Matteo Ciccarelli

European Central Bank (ECB)

Adviser

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

34

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262

CROSSREF CITATIONS

630

Scholarly Papers (34)

1.
Downloads 746 ( 44,390)
Citation 46

Panel Vector Autoregressive Models: A Survey

ECB Working Paper No. 1507
Number of pages: 55 Posted: 12 Feb 2013
Fabio Canova and Matteo Ciccarelli
BI Norwegian Business School and European Central Bank (ECB)
Downloads 738 (44,433)
Citation 6

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Panel VAR, estimation, identification, inference

Panel Vector Autoregressive Models: A Survey

Number of pages: 53 Posted: 12 Mar 2013
Fabio Canova and Matteo Ciccarelli
BI Norwegian Business School and European Central Bank (ECB)
Downloads 8 (782,206)
Citation 20
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Bayesian methods, dynamic models, Panel vector autoregression

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

Number of pages: 39 Posted: 27 Feb 2011 Last Revised: 30 Aug 2013
Angela Maddaloni, Matteo Ciccarelli and José-Luis Peydró
European Central Bank (ECB), European Central Bank (ECB) and Imperial College London
Downloads 341 (114,645)
Citation 24

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

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

ECB Working Paper No. 1228
Number of pages: 61 Posted: 26 Jul 2010
Matteo Ciccarelli, Angela Maddaloni and José-Luis Peydró
European Central Bank (ECB), European Central Bank (ECB) and Imperial College London
Downloads 313 (125,889)
Citation 34

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

3.

Low Inflation in the Euro Area: Causes and Consequences

ECB Occasional Paper No. 181
Number of pages: 89 Posted: 03 Feb 2017
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Banque de France, European Central Bank (ECB), European Central Bank (ECB) - Directorate General Research, Bank of Italy, Bank of Italy and National Bank of Belgium
Downloads 633 (55,102)
Citation 28

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

4.

Global Inflation

ECB Working Paper No. 537, FRB of Chicago Working Paper No. 2008-05
Number of pages: 48 Posted: 10 Nov 2005
Matteo Ciccarelli and Benoit Mojon
European Central Bank (ECB) and Banque de France
Downloads 483 (77,251)
Citation 27

Abstract:

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global Inflation, common factor, international business cycle

Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model

UPF Economics and Business Working Paper No. 443
Number of pages: 31 Posted: 22 Nov 2000
Fabio Canova and Matteo Ciccarelli
BI Norwegian Business School and European Central Bank (ECB)
Downloads 431 (87,658)
Citation 6

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

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

Number of pages: 38 Posted: 01 Oct 2001
Fabio Canova and Matteo Ciccarelli
BI Norwegian Business School and European Central Bank (ECB)
Downloads 23 (657,901)
Citation 1
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Forecasting, turning points, Bayesian methods, panel VAR, Markov chains, Monte Carlo methods

Measuring Contagion with a Bayesian, Time-Varying Coefficient Model

Number of pages: 45 Posted: 26 Jan 2004
Matteo Ciccarelli and Alessandro Rebucci
European Central Bank (ECB) and Johns Hopkins University - Carey Business School
Downloads 238 (166,925)

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

Measuring Contagion with a Bayesian Time-Varying Coefficient Model

Number of pages: 33 Posted: 03 Feb 2006
Matteo Ciccarelli and Alessandro Rebucci
European Central Bank (ECB) and Johns Hopkins University - Carey Business School
Downloads 64 (446,034)

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

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

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

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

7.

Estimating Multi-Country VAR Models

ECB Working Paper No. 603
Number of pages: 37 Posted: 24 Apr 2006
Fabio Canova and Matteo Ciccarelli
BI Norwegian Business School and European Central Bank (ECB)
Downloads 221 (179,674)
Citation 5

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

8.

