Search Results

Factor Demand Linkages, Technology Shocks, and the Business Cycle,
Sean Holly and Ivan Petrella, in The Review of Economics and Statistics (2012)
Keywords: factor demand linkages, technology shocks, business cycles, manufacturing

Unveiling the Dance of Commodity Prices and the Global Financial Cycle,
Luciana Juvenal and Ivan Petrella, from National Bureau of Economic Research, Inc (2023)

Factor demand linkages, technology shocks and the business cycle,
Sean Holly and Ivan Petrella, from KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2010)

Inflation dynamics and real marginal costs: new evidence from U.S. manufacturing industries,
Ivan Petrella and Emiliano Santoro, from KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2011)

Optimal Monetary Policy with Durable Consumption Goods and Factor Demand Linkages,
Ivan Petrella and Emiliano Santoro, from Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics (2009)
Keywords: input-output interactions, durable goods, optimal monetary policy

Inflation Dynamics and Real Marginal Costs: New Evidence from U.S. Manufacturing Industries,
Ivan Petrella and Emiliano Santoro, from University of Copenhagen. Department of Economics (2011)
Keywords: New Keynesian Phillips Curve; Aggregation; Sectoral Data; Intermediate Goods

Speculation in the oil market,
Luciana Juvenal and Ivan Petrella, in Economic Synopses (2012)
Keywords: Petroleum products - Prices; Speculation; Vector autoregression

Unveiling the Dance of Commodity Prices and the Global Financial Cycle,
Luciana Juvenal and Ivan Petrella, from International Monetary Fund (2024)
Keywords: risk appetite; energy commodity; commodity channel; commodity price instrument; commodity event; impact of commodity price fluctuation; commodity export; fluctuations in commodity price; monetary policy shock; commodity prices to shock; interaction term; commodity prices to a BAA; commodity c; Commodity prices; Export prices; Capital flows; Commodity price shocks; Commodity price fluctuations; Global

Factor Demand Linkages, Technology Shocks and the Business Cycle,
Sean Holly and Ivan Petrella, from University Library of Munich, Germany (2009)
Keywords: Multisectors, Technology shocks, Business cycles, Long-run restrictions, Cross Sectional Dependence.

Inflation Dynamics and Real Marginal Costs: New Evidence from U.S. Manufacturing Industries,
Ivan Petrella and Emiliano Santoro, from Birkbeck, Department of Economics, Mathematics & Statistics (2012)
Keywords: New Keynesian Phillips Curve; Aggregation; Sectoral Data; Intermediate Goods

Factor demand linkages and the business cycle: Interpreting aggregate fluctuations as sectoral fluctuations,
Sean Holly and Ivan Petrella, from Faculty of Economics, University of Cambridge (2008)
Keywords: Sectors, Technology shocks, Business cycles, Long-run restrictions, Cross Sectional Dependence.

Factor Demand Linkages, Technology Shocks and the Business Cycle,
Sean Holly and Ivan Petrella, from Faculty of Economics, University of Cambridge (2010)
Keywords: Multisectors, Technology shocks, Business cycles, Long-run restrictions, Cross Sectional Dependence

Factor demand linkages and the business cycle: interpreting aggregate fluctuations as sectoral fluctuations,
Sean Holly and Ivan Petrella, from Centre for Dynamic Macroeconomic Analysis (2008)
Keywords: Sectors, Technology shocks, Business cycles, Long-run restrictions, Cross Sectional Dependence.

Speculation in the oil market,
Luciana Juvenal and Ivan Petrella, from Federal Reserve Bank of St. Louis (2011)
Keywords: Petroleum products - Prices; Vector autoregression; Speculation

Asymmetry and interdependence when evaluating U.S. Energy Information Administration forecasts,
Anthony Garratt, Ivan Petrella and Yunyi Zhang, in Energy Economics (2023)
Keywords: EIA forecasts; Oil market; Forecast rationality; Non-separable loss; Asymmetric loss;

Asymmetry Reversals and the Business Cycle,
Roberta Distante, Ivan Petrella and Emiliano Santoro, from Fondazione Eni Enrico Mattei (FEEM) (2013)
Keywords: Industrial Organization

Size, Age and the Growth of Firms: New Evidence from Quantile Regressions,
Roberta Distante, Ivan Petrella and Emiliano Santoro, from Fondazione Eni Enrico Mattei (FEEM) (2014)
Keywords: Political Economy

Asymmetry and Interdependence when Evaluating U.S. Energy Information Agency Forecasts,
Anthony Garratt, Ivan Petrella and Yunyi Zhang, from University Library of Munich, Germany (2022)
Keywords: EIA forecasts, oil market, forecast rationality, non-separable loss, asymmetric loss.

