Ivan Petrella

University of Warwick

Gibbet Hill Rd.

Coventry, West Midlands CV4 8UW

United Kingdom

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • University of Warwick

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

29

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Top 3,336

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146

CROSSREF CITATIONS

263

Scholarly Papers (29)

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1.

Leverage and Deepening Business Cycle Skewness

Downloads 269 (142,286)
Citation 59

Leverage and Deepening Business Cycle Skewness

Number of pages: 63 Posted: 28 Aug 2017
Henrik Jensen, Ivan Petrella, Søren Hove Ravn and Emiliano Santoro
University of Copenhagen - Department of Economics, University of Warwick, University of Copenhagen and University of Copenhagen - Department of Economics
Downloads 217 (175,119)
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, Søren Hove Ravn and Emiliano Santoro
University of Copenhagen - Department of Economics, University of Warwick, University of Copenhagen and University of Copenhagen - Department of Economics
Downloads 52 (474,929)
Citation 35

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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, Søren Hove Ravn and Emiliano Santoro
University of Copenhagen - Department of Economics, University of Warwick, University of Copenhagen and University of Copenhagen - Department of Economics
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business cycles, credit constraints, Deleveraging, Skewness

2.

Risk Premia and Seasonality in Commodity Futures

Downloads 207 (183,304)
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 and Martín Sola
Universidad Torcuato Di Tella - Departamento de Economia, University of Warwick and Universidad Torcuato Di Tella
Downloads 205 (184,739)

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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 and Martin Sola
Universidad Torcuato Di Tella - Departamento de Economia, University of Warwick and Universidad Torcuato Di Tella
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Commodity Futures, Nelson and Siegel, Risk premium, Seasonality, Theory of storage.

3.

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

Downloads 206 (184,103)
Citation 8

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 and Ivan Petrella
London Business School - Department of Economics, London School of Economics & Political Science (LSE) and University of Warwick
Downloads 206 (183,902)
Citation 13

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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 and Ivan Petrella
London Business School - Department of Economics, London School of Economics & Political Science (LSE) and University of Warwick
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Bayesian methods, Daily economic index, Dynamic factor models, Fat Tails, Nowcasting, real-time data

4.

Factor Demand Linkages, Technology Shocks and the Business Cycle

Downloads 147 (246,568)
Citation 4

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 and Ivan Petrella
University of Cambridge - Department of Applied Economics and University of Warwick
Downloads 74 (396,278)

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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 and Ivan Petrella
University of Cambridge - Department of Applied Economics and University of Warwick
Downloads 73 (399,351)
Citation 5

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

5.

Speculation in the Oil Market

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Citation 48

Speculation in the Oil Market

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

6.

Aggregate Fluctuations and the Cross-Sectional Dynamics of Firm Growth

Downloads 127 (276,114)

Aggregate Fluctuations and the Cross-Sectional Dynamics of Firm Growth

Number of pages: 34 Posted: 19 Apr 2011
Sean Holly, Ivan Petrella and Emiliano Santoro
University of Cambridge - Department of Applied Economics, University of Warwick and Catholic University of the Sacred Heart of Milan - Department of Economics
Downloads 95 (340,044)

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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 and Emiliano Santoro
University of Cambridge - Department of Applied Economics, University of Warwick and Catholic University of the Sacred Heart of Milan - Department of Economics
Downloads 32 (574,390)

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Business Cycle, Corporate Growth, Asymmetric Exponential Power Distribution

7.

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

Downloads 109 (308,104)
Citation 18

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 and Fabrizio Venditti
Bank of Italy, University of Warwick and European Central Bank (ECB)
Downloads 64 (429,202)
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

ECB Working Paper No. 2369
Number of pages: 83 Posted: 03 Feb 2020
Davide Delle Monache, Ivan Petrella and Fabrizio Venditti
Bank of Italy, University of Warwick and European Central Bank (ECB)
Downloads 44 (510,701)

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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 and Fabrizio Venditti
Bank of Italy, University of Warwick and European Central Bank (ECB)
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Equity premium, present-value models, score-driven models, State space models, time-varying parameters

8.

Modeling and Forecasting Macroeconomic Downside Risk

Downloads 92 (344,290)
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 and Ivan Petrella
Bank of Italy, University of Warwick - Warwick Business School and University of Warwick
Downloads 92 (347,048)
Citation 2

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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: 80 Posted: 18 Aug 2020 Last Revised: 14 Jul 2021
Andrea De Polis, Davide Delle Monache and Ivan Petrella
University of Warwick - Warwick Business School, Bank of Italy and University of Warwick
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Citation 2
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9.

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 and Emiliano Santoro
Fondazione Eni Enrico Mattei (FEEM), University of Warwick and Catholic University of the Sacred Heart of Milan - Department of Economics
Downloads 85 (361,600)
Citation 2

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Firm Growth, Size, Age, Conditional Quantile

10.

Adaptive Models and Heavy Tails

Downloads 67 (413,621)
Citation 17

Adaptive Models and Heavy Tails

Bank of England Working Paper No. 577
Number of pages: 63 Posted: 09 Jan 2016
Ivan Petrella and Davide Delle Monache
University of Warwick and Bank of Italy
Downloads 35 (556,993)
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 and Ivan Petrella
Bank of Italy and University of Warwick
Downloads 32 (574,390)
Citation 7

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

11.