Climate Change and Monetary Policy in the Euro Area

ECB Occasional Paper No. 2021/271
Number of pages: 193 Posted: 23 Sep 2021 Last Revised: 12 Jan 2022
European Central Bank (ECB), Frankfurt School of Finance and Management, European Central Bank (ECB), Bank of France, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), Bank of Italy, European Central Bank (ECB), De Nederlandsche Bank, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) - Directorate General International and European Relations, Central Bank of Cyprus, European Central Bank (ECB), Bank of Greece - Economic Research Department, De Nederlandsche Bank, Goethe University Frankfurt, European Central Bank (ECB), University of Bonn, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Central Bank of Ireland, Suomen Panki, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), De Nederlandsche Bank, 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 (ECB) - Directorate General Economics, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Central Bank of Cyprus, European Central Bank (ECB), European Central Bank (ECB), Banco de España, Banco de España, Latvijas Banka, Banque Centrale du Luxembourg, European Central Bank (ECB), European Central Bank (ECB), National Bank of Belgium, European Central Bank (ECB), University of Manchester - Alliance Manchester Business School, Deutsche Bundesbank, Central Bank of Ireland, Deutsche Bundesbank, National and Kapodistrian University of Athens, De Nederlandsche Bank, Bank of Greece, Deutsche Bundesbank, European Central Bank (ECB) and Banque de France
Downloads 214 (185,166)

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climate change, environmental economics, green finance, monetary policy, sustainable growth economics

9.

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

ECB Working Paper No. 2235 (2019); ISBN 978-92-899-3497-8
Number of pages: 66 Posted: 05 Feb 2019
Elena Bobeica, Matteo Ciccarelli and Isabel Vansteenkiste
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 182 (214,479)
Citation 3

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

10.

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

Number of pages: 46 Posted: 29 Jan 2006
Alessandro Rebucci and Matteo Ciccarelli
Johns Hopkins University - Carey Business School and European Central Bank (ECB)
Downloads 155 (245,736)
Citation 2

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

11.

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

ECB Working Paper No. 725
Number of pages: 39 Posted: 09 Feb 2007
Matteo Ciccarelli and Carlo Altavilla
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 153 (248,427)

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Inflation Forecasts, Unemployment, Model Uncertainty.

12.
Downloads 152 (249,839)
Citation 68

Similarities and Convergence in G-7 Cycles

ECB Working Paper No. 312
Number of pages: 47 Posted: 18 May 2004
Fabio Canova, Eva Ortega and Matteo Ciccarelli
BI Norwegian Business School, Bank of Spain, DG Economics, Statistics and Research and European Central Bank (ECB)
Downloads 134 (277,120)
Citation 2

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Business cycle, indicators, Panel Data, Bayesian methods

Similarities and Convergence in G-7 Cycles

Number of pages: 39 Posted: 30 Sep 2004
Fabio Canova, Matteo Ciccarelli and Eva Ortega
BI Norwegian Business School, European Central Bank (ECB) and Bank of Spain, DG Economics, Statistics and Research
Downloads 18 (697,074)
Citation 5
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Business cycle, G-7, indicators, panel data, Bayesian methods

13.

Unconventional Monetary Policy and the Anchoring of Inflation Expectations

ECB Working Paper No. 1995
Number of pages: 33 Posted: 03 Feb 2017
Matteo Ciccarelli, Juan A. Garcia and Carlos Montes-Galdon
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank
Downloads 146 (258,006)
Citation 1

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inflation expectations, unconventional monetary policy, news shocks

14.

What Drives Euro Area Break-Even Inflation Rates?

ECB Working Paper No. 996
Number of pages: 40 Posted: 04 Feb 2009
Matteo Ciccarelli and Juan A. Garcia
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 142 (263,892)

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

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

Number of pages: 42 Posted: 09 Feb 2006
Matteo Ciccarelli and Alessandro Rebucci
European Central Bank (ECB) and Johns Hopkins University - Carey Business School
Downloads 113 (314,257)

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

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

Number of pages: 51 Posted: 30 Sep 2004
Matteo Ciccarelli and Alessandro Rebucci
European Central Bank (ECB) and Johns Hopkins University - Carey Business School
Downloads 18 (697,074)
Citation 1
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European monetary policy, Bayesian estimation, Gibbs sampling, time-varying coefficient model, transmission mechanism

16.

