697,996)
Citation 2

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Business cycles, downside risk, skewness

Aggregate Skewness and the Business Cycle

CEPR Discussion Paper No. DP17162
Number of pages: 46 Posted: 31 May 2022
Martin Iseringhausen, Ivan Petrella, Ivan Petrella, Ivan Petrella and Konstantinos Theodoridis
European Stability Mechanism, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and European Stability Mechanism
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Citation 1
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Asymmetry, Principal Component Analysis, Quantile regression, VAR

22.

Reference-Dependent Preferences and the Transmission of Monetary Policy

Number of pages: 34 Posted: 11 Nov 2010
Edoardo Gaffeo, Ivan Petrella, Ivan Petrella, Ivan Petrella, Damjan Pfajfar and Emiliano Santoro
Università degli Studi di Udine - Department of Economics, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group, Board of Governors of the Federal Reserve System and Catholic University of the Sacred Heart of Milan - Department of Economics
Downloads 41 (774,270)
Citation 1

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Reference-dependent Preferences, Asymmetry, Monetary policy

23.

Monetary Policy with Sectoral Linkages and Durable Goods

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-19
Number of pages: 56 Posted: 16 Nov 2012
Ivan Petrella, Ivan Petrella, Ivan Petrella, Raffaele Rossi and Emiliano Santoro
University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group, Lancaster University and University of Copenhagen - Department of Economics
Downloads 37 (803,776)

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Durable Goods, Input-Output Interactions, Monetary Policy, Interest Rate Rules

24.

Discretion vs. Timeless Perspective Policy-Making: The Role of Input-Output Interactions

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-20
Number of pages: 17 Posted: 16 Nov 2012
Ivan Petrella, Ivan Petrella, Ivan Petrella, Raffaele Rossi and Emiliano Santoro
University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group, Lancaster University and University of Copenhagen - Department of Economics
Downloads 36 (811,485)
Citation 1

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Input-Output Economy, Monetary Policy, Discretion, Timeless Perspective

25.

Unveiling the Dance of Commodity Prices and the Global Financial Cycle

IMF Working Paper No. 2024/082
Number of pages: 61 Posted: 11 Apr 2024
Luciana Juvenal, Ivan Petrella, Ivan Petrella and Ivan Petrella
International Monetary Fund (IMF) and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 17 (984,613)

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26.

Structural Scenario Analysis with Svars

CEPR Discussion Paper No. DP12579
Number of pages: 74 Posted: 16 Jan 2018 Last Revised: 02 Mar 2020
Juan Antolin-Diaz, Ivan Petrella, Ivan Petrella, Ivan Petrella and Juan F. Rubio-Ramírez
Fulcrum Asset Management, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Emory University
Downloads 2 (1,121,598)
Citation 23
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Bayesian methods, Conditional forecasts, forward guidance, Stress Testing, SVARs

27.

Terms-of-Trade Shocks are Not All Alike

CEPR Discussion Paper No. DP14594
Number of pages: 104 Posted: 08 May 2020 Last Revised: 22 Sep 2021
Luciana Juvenal, Ivan Petrella, Ivan Petrella and Ivan Petrella
International Monetary Fund (IMF) and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 1 (1,129,510)
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business cycles, commodity prices, terms of trade, World Shocks

28.

Time-Varying Price Flexibility and Inflation Dynamics

CEPR Discussion Paper No. DP13027
Number of pages: 59 Posted: 03 Jul 2018 Last Revised: 04 Oct 2019
Ivan Petrella, Ivan Petrella, Ivan Petrella, Emiliano Santoro and Lasse de la Porte Simonsen
University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group, University of Copenhagen - Department of Economics and University of London - Birkbeck College
Downloads 1 (1,129,510)
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inflation, price flexibility, Ss models

29.

Adaptive State Space Models with Applications to the Business Cycle and Financial Stress

CEPR Discussion Paper No. DP11599
Number of pages: 56 Posted: 07 Nov 2016
Davide Delle Monache, Ivan Petrella, Ivan Petrella, Ivan Petrella and Fabrizio Venditti
Bank of Italy, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Bank of Italy
Downloads 1 (1,129,510)
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Business cycle, financial stress., score-driven models, State space models, time-varying parameters

30.

Bank Assets, Liquidity and Credit Cycles

CEPR Discussion Paper No. DP13831
Number of pages: 43 Posted: 30 Jul 2019
Federico Lubello, Ivan Petrella, Ivan Petrella, Ivan Petrella and Emiliano Santoro
Banque Centrale du Luxembourg, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and University of Copenhagen - Department of Economics
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Bank Collateral, Banking, capital misallocation, liquidity, macroprudential policy

31.

Tracking the Slowdown in Long-Run GDP Growth

Posted: 12 Apr 2016 Last Revised: 18 Apr 2016
Ivan Petrella, Ivan Petrella, Ivan Petrella, Juan Antolin-Diaz and Thomas Drechsel
University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group, Fulcrum Asset Management and London School of Economics & Political Science (LSE)

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Long-run growth, business cycles, productivity, dynamic factor models, real-time data

32.

Following the Trend: Tracking GDP When Long-Run Growth is Uncertain

CEPR Discussion Paper No. DP10272
Number of pages: 78 Posted: 02 Dec 2014
Juan Antolin-Diaz, Thomas Drechsel, Ivan Petrella, Ivan Petrella and Ivan Petrella
Fulcrum Asset Management, London School of Economics & Political Science (LSE) and University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group
Downloads 0 (1,137,587)
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Bayesian methods, dynamic factor models, long-run growth, mixed frequencies, real-time forecasting

33.

Discretion vs. Timeless Perspective Under Model-Consistent Stabilization Objectives

CEPR Discussion Paper No. DP9731
Number of pages: 16 Posted: 14 Nov 2013
Ivan Petrella, Ivan Petrella, Ivan Petrella, Raffaele Rossi and Emiliano Santoro
University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group, Lancaster University and Catholic University of the Sacred Heart of Milan - Department of Economics
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Discretion, Loss of Social Welfare, Monetary Policy, Timeless Perspective