Asymmetry and Interdependence when Evaluating U.S. Energy Information Administration Forecasts,
Anthony Garratt, Ivan Petrella and Yunyi Zhang, from University Library of Munich, Germany (2022)
Keywords: EIA forecasts, oil market, forecast rationality, non-separable loss, asymmetric loss.

Asymmetry Reversals and the Business Cycle,
Roberta Distante, Ivan Petrella and Emiliano Santoro, from Fondazione Eni Enrico Mattei (2013)
Keywords: Corporate Growth, Conditional Quantiles, Business Cycles, Asymmetry Reversals

Size, Age and the Growth of Firms: New Evidence from Quantile Regressions,
Roberta Distante, Ivan Petrella and Emiliano Santoro, from Fondazione Eni Enrico Mattei (2014)
Keywords: Firm Growth, Size, Age, Conditional Quantile

Adaptive Models and Heavy Tails,
Davide Delle Monache and Ivan Petrella, from Queen Mary University of London, School of Economics and Finance (2014)
Keywords: Time-varying parameters, Score-driven models, Heavy-tails, Adaptive algorithms, Inflation

Discretion vs. Timeless Perspective under Model-consistent Stabilization Objectives,
Ivan Petrella, Raffaele Rossi and Emiliano Santoro, from C.E.P.R. Discussion Papers (2013)
Keywords: Discretion; Loss of social welfare; Monetary policy; Timeless perspective

Discretion vs. timeless perspective under model-consistent stabilization objectives,
Ivan Petrella, Raffaele Rossi and Emiliano Santoro, in Economics Letters (2014)
Keywords: Monetary policy; Discretion; Timeless perspective; Loss of social welfare;

Aggregate Skewness and the Business Cycle,
Martin Iseringhausen, Ivan Petrella and Konstantinos Theodoridis, from C.E.P.R. Discussion Papers (2022)
Keywords: Asymmetry; Principal component analysis; Quantile regression; Var

Chained financial frictions and credit cycles,
Federico Lubello, Ivan Petrella and Emiliano Santoro, from Central Bank of Luxembourg (2018)
Keywords: Banking; Bank Collateral; Liquidity; Capital Misallocation; Macroprudential Policy.

Bank assets, liquidity and credit cycles,
Federico Lubello, Ivan Petrella and Emiliano Santoro, in Journal of Economic Dynamics and Control (2019)
Keywords: Banking; Bank collateral; Liquidity; Capital misallocation; Macroprudential policy;

Gibrat’s law and quantile regressions: An application to firm growth,
Roberta Distante, Ivan Petrella and Emiliano Santoro, in Economics Letters (2018)
Keywords: Firm growth; Size; Age; Conditional quantiles;

Efficient matrix approach for classical inference in state space models,
Davide Delle Monache and Ivan Petrella, in Economics Letters (2019)
Keywords: State space models; Likelihood; State smoothing; Sparse matrices;

Adaptive models and heavy tails with an application to inflation forecasting,
Davide Delle Monache and Ivan Petrella, in International Journal of Forecasting (2017)
Keywords: Adaptive algorithms; Inflation; Score-driven models; Student-t; Time-varying parameters;

Risk Premia and Seasonality in Commodity Futures,
Constantino Hevia, Ivan Petrella and Martin Sola, from Universidad Torcuato Di Tella (2016)
Keywords: Commodity Futures; Nelson and Siegel; Seasonality, Risk premium; Theory of storage.

Risk premia and seasonality in commodity futures,
Constantino Hevia, Ivan Petrella and Martin Sola, in Journal of Applied Econometrics (2018)

Adaptive models and heavy tails with an application to inflation forecasting,
Davide Delle Monache and Ivan Petrella, from University Library of Munich, Germany (2016)
Keywords: adaptive algorithms, inflation, score-driven models, student-t, time-varying parameters.