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

ECB Working Paper No. 1978
Number of pages: 54 Posted: 03 Feb 2017
Carlo Altavilla, Fabio Canova and Matteo Ciccarelli
European Central Bank (ECB), BI Norwegian Business School and European Central Bank (ECB)
Downloads 120 (299,603)
Citation 17

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monetary policy pass-through, bank balance sheet characteristics

Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

Banco de Espana Working Paper No. 1241
Number of pages: 48 Posted: 23 Dec 2012
Matteo Ciccarelli, Eva Ortega and Maria Teresa Valderrama
European Central Bank (ECB), Bank of Spain, DG Economics, Statistics and Research and Österreichische Nationalbank - Department of Economics
Downloads 96 (351,367)
Citation 55

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financial crisis, macro-financial linkages, panel VAR models

Heterogeneity and Cross-Country Spillovers in Macroeconomic-Financial Linkages

ECB Working Paper No. 1498
Number of pages: 47 Posted: 15 Dec 2012
Matteo Ciccarelli, Eva Ortega and Maria Teresa Valderrama
European Central Bank (ECB), Bank of Spain, DG Economics, Statistics and Research and Österreichische Nationalbank - Department of Economics
Downloads 24 (650,377)
Citation 3

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financial crisis, macro-financial linkages, panel VAR models

18.

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

ECB Working Paper No. 1527
Number of pages: 48 Posted: 10 Apr 2013
Matteo Ciccarelli, Angela Maddaloni and José-Luis Peydró
European Central Bank (ECB), European Central Bank (ECB) and Imperial College London
Downloads 106 (326,662)
Citation 7

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

19.

Price Setting and Inflation Persistence: Did Emu Matter?

ECB Working Paper No. 597
Number of pages: 81 Posted: 25 Apr 2006
Ignazio Angeloni, Luc Aucremanne and Matteo Ciccarelli
Italian Finance Ministry - International Financial Relations, National Bank of Belgium and European Central Bank (ECB)
Downloads 103 (332,896)

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

20.

Financial Shocks and the Macroeconomy: Heterogeneity and Non-Linearities

ECB Occasional Paper No. 143
Number of pages: 71 Posted: 12 Mar 2013
Board of Governors of the Federal Reserve System, European Stability Mechanism, National Bank of Slovakia, European Central Bank (ECB), Banque Centrale du Luxembourg, Bank of Finland - Research, National Bank of Belgium, European Central Bank (ECB) - Directorate General Research, Bank of Spain, DG Economics, Statistics and Research, Österreichische Nationalbank - Department of Economics and Magyar Nemzeti Bank
Downloads 102 (335,081)
Citation 3

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

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

CESifo Working Paper Series No. 2575
Number of pages: 44 Posted: 11 Mar 2009
Carlo Altavilla and Matteo Ciccarelli
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 66 (438,833)

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

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

ECB Working Paper No. 1089
Number of pages: 48 Posted: 09 Oct 2009
Carlo Altavilla and Matteo Ciccarelli
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 33 (589,617)

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

22.

International Spillovers in Inflation Expectations

ECB Working Paper No. 1857
Number of pages: 32 Posted: 16 Oct 2015
Matteo Ciccarelli and Juan A. Garcia
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 81 (389,830)

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Inflation expectations, global inflation, international spillovers, deflation

23.

The Changing Link between Labor Cost and Price Inflation in the United States

ECB Working Paper No. 2021/2583
Number of pages: 37 Posted: 10 Aug 2021
Elena Bobeica, Matteo Ciccarelli and Isabel Vansteenkiste
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 74 (407,402)

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24.