Loss Aversion and the Asymmetric Transmission of Monetary Policy

Downloads 61 (433,888)
Citation 23

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, Damjan Pfajfar and Emiliano Santoro
University of Trento - Department of Economics and Management, University of Warwick, Board of Governors of the Federal Reserve System and University of Copenhagen - Department of Economics
Downloads 61 (440,021)
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, Damjan Pfajfar and Emiliano Santoro
University of Trento - Department of Economics and Management, University of Warwick, 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

12.

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

Downloads 59 (441,003)
Citation 1

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 and Emiliano Santoro
University of Warwick and University of Copenhagen - Department of Economics
Downloads 30 (586,546)

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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 and Emiliano Santoro
University of Warwick and Catholic University of the Sacred Heart of Milan - Department of Economics
Downloads 29 (592,991)
Citation 1

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

13.

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, Damjan Pfajfar and Emiliano Santoro
Universita degli Studi - Department of Economics, University of Warwick, Board of Governors of the Federal Reserve System and University of Copenhagen - Department of Economics
Downloads 48 (483,340)
Citation 1

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Reference-dependent Preferences, Asymmetry, Monetary policy

14.

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 and Emiliano Santoro
University of Warwick and University of Copenhagen - Department of Economics
Downloads 42 (509,900)
Citation 2

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

15.

Structural Scenario Analysis with SVARs

Journal of Monetary Economics, Forthcoming
Number of pages: 37 Posted: 23 Sep 2020
Juan Antolin-Diaz, Ivan Petrella and Juan Rubio Ramírez
London Business School - Department of Economics, University of Warwick and Emory University
Downloads 39 (524,172)

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

16.

Asymmetry Reversals and the Business Cycle

FEEM Working Paper No. 54.2013
Number of pages: 29 Posted: 21 Jun 2013
Roberta Distante, Ivan Petrella and Emiliano Santoro
Fondazione Eni Enrico Mattei (FEEM), University of Warwick and University of Copenhagen - Department of Economics
Downloads 32 (560,338)
Citation 1

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Corporate Growth, Conditional Quantiles, Business Cycles, Asymmetry Reversals

17.

Terms-of-Trade Shocks are Not all Alike

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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 and Ivan Petrella
Bank of England, International Monetary Fund (IMF) and University of Warwick
Downloads 16 (689,510)
Citation 1

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

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 and Ivan Petrella
Bank of England, International Monetary Fund (IMF) and University of Warwick
Downloads 9 (748,485)

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18.

Reference-Dependent Preferences and the Transmission of Monetary Policy

Number of pages: 34 Posted: 11 Nov 2010
Edoardo Gaffeo, Ivan Petrella, Damjan Pfajfar and Emiliano Santoro
Università degli Studi di Udine - Department of Economics, University of Warwick, Board of Governors of the Federal Reserve System and Catholic University of the Sacred Heart of Milan - Department of Economics
Downloads 22 (623,060)
Citation 1

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Reference-dependent Preferences, Asymmetry, Monetary policy

19.

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, Raffaele Rossi and Emiliano Santoro
University of Warwick, Lancaster University and University of Copenhagen - Department of Economics
Downloads 20 (637,022)
Citation 1

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

20.

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, Raffaele Rossi and Emiliano Santoro
University of Warwick, Lancaster University and University of Copenhagen - Department of Economics
Downloads 19 (644,215)

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

21.

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, Raffaele Rossi and Emiliano Santoro
University of Warwick, Lancaster University and University of Copenhagen - Department of Economics
Downloads 2 (776,426)
Citation 1
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Input–output interactions, interest‐rate rules, sectoral heterogeneity

22.

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 and Juan Rubio Ramírez
Fulcrum Asset Management, University of Warwick and Emory University
Downloads 2 (776,426)
Citation 5
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Bayesian methods, Conditional forecasts, forward guidance, Stress Testing, SVARs

23.

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, Emiliano Santoro and Lasse de la Porte Simonsen
University of Warwick, University of Copenhagen - Department of Economics and University of London - Birkbeck College
Downloads 1 (787,963)
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inflation, price flexibility, Ss models

24.

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 and Fabrizio Venditti
Bank of Italy, University of Warwick and Bank of Italy
Downloads 1 (787,963)
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Business cycle, financial stress., score-driven models, State space models, time-varying parameters

25.

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 and Ivan Petrella
International Monetary Fund (IMF) and University of Warwick
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business cycles, commodity prices, terms of trade, World Shocks

26.

Bank Assets, Liquidity and Credit Cycles

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

27.

Tracking the Slowdown in Long-Run GDP Growth

Posted: 12 Apr 2016 Last Revised: 18 Apr 2016
Ivan Petrella, Juan Antolin-Diaz and Thomas Drechsel
University of Warwick, 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

28.

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 and Ivan Petrella
Fulcrum Asset Management, London School of Economics & Political Science (LSE) and University of Warwick
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Bayesian methods, dynamic factor models, long-run growth, mixed frequencies, real-time forecasting

29.

Discretion vs. Timeless Perspective Under Model-Consistent Stabilization Objectives

CEPR Discussion Paper No. DP9731
Number of pages: 16 Posted: 14 Nov 2013
Ivan Petrella, Raffaele Rossi and Emiliano Santoro
University of Warwick, 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