Monetary Policy with Sectoral Trade‐Offs,
Ivan Petrella, Raffaele Rossi and Emiliano Santoro, in Scandinavian Journal of Economics (2019)

Risk Premia and Seasonality in Commodity Futures,
Ivan Petrella, Martin Sola and Constantino Hevia, from C.E.P.R. Discussion Papers (2016)
Keywords: Commodity futures; Nelson and siegel; Seasonality; risk premium; Theory of storage

Time-varying Price Flexibility and Inflation Dynamics,
Ivan Petrella, Emiliano Santoro and Lasse Simonsen, from C.E.P.R. Discussion Papers (2018)
Keywords: inflation; Price flexibility; Ss models

Bank Assets, Liquidity and Credit Cycles,
Ivan Petrella, Federico Lubello and Emiliano Santoro, from C.E.P.R. Discussion Papers (2019)
Keywords: Banking; Bank collateral; Liquidity; Capital misallocation; Macroprudential policy

Asymmetry and Interdependence when Evaluating U.S. Energy Information Agency Forecasts,
Anthony Garratt, Ivan Petrella and Yunyi Zhang, from National Institute of Economic and Social Research (2022)
Keywords: EIA forecasts, oil market, forecast rationality, non-separable loss, asymmetric loss

Aggregate fluctuations and the cross-sectional dynamics of firm growth,
Sean Holly, Ivan Petrella and Emiliano Santoro, from KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2011)

Bond risk premia, priced regime shifts, and macroeconomic fundamentals,
Constantino Hevia, Martin Sola and Ivan Petrella, from Universidad Torcuato Di Tella (2022)
Keywords: Bubbles; Explosiveness; Markov-switching autoregressive model; Unit-root test.

Monetary Policy with Sectoral Linkages and Durable Goods,
Ivan Petrella, Raffaele Rossi and Emiliano Santoro, from University of Copenhagen. Department of Economics (2012)
Keywords: Durable Goods, Input-Output Interactions, Monetary Policy, Interest Rate Rules

Discretion vs. Timeless Perspective Policy-Making: the Role of Input-Output Interactions,
Ivan Petrella, Raffaele Rossi and Emiliano Santoro, from University of Copenhagen. Department of Economics (2012)
Keywords: Input-Output Economy, Monetary Policy, Discretion, Timeless Perspective

Monetary Policy with Sectoral Trade-offs,
Ivan Petrella, Raffaele Rossi and Emiliano Santoro, from Economics, The University of Manchester (2017)

Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals,
Constantino Hevia, Ivan Petrella and Martin Sola, from Red Nacional de Investigadores en Economía (RedNIE) (2022)
Keywords: Yield Curve; Term structure of interest rates; Markov regime switching; Priced switching risk prem

Aggregate fluctuations and the cross-sectional dynamics of firm growth,
Sean Holly, Ivan Petrella and Emiliano Santoro, in Journal of the Royal Statistical Society Series A (2013)

The Financial Integration of the European Union: Common and Idiosyncratic Drivers,
Chris Higson, Sean Holly and Ivan Petrella, from DIW Berlin, German Institute for Economic Research (2009)

Adaptive models and heavy tails with an application to inflation forecasting,
Davide Delle Monache and Ivan Petrella, from Birkbeck Centre for Applied Macroeconomics (2016)
Keywords: adaptive algorithms, inflation, score-driven models, student-t, time-varying parameters.

Adaptive Models and Heavy Tails,
Davide Delle Monache and Ivan Petrella, from Birkbeck, Department of Economics, Mathematics & Statistics (2014)
Keywords: Time-Varying Parameters, Score-driven Models, Heavy-Tails, Adaptive Algorithms, Inflation.

Discretion vs. Timeless Perspective under Model-consistent Stabilization Objectives,
Ivan Petrella, Raffaele Rossi and Emiliano Santoro, from Birkbeck, Department of Economics, Mathematics & Statistics (2013)

Adaptive models and heavy tails,
Davide Delle Monache and Ivan Petrella, from Bank of Italy, Economic Research and International Relations Area (2016)
Keywords: adaptive algorithms, inflation, score driven models, student-t, time-varying parameters.

Aggregate Skewness and the Business Cycle,
Martin Iseringhausen, Ivan Petrella and Konstantinos Theodoridis, from Cardiff University, Cardiff Business School, Economics Section (2021)
Keywords: Asymmetry, principal component analysis, quantile regression, VAR

Aggregate skewness and the business cycle,
Martin Iseringhausen, Ivan Petrella and Konstantinos Theodoridis, from European Stability Mechanism (2022)
Keywords: Business cycles, downside risk, skewness

Adaptive models and heavy tails,
Ivan Petrella and Davide Delle Monache, from Bank of England (2016)
Keywords: Adaptive algorithms; student-t; inflation; score driven models; time-varying parameters;

Risk premia and seasonality in commodity futures,
Constantino Hevia, Ivan Petrella and Martin Sola, from Bank of England (2016)
Keywords: Commodity futures; Nelson and Siegel; seasonality; risk premium; theory of storage

