Ivan Petrella

University of Warwick

Gibbet Hill Rd.

Coventry, West Midlands CV4 8UW

United Kingdom

University of Warwick - Finance Group

Gibbet Hill Rd

Coventry, CV4 7AL

Great Britain

University of Warwick - Warwick Business School

Coventry CV4 7AL

United Kingdom

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

30

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1,873

SSRN CITATIONS
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Top 3,296

in Total Papers Citations

146

CROSSREF CITATIONS

263

Scholarly Papers (30)

1.
Downloads 272 (144,163)
Citation 59

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 220 (177,096)
Citation 25

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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 52 (485,695)
Citation 35

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Credit Constraints, Business Cycles, Skewness, Deleveraging

Leverage and Deepening Business Cycle Skewness

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

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 217 (179,437)
Citation 14

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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

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

3.
Downloads 211 (184,528)
Citation 1

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 209 (185,905)

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

Risk Premia and Seasonality in Commodity Futures

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 (825,463)
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Commodity Futures, Nelson and Siegel, Risk premium, Seasonality, Theory of storage.

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 74 (405,424)

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

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 73 (408,618)
Citation 5

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

5.
Downloads 0 (265,450)
Citation 48

Speculation in the Oil Market

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

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 95 (347,876)

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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 32 (586,843)

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Business Cycle, Corporate Growth, Asymmetric Exponential Power Distribution

Dividend Momentum and Stock Return Predictability: A Bayesian Approach

WBS Finance Group Research Paper
Number of pages: 74 Posted: 06 Oct 2021 Last Revised: 06 Nov 2021
Juan Antolin-Diaz, Ivan Petrella, Ivan Petrella, Ivan Petrella and Juan Rubio Ramírez
London Business School - Department of Economics, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Emory University
Downloads 124 (289,053)

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Dividend Momentum and Stock Return Predictability: A Bayesian Approach

Number of pages: 81 Posted: 09 Nov 2021
Juan Antolin-Diaz, Ivan Petrella, Ivan Petrella, Ivan Petrella and Juan 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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8.
Downloads 120 (294,752)
Citation 4

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 120 (296,133)
Citation 2

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

Modeling and Forecasting Macroeconomic Downside Risk

Number of pages: 80 Posted: 18 Aug 2020 Last Revised: 14 Jul 2021
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
Downloads 0
Citation 2
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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 69 (421,657)
Citation 18

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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 44 (522,016)

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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

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 (838,783)
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Equity premium, present-value models, score-driven models, State space models, time-varying parameters

10.

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 85 (370,120)
Citation 2

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Firm Growth, Size, Age, Conditional Quantile

11.
Downloads 67 (423,121)
Citation 17

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 35 (569,264)
Citation 10

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

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 32 (586,843)
Citation 7

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

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 62 (446,341)
Citation 1

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Asymmetry, Monetary Policy, Business Cycle, Prospect Theory

Loss Aversion and the Asymmetric Transmission of Monetary Policy

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

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 31 (592,922)

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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 29 (605,768)
Citation 1

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

14.

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 49 (490,047)
Citation 1

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Reference-dependent Preferences, Asymmetry, Monetary policy

15.

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 Rubio Ramírez
London Business School - Department of Economics, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Emory University
Downloads 44 (511,988)

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

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 43 (516,547)
Citation 2

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

17.

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 33 (567,057)
Citation 1

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Corporate Growth, Conditional Quantiles, Business Cycles, Asymmetry Reversals

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 16 (703,613)
Citation 1

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

Terms-of-Trade Shocks are Not All Alike

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 12 (737,452)

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19.

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 23 (629,209)
Citation 1

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Reference-dependent Preferences, Asymmetry, Monetary policy

20.

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 21 (643,320)
Citation 1

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

21.

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 19 (657,596)

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

22.

Monetary Policy with Sectoral Trade‐Offs

The Scandinavian Journal of Economics, Vol. 121, Issue 1, pp. 55-88, 2019
Number of pages: 34 Posted: 28 Jan 2019
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 2 (790,521)
Citation 1
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Input–output interactions, interest‐rate rules, sectoral heterogeneity

23.

Structural Scenario Analysis with Svars

Number of pages: 74 Posted: 16 Jan 2018 Last Revised: 02 Mar 2020
Juan Antolin-Diaz, Ivan Petrella, Ivan Petrella, Ivan Petrella and Juan Rubio Ramírez
Fulcrum Asset Management, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Emory University
Downloads 2 (790,521)
Citation 5
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Bayesian methods, Conditional forecasts, forward guidance, Stress Testing, SVARs

24.

Terms-of-Trade Shocks are Not All Alike

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 (802,064)
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business cycles, commodity prices, terms of trade, World Shocks

25.

Time-Varying Price Flexibility and Inflation Dynamics

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 (802,064)
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inflation, price flexibility, Ss models

26.

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

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 (802,064)
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Business cycle, financial stress., score-driven models, State space models, time-varying parameters

27.

Bank Assets, Liquidity and Credit Cycles

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

28.

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

29.

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

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 (819,352)
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Bayesian methods, dynamic factor models, long-run growth, mixed frequencies, real-time forecasting

30.

Discretion vs. Timeless Perspective Under Model-Consistent Stabilization Objectives

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