Simone Manganelli

European Central Bank (ECB)

Principal Economist, DG-Research

Kaiserstrasse 29

Frankfurt am Main, 60311

Germany

http://www.simonemanganelli.org

SCHOLARLY PAPERS

39

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16,188

SSRN CITATIONS
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SSRN RANKINGS

Top 2,606

in Total Papers Citations

203

CROSSREF CITATIONS

307

Scholarly Papers (39)

1.

Value at Risk Models in Finance

ECB Working Paper No. 75
Number of pages: 41 Posted: 25 Feb 2003
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University (NYU) - Department of Finance
Downloads 6,921 (1,233)
Citation 2

Abstract:

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Value at Risk; CAViaR; Extreme Value Theory

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

ECB Working Paper No. 1394
Number of pages: 53 Posted: 05 Nov 2011
Yener Altunbas, Simone Manganelli and David Marques-Ibanez
University of Wales, Bangor, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,075 (25,716)
Citation 7

Abstract:

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

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

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

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

3.

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

Number of pages: 55 Posted: 06 Jun 2003
Philipp Hartmann, Angela Maddaloni and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 877 (34,839)

Abstract:

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

4.

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

ECB Occasional Paper No. 122
Number of pages: 36 Posted: 19 Jan 2011
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 857 (35,980)
Citation 7

Abstract:

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covered bonds, liquidity, primary market, secondary market

5.

Measuring Comovements by Regression Quantiles

ECB Working Paper No. 501
Number of pages: 50 Posted: 28 Jul 2005
Lorenzo Cappiello, Simone Manganelli and Bruno Gerard
European Central Bank (ECB), European Central Bank (ECB) and BI Norwegian Business School - Department of Finance
Downloads 600 (57,866)
Citation 3

Abstract:

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codependence, semi-parametric, conditional quantiles

6.

Sensitivity Analysis of Volatility: A New Tool for Risk Management

Number of pages: 38 Posted: 10 Dec 2002
Simone Manganelli, Vladimiro Ceci and Walter Vecchiato
European Central Bank (ECB), Cassa Depositi e Prestiti S.p.A. and Veneto Banca
Downloads 593 (58,898)

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Risk Management, Sensitivity Analysis, Dynamic Correlations, GARCH

7.

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

ECB Working Paper No. 745
Number of pages: 40 Posted: 25 Apr 2007
Simone Manganelli and Guido Wolswijk
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 504 (72,043)
Citation 9

Abstract:

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Bond spreads, credit risk, liquidity risk

8.

Duration, Volume and Volatility Impact of Trades

ECB Working Paper No. 125
Number of pages: 47 Posted: 12 Feb 2002
Simone Manganelli
European Central Bank (ECB)
Downloads 489 (74,764)
Citation 7

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

9.

The Impact of the Euro on Financial Markets

ECB Working Paper No. 598
Number of pages: 113 Posted: 25 Apr 2006
European Central Bank (ECB), Bank for International Settlements (BIS) - BIS Representative Office for Asia and the Pacific, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 452 (82,167)
Citation 1

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

10.

Measuring Financial Integration in New EU Member States

ECB Occasional Paper No. 81
Number of pages: 38 Posted: 15 Mar 2008
Deutsche Bundesbank, European Central Bank (ECB), European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB)
Downloads 382 (99,916)
Citation 1

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11.

Financial Integration of New EU Member States

ECB Working Paper No. 683
Number of pages: 74 Posted: 09 Nov 2006
European Central Bank (ECB), European Central Bank (ECB), BI Norwegian Business School - Department of Finance and European Central Bank (ECB)
Downloads 359 (107,111)

Abstract:

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Integration, new EU member states, regression quantile

12.

A New Theory of Forecasting

ECB Working Paper No. 584, EFA 2006 Zurich Meetings
Number of pages: 43 Posted: 03 Feb 2006
Simone Manganelli
European Central Bank (ECB)
Downloads 326 (119,243)

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Decision under uncertainty, estimation, overfitting, asset allocation

13.

Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR

ECB Working Paper No. 957
Number of pages: 40 Posted: 20 Nov 2008
Halbert L. White Jr., Tae-Hwan Kim and Simone Manganelli
University of California, San Diego (UCSD) - Department of Economics, University of Nottingham - School of Economics and European Central Bank (ECB)
Downloads 293 (133,569)
Citation 1

Abstract:

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

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

Journal of Financial Intermediation, Forthcoming
Number of pages: 58 Posted: 23 Sep 2015 Last Revised: 24 May 2016
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 231 (169,028)
Citation 25

Abstract:

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

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

ECB Working Paper No. 1886
Number of pages: 62 Posted: 25 Feb 2016
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 49 (499,002)

Abstract:

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

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

Number of pages: 62 Posted: 28 Oct 2015
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1 (839,238)
Citation 2
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central bank policy, financial crisis, interbank markets, lender-of-last-resort, sovereign debt crisis

15.

