Details about Ivan Petrella

Access statistics for papers by Ivan Petrella.

Last updated 2024-12-19. Update your information in the RePEc Author Service.

Short-id: ppe325

Working Papers

2025

1. The taming of the skew: asymmetric inflation risk and monetary policy
   Working Paper Series, European Central Bank
   Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2024)

2024

2. Taming Momentum Crashes
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
3. The Power of Prices: How Fast Do Commodity Markets Adjust to Shocks?
   IMF Working Papers, International Monetary Fund View citations (1)
4. Unveiling the Dance of Commodity Prices and the Global Financial Cycle
   IMF Working Papers, International Monetary Fund View citations (6)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)
   See also Journal Article Unveiling the dance of commodity prices and the global financial cycle, Journal of International Economics, Elsevier (2024) View citations (3) (2024)
   Chapter Unveiling the Dance of Commodity Prices and the Global Financial Cycle, NBER Chapters, National Bureau of Economic Research, Inc (2023) (2023)

2023

5. Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails, Journal of Econometrics, Elsevier (2024) View citations (3) (2024)
6. Asset Market Participation, Redistribution, and Asset Pricing
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2022

7. Aggregate Skewness and the Business Cycle
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, European Stability Mechanism (2022) View citations (2)
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2021) View citations (1)
8. Asymmetry and Interdependence when Evaluating U.S. Energy Information Administration Forecasts
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Asymmetry and interdependence when evaluating U.S. Energy Information Administration forecasts, Energy Economics, Elsevier (2023) View citations (1) (2023)
9. Asymmetry and Interdependence when Evaluating U.S. Energy Information Agency Forecasts
   National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research
   Also in MPRA Paper, University Library of Munich, Germany (2022)
10. Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals
    Working Papers, Red Nacional de Investigadores en Economía (RedNIE)
    Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2022)
11. Modeling and Forecasting Macroeconomic Downside Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (25)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2021) View citations (21)
    See also Journal Article Modeling and Forecasting Macroeconomic Downside Risk, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (4) (2024)

2021

12. Advances in Nowcasting Economic Activity: Secular Trends, Large Shocks and New Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (30)
13. Dividend Momentum and Stock Return Predictability: A Bayesian Approach
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
    Also in Working Papers, FEDEA (2021)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
14. Terms-of-trade shocks are not all alike
    Bank of England working papers, Bank of England View citations (1)
    Also in IMF Working Papers, International Monetary Fund (2020) View citations (14)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (14)

2020

15. Price dividend ratio and long-run stock returns: a score driven state space model
    Working Paper Series, European Central Bank
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2020)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019)
    See also Journal Article Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (4) (2021)

2019

16. Bank Assets, Liquidity and Credit Cycles
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article Bank assets, liquidity and credit cycles, Journal of Economic Dynamics and Control, Elsevier (2019) View citations (1) (2019)

2018

17. Chained financial frictions and credit cycles
    BCL working papers, Central Bank of Luxembourg
18. Structural Scenario Analysis with SVARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (15)
    See also Journal Article Structural scenario analysis with SVARs, Journal of Monetary Economics, Elsevier (2021) View citations (39) (2021)
19. Time-varying Price Flexibility and Inflation Dynamics
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)

2017

20. Leverage and Deepening Business Cycle Skewness
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
    Also in Working Papers, Banco de España (2017) View citations (3)
    Discussion Papers, University of Copenhagen. Department of Economics (2017) View citations (3)
    See also Journal Article Leverage and Deepening Business-Cycle Skewness, American Economic Journal: Macroeconomics, American Economic Association (2020) View citations (37) (2020)
21. Monetary Policy with Sectoral Trade-offs
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester View citations (10)
    See also Journal Article Monetary Policy with Sectoral Trade‐Offs, Scandinavian Journal of Economics, Wiley Blackwell (2019) View citations (13) (2019)
22. Structural Scenario Analysis and Stress Testing with Vector Autoregressions
    Working Papers, FEDEA View citations (1)
23. Tracking the slowdown in long-run GDP growth
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (85)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (34)
    Discussion Papers, Centre for Macroeconomics (CFM) (2016) View citations (32)
    Bank of England working papers, Bank of England (2016) View citations (11)
    See also Journal Article Tracking the Slowdown in Long-Run GDP Growth, The Review of Economics and Statistics, MIT Press (2017) View citations (90) (2017)

2016

24. Adaptive models and heavy tails
    Bank of England working papers, Bank of England View citations (8)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2014) View citations (5)
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2014) View citations (13)
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2016) View citations (3)
25. Adaptive models and heavy tails with an application to inflation forecasting
    MPRA Paper, University Library of Munich, Germany View citations (1)
    Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2016) View citations (1)
    See also Journal Article Adaptive models and heavy tails with an application to inflation forecasting, International Journal of Forecasting, Elsevier (2017) View citations (28) (2017)
26. Adaptive state space models with applications to the business cycle and financial stress
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
27. Risk Premia and Seasonality in Commodity Futures
    Department of Economics Working Papers, Universidad Torcuato Di Tella View citations (3)
    Also in Bank of England working papers, Bank of England (2016) View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (3)
    See also Journal Article Risk premia and seasonality in commodity futures, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (8) (2018)

