Matteo Ciccarelli

European Central Bank (ECB)

Adviser

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

30

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5,251

SSRN CITATIONS
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SSRN RANKINGS

Top 1,332

in Total Papers Citations

245

CROSSREF CITATIONS

676

Scholarly Papers (30)

1.
Downloads 694 ( 45,300)
Citation 45

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 686 (45,382)
Citation 2

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Panel VAR, estimation, identification, inference

Panel Vector Autoregressive Models: A Survey

CEPR Discussion Paper No. DP9380
Number of pages: 53 Posted: 12 Mar 2013
Fabio Canova and Matteo Ciccarelli
BI Norwegian Business School and European Central Bank (ECB)
Downloads 8 (738,885)
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 337 (108,412)
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 311 (118,360)
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 531 (63,809)
Citation 24

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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 477 (72,955)
Citation 27

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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 426 (82,764)
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 (620,377)
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 233 (159,356)

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

Measuring Contagion with a Bayesian Time-Varying Coefficient Model

IMF Working Paper No. 03/171
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 58 (440,693)

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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 216 (171,772)
Citation 5

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

8.

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

IMF Working Paper No. 03/102
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 152 (234,036)
Citation 1

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

9.

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 151 (235,291)

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Inflation Forecasts, Unemployment, Model Uncertainty.

10.
Downloads 150 (236,566)
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 132 (262,914)
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 (657,887)
Citation 5
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Business cycle, G-7, indicators, panel data, Bayesian methods

11.

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 135 (257,550)
Citation 3

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

12.

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 130 (264,897)

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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?

IMF Working Paper No. 02/54
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 107 (306,544)

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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 (657,887)
Citation 1
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European monetary policy, Bayesian estimation, Gibbs sampling, time-varying coefficient model, transmission mechanism

14.

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 124 (274,528)
Citation 1

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inflation expectations, unconventional monetary policy, news shocks

15.

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 116 (288,046)
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 89 (346,199)
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 23 (620,377)
Citation 3

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financial crisis, macro-financial linkages, panel VAR models

17.

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 100 (318,859)
Citation 5

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

18.

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 99 (320,948)

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

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 (412,346)

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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 32 (560,862)

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

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 87 (348,160)
Citation 2

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

21.

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 69 (397,714)

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Inflation expectations, global inflation, international spillovers, deflation

22.

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 62 (420,271)

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

23.

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 47 (476,410)
Citation 51

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

24.

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 46 (480,591)

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

25.

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

ECB Working Paper No. 2315
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 39 (511,814)
Citation 5

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

26.

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 38 (516,552)

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Multi-country model, Forecast, Simulation, Netherlands

27.

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 (536,570)
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Panel VAR, Bayesian methods, leading indicators, Markov Chain Monte Carlo methods

28.

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 29 (563,745)
Citation 3

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

29.

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 (759,102)
Citation 7
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30.

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

CEPR Discussion Paper No. DP11584
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 (787,713)
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European Banks, Heterogeneity, Monetary pass-through, VARs