Asset Allocation by Penalized Least Squares

ECB Working Paper No. 723
Number of pages: 53 Posted: 06 Feb 2007
Simone Manganelli
European Central Bank (ECB)
Downloads 275 (142,723)

Abstract:

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

16.

Caviar: Conditional Value at Risk by Quantile Regression

Number of pages: 54 Posted: 17 Feb 2000 Last Revised: 25 Jul 2021
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University (NYU) - Department of Finance
Downloads 219 (178,373)
Citation 2

Abstract:

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17.

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

Number of pages: 57 Posted: 04 Jun 2003
Lutz Kilian and Simone Manganelli
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 218 (179,125)

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Inflation, deflation, risk, forecast, monetary policy

18.

Bank Risk and Business Models During the Great Recession

Number of pages: 36 Posted: 21 Mar 2011
David Marques-Ibanez, Simone Manganelli and Yener Altunbas
European Central Bank (ECB), European Central Bank (ECB) and University of Wales, Bangor
Downloads 188 (205,108)
Citation 2

Abstract:

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bank risk, business models, quantile regression, great recession

19.

Forecasting and Stress Testing with Quantile Vector Autoregression

Number of pages: 43 Posted: 18 Nov 2019
Sulkhan Chavleishvili and Simone Manganelli
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 164 (230,668)
Citation 6

Abstract:

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growth at risk, regression quantiles, structural VAR

20.

Measuring Financial Fragmentation in the Euro Area Corporate Bond Market

Banque de France Working Paper No. 582
Number of pages: 34 Posted: 05 Apr 2016
Guillaume Horny, Simone Manganelli and Benoît Mojon
Banque de France, European Central Bank (ECB) and Bank for International Settlements (BIS)
Downloads 150 (248,498)
Citation 22

Abstract:

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financial integration, credit risk, country premia, fragmentation index

A High Frequency Assessment of the ECB Securities Markets Programme

ECB Working Paper No. 1642
Number of pages: 27 Posted: 15 Mar 2014
Eric Ghysels, Julien Idier, Simone Manganelli and Olivier Vergote
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 124 (289,265)
Citation 1

Abstract:

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

A High Frequency Assessment of the ECB Securities Markets Programme

Number of pages: 29 Posted: 10 Dec 2013
Eric Ghysels, Julien Idier, Simone Manganelli and Olivier Vergote
University of North Carolina Kenan-Flagler Business School, Banque de France - Centre de Recherche, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 2 (825,882)
Citation 16
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A High-Frequency Assessment of the ECB Securities Markets Programme

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

Abstract:

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22.

VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles

ECB Working Paper No. 1814
Number of pages: 50 Posted: 23 Jun 2015
Halbert L. White Jr., Tae-Hwan Kim and Simone Manganelli
University of California, San Diego (UCSD) - Department of Economics, University of Nottingham - School of Economics and European Central Bank (ECB)
Downloads 108 (317,579)
Citation 18

Abstract:

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CAViaR; codependence; quantile impulse-responses; spillover

23.

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

ECB Working Paper No. 906
Number of pages: 54 Posted: 01 Jul 2008
Lorenzo Cappiello, Arjan Kadareja and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 105 (323,754)
Citation 2

Abstract:

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

Fragmentation in the Euro Overnight Unsecured Money Market

Number of pages: 10 Posted: 16 Sep 2014 Last Revised: 28 Jan 2016
Carlos Garcia-de-Andoain, Peter Hoffmann and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 77 (396,540)
Citation 1

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

Fragmentation in the Euro Overnight Unsecured Money Market

ECB Working Paper No. 1755
Number of pages: 13 Posted: 20 Dec 2014
Carlos Garcia-de-Andoain, Peter Hoffmann and Simone Manganelli
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 19 (680,184)
Citation 2

Abstract:

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

25.

Financial Markets, Diversification, and Allocative Efficiency: International Evidence

Number of pages: 46 Posted: 17 Mar 2010
Simone Manganelli and Alexander A. Popov
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 94 (347,821)

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

26.

Finance and Diversification

ECB Working Paper No. 1259
Number of pages: 59 Posted: 22 Oct 2010
Simone Manganelli and Alexander A. Popov
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 93 (350,189)

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

27.