2015

28. Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (12)
    See also Chapter Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (12) (2016)

2014

29. Following the Trend: Tracking GDP when Long-Run Growth is Uncertain
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
30. Loss Aversion and the Asymmetric Transmission of Monetary Policy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (79)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2012) View citations (15)
    See also Journal Article Loss aversion and the asymmetric transmission of monetary policy, Journal of Monetary Economics, Elsevier (2014) View citations (74) (2014)
31. Size, Age and the Growth of Firms: New Evidence from Quantile Regressions
    Working Papers, Fondazione Eni Enrico Mattei View citations (5)
    Also in Economy and Society, Fondazione Eni Enrico Mattei (FEEM) (2014) View citations (4)
32. Speculation in the Oil Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (51)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2011) View citations (48)
    See also Journal Article Speculation in the Oil Market, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (134) (2015)

2013

33. Asymmetry Reversals and the Business Cycle
    Working Papers, Fondazione Eni Enrico Mattei View citations (3)
    Also in Economy and Society, Fondazione Eni Enrico Mattei (FEEM) (2013) View citations (3)
34. Discretion vs. Timeless Perspective under Model-consistent Stabilization Objectives
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2013)
    See also Journal Article Discretion vs. timeless perspective under model-consistent stabilization objectives, Economics Letters, Elsevier (2014) View citations (1) (2014)

2012

35. Discretion vs. Timeless Perspective Policy-Making: the Role of Input-Output Interactions
    Discussion Papers, University of Copenhagen. Department of Economics View citations (1)
36. Inflation Dynamics and Real Marginal Costs: New Evidence from U.S. Manufacturing Industries
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (16)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2011) View citations (1)
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2011)
    See also Journal Article Inflation dynamics and real marginal costs: New evidence from U.S. manufacturing industries, Journal of Economic Dynamics and Control, Elsevier (2012) View citations (16) (2012)
37. Monetary Policy with Sectoral Linkages and Durable Goods
    Discussion Papers, University of Copenhagen. Department of Economics

2011

38. Aggregate fluctuations and the cross-sectional dynamics of firm growth
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven View citations (3)
    See also Journal Article Aggregate fluctuations and the cross-sectional dynamics of firm growth, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2013) View citations (17) (2013)

2010

39. Factor Demand Linkages, Technology Shocks and the Business Cycle
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2009) View citations (9)
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2010)
    See also Journal Article Factor Demand Linkages, Technology Shocks, and the Business Cycle, The Review of Economics and Statistics, MIT Press (2012) View citations (42) (2012)
40. Optimal Monetary Policy with Durable Consumption Goods and Factor Demand Linkages
    MPRA Paper, University Library of Munich, Germany View citations (2)
    Also in EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics (2009)
41. Reference-Dependent Preferences and the Transmission of Monetary Policy
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (3)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2010) View citations (4)
    Other publications TiSEM, Tilburg University, School of Economics and Management (2010) View citations (3)
    Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven (2010) View citations (3)

2008

42. Factor demand linkages and the business cycle: Interpreting aggregate fluctuations as sectoral fluctuations
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (7)
    Also in CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis (2008) View citations (7)

Journal Articles

2024

1. Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails
   Journal of Econometrics, 2024, 238, (2) View citations (3)
   See also Working Paper Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails, CEPR Discussion Papers (2023) (2023)
2. Modeling and Forecasting Macroeconomic Downside Risk
   Journal of Business & Economic Statistics, 2024, 42, (3), 1010-1025 View citations (4)
   See also Working Paper Modeling and Forecasting Macroeconomic Downside Risk, CEPR Discussion Papers (2022) View citations (25) (2022)
3. Reprint of “Unveiling the dance of commodity prices and the global financial cycle”
   Journal of International Economics, 2024, 149, (C) View citations (2)
4. Unveiling the dance of commodity prices and the global financial cycle
   Journal of International Economics, 2024, 150, (C) View citations (3)
   See also Chapter Unveiling the Dance of Commodity Prices and the Global Financial Cycle, NBER Chapters, 2023 (2023) (2023)
   Working Paper Unveiling the Dance of Commodity Prices and the Global Financial Cycle, IMF Working Papers (2024) View citations (6) (2024)

2023

5. Asymmetry and interdependence when evaluating U.S. Energy Information Administration forecasts
   Energy Economics, 2023, 121, (C) View citations (1)
   See also Working Paper Asymmetry and Interdependence when Evaluating U.S. Energy Information Administration Forecasts, MPRA Paper (2022) (2022)

2022

6. Commodity prices and inflation risk
   Journal of Applied Econometrics, 2022, 37, (2), 392-414 View citations (9)

2021

7. Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model
   Journal of Business & Economic Statistics, 2021, 39, (4), 1054-1065 View citations (4)
   See also Working Paper Price dividend ratio and long-run stock returns: a score driven state space model, Working Paper Series (2020) (2020)
8. Structural scenario analysis with SVARs
   Journal of Monetary Economics, 2021, 117, (C), 798-815 View citations (39)
   See also Working Paper Structural Scenario Analysis with SVARs, CEPR Discussion Papers (2018) View citations (15) (2018)