Review of Macroeconomic Modelling in the Eurosystem: Current Practices and Scope for Improvement

ECB Occasional Paper No. 2021267
Number of pages: 193 Posted: 23 Sep 2021 Last Revised: 18 Nov 2021
European Central Bank (ECB), Bank of Italy, Bank of Finland - Research, Central Bank of Cyprus, European Central Bank (ECB) - Directorate General Research, Banque de France, National Bank of Belgium, Banque de France, European Central Bank (ECB), European Central Bank (ECB), De Nederlandsche Bank - Monetary and Economic Policy Department, European Central Bank (ECB), European Central Bank (ECB), Banque de France, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank, European Central BankECB, Bank of Italy, Bank of Italy, Bank of Finland, Bank of Slovenia, De Nederlandsche Bank - Research Department, National Bank of Belgium, European Central Bank (ECB), Banque de France, Bank of Finland, European Central Bank (ECB), Bank of Finland - Research, Deutsche Bundesbank, Deutsche Bundesbank - Economics Department, Banco de España, European Central Bank (ECB), Bank of Portugal and Université Paris I Panthéon-Sorbonne
Downloads 64 (440,045)

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central banking., econometric modelling, forecasting and simulation, monetary policy

25.

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

ECB Working Paper No. 846
Number of pages: 73 Posted: 21 Dec 2007
Matteo Ciccarelli and Carlo Altavilla
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 64 (440,045)

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

26.

Introducing ECB-Base: The Blueprint of the New ECB Semi-Structural Model for the Euro Area

Number of pages: 123 Posted: 16 Sep 2019
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
Downloads 55 (473,036)
Citation 5

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euro area, forecasting, monetary policy, Semi-structural model, simulations

27.

Demand or Supply? An Empirical Exploration of the Effects of Climate Change on the Macroeconomy

ECB Working Paper No. 2021/2608
Number of pages: 61 Posted: 15 Oct 2021
Matteo Ciccarelli and Fulvia Marotta
European Central Bank (ECB) and Queen Mary University of London
Downloads 51 (489,090)

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business cycle, environment-related technologies, environmental policy, physical risks, SVAR

28.

Do Institutional Changes Affect Business Cycles? Evidence from Europe

Banco de Espana Working Paper No. 0921
Number of pages: 40 Posted: 21 Jul 2009
Fabio Canova, Matteo Ciccarelli and Eva Ortega
BI Norwegian Business School, European Central Bank (ECB) and Bank of Spain, DG Economics, Statistics and Research
Downloads 48 (501,881)
Citation 52

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

29.

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

CESifo Working Paper Series No. 3372
Number of pages: 39 Posted: 19 Mar 2011
Carlo Altavilla and Matteo Ciccarelli
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 47 (506,262)

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

30.

The Dutch Block of the Escb Multi-Country Model

ECB Working Paper No. 646
Number of pages: 73 Posted: 30 Jun 2006
Matteo Ciccarelli, Elena Angelini and Frédéric Boissay
European Central Bank (ECB), European Central Bank (ECB) and Bank for International Settlements (BIS)
Downloads 43 (524,471)

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Multi-country model, Forecast, Simulation, Netherlands

31.

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

Number of pages: 28 Posted: 15 Oct 2003
Fabio Canova and Matteo Ciccarelli
BI Norwegian Business School and European Central Bank (ECB)
Downloads 34 (569,971)
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Panel VAR, Bayesian methods, leading indicators, Markov Chain Monte Carlo methods

32.

Cyclical Fluctuations in the Mediterranean Basin

ECB Working Paper No. 1367
Number of pages: 42 Posted: 19 Aug 2011
Fabio Canova and Matteo Ciccarelli
BI Norwegian Business School and European Central Bank (ECB)
Downloads 31 (586,598)
Citation 4

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

33.

Estimating Multicountry VAR Models

International Economic Review, Vol. 50, Issue 3, pp. 929-959, August 2009
Number of pages: 31 Posted: 09 Jul 2009
Fabio Canova and Matteo Ciccarelli
BI Norwegian Business School and European Central Bank (ECB)
Downloads 2 (801,777)
Citation 7
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34.

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

Number of pages: 54 Posted: 24 Oct 2016
Carlo Altavilla, Fabio Canova and Matteo Ciccarelli
European Central Bank (ECB), BI Norwegian Business School and European Central Bank (ECB)
Downloads 0 (831,206)
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European Banks, Heterogeneity, Monetary pass-through, VARs