The Risk Management Approach to Macro-Prudential Policy

ECB Working Paper No. 2021/2565
Number of pages: 76 Posted: 03 Jun 2021
European Central Bank (ECB), New York University (NYU) - Department of Finance, European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
Downloads 74 (401,269)

Abstract:

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28.

Realized Bank Risk during the Great Recession

Number of pages: 38 Posted: 05 Sep 2015
Yener Altunbas, Simone Manganelli and David Marques-Ibanez
University of Wales, Bangor, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 58 (455,011)
Citation 5

Abstract:

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Bank risk, business models, great recession

29.

Financial Conditions, Business Cycle Fluctuations and Growth at Risk

ECB Working Paper No. 20202470
Number of pages: 26 Posted: 28 Sep 2020
Andrea Falconio and Simone Manganelli
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 43 (516,914)

Abstract:

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financial conditions, quantile regression, risk, uncertainty

30.

A Risk Management Perspective on Macroprudential Policy

ECB Working Paper No. 2021/2556
Number of pages: 35 Posted: 24 May 2021
European Central Bank (ECB), European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
Downloads 35 (556,616)

Abstract:

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31.

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

ECB Working Paper No. 2116, ISBN: 978-92-899-3039-0
Number of pages: 47 Posted: 08 Dec 2017
Johannes Bubeck, Maurizio Michael Habib and Simone Manganelli
Deutsche Bundesbank, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 31 (578,461)
Citation 5

Abstract:

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

32.

Deciding with Judgment

ECB Working Paper No. 1947
Number of pages: 45 Posted: 29 Aug 2016
Simone Manganelli
European Central Bank (ECB)
Downloads 28 (596,507)

Abstract:

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Statistical Decision Theory, Statistical Risk Aversion, Portfolio Selection

33.

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

Number of pages: 47 Posted: 25 Jul 2003
Lutz Kilian and Simone Manganelli
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 19 (658,043)
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Risk, forecast, monetary policy, price stability, inflation, deflation

34.

Selecting Models with Judgment

ECB Working Paper No. 2188
Number of pages: 44 Posted: 29 Oct 2018
Simone Manganelli
European Central Bank (ECB)
Downloads 18 (665,171)

Abstract:

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Statistical Decision Theory, Model Selection Criteria, Inflation Forecasting

35.

Covid-19 and Rural Landscape: The Case of Italy

ECB Working Paper No. 20202478
Number of pages: 32 Posted: 08 Oct 2020
Simone Manganelli, Francesco Piras and Mauro Agnoletti
European Central Bank (ECB), University of Florence and European Central Bank (ECB)
Downloads 14 (695,028)

Abstract:

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environment, exposure to covid‐19, sustainable agriculture

36.
Downloads 11 (718,616)

Monetary Policy with Judgment

ECB Working Paper No. 20202404
Number of pages: 51 Posted: 12 May 2020
Paolo Gelain and Simone Manganelli
Federal Reserve Banks - Federal Reserve Bank of Cleveland and European Central Bank (ECB)
Downloads 6 (789,445)

Abstract:

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DSGE, maximum likelihood, monetary policy, statistical decision theory

Monetary Policy with Judgment

Number of pages: 44 Posted: 21 May 2020
Paolo Gelain and Simone Manganelli
Federal Reserve Banks - Federal Reserve Bank of Cleveland and European Central Bank (ECB)
Downloads 5 (797,859)

Abstract:

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Monetary Policy, DSGE, Maximum Likelihood, Statistical Decision Theory

37.

Statistical Decision Functions with Judgment

ECB Working Paper No. 2021/2512
Number of pages: 23 Posted: 05 Mar 2021
Simone Manganelli
European Central Bank (ECB)
Downloads 8 (742,295)

Abstract:

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38.

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

Number of pages: 36 Posted: 27 Jun 2007
Lutz Kilian and Simone Manganelli
Federal Reserve Banks - Federal Reserve Bank of Dallas and European Central Bank (ECB)
Downloads 4 (773,539)
Citation 8
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Greenspan, inflation, monetary policy, output, policy rule, preferences, risk

39.

Asset Allocation by Variance Sensitivity Analysis

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

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dynamic correlations, multivariate GARCH, risk management

Other Papers (1)

Total Downloads: 6
1.

Financial Integration of New EU Member States

Number of pages: 46 Posted: 15 Mar 2006
European Central Bank (ECB), European Central Bank (ECB), BI Norwegian Business School - Department of Finance and European Central Bank (ECB)
Downloads 6

Abstract:

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