Equity Markets, Financial Integration and Competitive Convergence,
Gongyu Chen, Chris Higson, Sean Holly and Ivan Petrella, from DIW Berlin, German Institute for Economic Research (2010)
Keywords: Markov processes, profitability, competitive convergence

Adaptive state space models with applications to the business cycle and financial stress,
Ivan Petrella, Fabrizio Venditti and Davide Delle Monache, from C.E.P.R. Discussion Papers (2016)
Keywords: State space models; Time-varying parameters; Score-driven models; Business cycle; Financial stress

Dividend Momentum and Stock Return Predictability: A Bayesian Approach,
Rubio-Ramírez, Juan Francisco, Ivan Petrella and Juan Antolin-Diaz, from C.E.P.R. Discussion Papers (2021)

Asset Market Participation, Redistribution, and Asset Pricing,
Francesco Saverio Gaudio, Ivan Petrella and Emiliano Santoro, from C.E.P.R. Discussion Papers (2023)
Keywords: Consumption; Income; Heterogeneity; Limited participation; Asset pricing

Taming Momentum Crashes,
Daniele Bianchi, Andrea De Polis and Ivan Petrella, from C.E.P.R. Discussion Papers (2024)
Keywords: Risk-return trade-off

Structural Scenario Analysis and Stress Testing with Vector Autoregressions,
Juan Antolín-Díaz, Ivan Petrella and Juan F. Rubio-Ramírez, from FEDEA (2017)

Terms-of-Trade Shocks are Not all Alike,
Ivan Petrella, Federico Di Pace and Luciana Juvenal, from C.E.P.R. Discussion Papers (2020)
Keywords: Terms of trade; Commodity prices; Business cycles; World shocks

Price dividend ratio and long-run stock returns: a score driven state space model,
Davide Delle Monache, Fabrizio Venditti and Ivan Petrella, from European Central Bank (2020)
Keywords: equity premium, present-value models., score-driven models, state space models, time-varying parameters

Leverage and Deepening Business-Cycle Skewness,
Henrik Jensen, Ivan Petrella, Søren Hove Ravn and Emiliano Santoro, in American Economic Journal: Macroeconomics (2020)

Dividend Momentum and Stock Return Predictability: A Bayesian Approach,
Juan Antolin-Diaz, Ivan Petrella and Juan F Rubio-Ramirez, from FEDEA (2021)

Structural scenario analysis with SVARs,
Juan Antolin-Diaz, Ivan Petrella and Juan F Rubio-Ramirez, in Journal of Monetary Economics (2021)
Keywords: Conditional forecasts; SVARs; Bayesian methods; Forward guidance; Stress testing;

Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model,
Davide Delle Monache, Ivan Petrella and Fabrizio Venditti, in Journal of Business & Economic Statistics (2021)

Modeling and Forecasting Macroeconomic Downside Risk,
Davide Delle Monache, Andrea De Polis and Ivan Petrella, in Journal of Business & Economic Statistics (2024)

Leverage and Deepening Business Cycle Skewness,
Ivan Petrella, Henrik Jensen, Søren Hove Ravn and Emiliano Santoro, from C.E.P.R. Discussion Papers (2017)
Keywords: Credit constraints; Business cycles; Skewness; Deleveraging

Structural Scenario Analysis with SVARs,
Ivan Petrella, Juan Antolin-Diaz and Rubio-Ramírez, Juan Francisco, from C.E.P.R. Discussion Papers (2018)
Keywords: Conditional forecasts; Svars; Bayesian methods; Forward guidance; Stress testing

Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model,
Ivan Petrella, Davide Delle Monache and Fabrizio Venditti, from C.E.P.R. Discussion Papers (2019)
Keywords: State space models; Time-varying parameters; Score-driven models; Equity premium; Present-value models

Modeling and Forecasting Macroeconomic Downside Risk,
Davide Delle Monache, Andrea De Polis and Ivan Petrella, from C.E.P.R. Discussion Papers (2022)
Keywords: Business cycle; Downside risk; Skewness; Score driven models; Financial conditions

Loss Aversion and the Asymmetric Transmission of Monetary Policy,
Ivan Petrella, Damjan Pfajfar, Emiliano Santoro and Edoardo Gaffeo, from C.E.P.R. Discussion Papers (2014)
Keywords: Asymmetry; Business cycle; Monetary policy; Prospect theory

Loss aversion and the asymmetric transmission of monetary policy,
Emiliano Santoro, Ivan Petrella, Damjan Pfajfar and Edoardo Gaffeo, in Journal of Monetary Economics (2014)
Keywords: Asymmetry; Monetary policy; Business cycle; Prospect theory;

Tracking the slowdown in long-run GDP growth,
Juan Antolin-Diaz, Thomas Drechsel and Ivan Petrella, from London School of Economics and Political Science, LSE Library (2017)

Tracking the slowdown in long-run GDP growth,
Juan Antolin-Diaz, Thomas Drechsel and Ivan Petrella, from London School of Economics and Political Science, LSE Library (2016)
Keywords: Long-run growth; Business cycles; Productivity; Dynamic factor models; Real-time data

Reference-dependent Preferences and the Transmission of Monetary Policy,
Edoardo Gaffeo, Ivan Petrella, Damjan Pfajfar and Emiliano Santoro, from Tilburg University, Center for Economic Research (2010)
Keywords: Reference-dependent Preferences; Asymmetry; Monetary policy.

Following the Trend: Tracking GDP when Long-Run Growth is Uncertain,
Ivan Petrella, Thomas Drechsel and Juan Antolin-Diaz, from C.E.P.R. Discussion Papers (2014)
Keywords: Dynamic factor models; Business cycles; Mixed frequencies; Real-time forecasting; Long-run growth

Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data,
Ivan Petrella, Juan Antolin-Diaz and Thomas Drechsel, from C.E.P.R. Discussion Papers (2021)
Keywords: Nowcasting; Daily economic index; Dynamic factor models; Real-time data; Bayesian methods; Fat tails

Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails,
Juan Antolin-Diaz, Thomas Drechsel and Ivan Petrella, from C.E.P.R. Discussion Papers (2023)
Keywords: Nowcasting; Dynamic factor models; Real-time data

Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails,
Juan Antolín-Díaz, Thomas Drechsel and Ivan Petrella, in Journal of Econometrics (2024)
Keywords: Nowcasting; Dynamic factor models; Real-time data; Bayesian methods; Fat tails;

Tracking the Slowdown in Long-Run GDP Growth,
Juan Antolin-Diaz, Thomas Drechsel and Ivan Petrella, in The Review of Economics and Statistics (2017)

The Taming of the Skew: Asymmetric Inflation Risk and Monetary Policy,
Andrea De Polis, Leonardo Melosi and Ivan Petrella, from University of Warwick, Department of Economics (2024)
Keywords: Asymmetric risks ; optimal monetary policy ; balance of inflation risks ; risk-adjusted inflation targeting ; flexible average inflation targeting JEL Codes: E52 ; E31 ; C53

Reference-dependent preferences and the transmission of monetary policy,
Edoardo Gaffeo, Ivan Petrella, Damjan Pfajfar and Emiliano Santoro, from KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2010)

Dividend Momentum and Stock Return Predictability: A Bayesian Approach,
Juan Antolin-Diaz, Ivan Petrella and Juan F Rubio-Ramirez, from Federal Reserve Bank of Atlanta (2021)
Keywords: CS restrictions; Bayesian VARs; optimal allocation

Loss Aversion and the Asymmetric Transmission of Monetary Policy,
Edoardo Gaffeo, Ivan Petrella, Damjan Pfajfar and Emiliano Santoro, from University of Copenhagen. Department of Economics (2012)
Keywords: Asymmetry, Monetary Policy, Business Cycle, Prospect Theory

Leverage and Deepening. Business Cycle Skewness,
Henrik Jensen, Ivan Petrella, Soeren Hove Ravn and Emiliano Santoro, from University of Copenhagen. Department of Economics (2017)
Keywords: Credit constraints, business cycles, skewness, deleveraging

Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation,
Davide Delle Monache, Ivan Petrella and Fabrizio Venditti, from Emerald Group Publishing Limited (2016)
Keywords: inflation, time-varying parameters, score driven models, state space models, dynamic factor models, E31, C22, C51, C53

Reference-dependent Preferences and the Transmission of Monetary Policy,
Edoardo Gaffeo, Ivan Petrella, Damjan Pfajfar and Emiliano Santoro, from Tilburg University, School of Economics and Management (2010)

Reference-Dependent Preferences and the Transmission of Monetary Policy,
Edoardo Gaffeo, Ivan Petrella, Damjan Pfajfar and Emiliano Santoro, from Tilburg University, School of Economics and Management (2010)

Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation,
Davide Delle Monache, Ivan Petrella and Fabrizio Venditti, from Birkbeck, Department of Economics, Mathematics & Statistics (2015)
Keywords: inflation, time-varying parameters, score driven models, state space models, dynamics factor models.