2020

9. Leverage and Deepening Business-Cycle Skewness
   American Economic Journal: Macroeconomics, 2020, 12, (1), 245-81 View citations (37)
   See also Working Paper Leverage and Deepening Business Cycle Skewness, CEPR Discussion Papers (2017) View citations (9) (2017)

2019

10. Bank assets, liquidity and credit cycles
    Journal of Economic Dynamics and Control, 2019, 105, (C), 265-282 View citations (1)
    See also Working Paper Bank Assets, Liquidity and Credit Cycles, CEPR Discussion Papers (2019) View citations (1) (2019)
11. Efficient matrix approach for classical inference in state space models
    Economics Letters, 2019, 181, (C), 22-27 View citations (6)
12. Monetary Policy with Sectoral Trade‐Offs
    Scandinavian Journal of Economics, 2019, 121, (1), 55-88 View citations (13)
    See also Working Paper Monetary Policy with Sectoral Trade-offs, Centre for Growth and Business Cycle Research Discussion Paper Series (2017) View citations (10) (2017)

2018

13. Gibrat’s law and quantile regressions: An application to firm growth
    Economics Letters, 2018, 164, (C), 5-9 View citations (21)
14. Risk premia and seasonality in commodity futures
    Journal of Applied Econometrics, 2018, 33, (6), 853-873 View citations (8)
    See also Working Paper Risk Premia and Seasonality in Commodity Futures, Department of Economics Working Papers (2016) View citations (3) (2016)

2017

15. Adaptive models and heavy tails with an application to inflation forecasting
    International Journal of Forecasting, 2017, 33, (2), 482-501 View citations (28)
    See also Working Paper Adaptive models and heavy tails with an application to inflation forecasting, MPRA Paper (2016) View citations (1) (2016)
16. Tracking the Slowdown in Long-Run GDP Growth
    The Review of Economics and Statistics, 2017, 99, (2), 343-356 View citations (90)
    See also Working Paper Tracking the slowdown in long-run GDP growth, LSE Research Online Documents on Economics (2017) View citations (85) (2017)

2015

17. Speculation in the Oil Market
    Journal of Applied Econometrics, 2015, 30, (4), 621-649 View citations (134)
    Also in Economic Synopses, 2012 (2012) View citations (2)
    See also Working Paper Speculation in the Oil Market, CEPR Discussion Papers (2014) View citations (51) (2014)

2014

18. Discretion vs. timeless perspective under model-consistent stabilization objectives
    Economics Letters, 2014, 122, (1), 84-88 View citations (1)
    See also Working Paper Discretion vs. Timeless Perspective under Model-consistent Stabilization Objectives, CEPR Discussion Papers (2013) (2013)
19. Loss aversion and the asymmetric transmission of monetary policy
    Journal of Monetary Economics, 2014, 68, (C), 19-36 View citations (74)
    See also Working Paper Loss Aversion and the Asymmetric Transmission of Monetary Policy, CEPR Discussion Papers (2014) View citations (79) (2014)

2013

20. Aggregate fluctuations and the cross-sectional dynamics of firm growth
    Journal of the Royal Statistical Society Series A, 2013, 176, (2), 459-479 View citations (17)
    See also Working Paper Aggregate fluctuations and the cross-sectional dynamics of firm growth, Working Papers of Department of Economics, Leuven (2011) View citations (3) (2011)

2012

21. Factor Demand Linkages, Technology Shocks, and the Business Cycle
    The Review of Economics and Statistics, 2012, 94, (4), 948-963 View citations (42)
    See also Working Paper Factor Demand Linkages, Technology Shocks and the Business Cycle, Cambridge Working Papers in Economics (2010) View citations (2) (2010)
22. Inflation dynamics and real marginal costs: New evidence from U.S. manufacturing industries
    Journal of Economic Dynamics and Control, 2012, 36, (5), 779-794 View citations (16)
    See also Working Paper Inflation Dynamics and Real Marginal Costs: New Evidence from U.S. Manufacturing Industries, Birkbeck Working Papers in Economics and Finance (2012) View citations (16) (2012)
23. When oil prices jump, is speculation to blame?
    The Regional Economist, 2012, (Apr) View citations (2)

2011

24. Input–output interactions and optimal monetary policy
    Journal of Economic Dynamics and Control, 2011, 35, (11), 1817-1830 View citations (20)

Chapters

2023

1. Unveiling the Dance of Commodity Prices and the Global Financial Cycle
   A chapter in NBER International Seminar on Macroeconomics 2023, 2023
   See also Journal Article Unveiling the dance of commodity prices and the global financial cycle, Elsevier (2024) View citations (3) (2024)
   Working Paper Unveiling the Dance of Commodity Prices and the Global Financial Cycle, International Monetary Fund (2024) View citations (6) (2024)

2016

2. Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 539-565 View citations (12)
   See also Working Paper Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation, Birkbeck, Department of Economics, Mathematics & Statistics (2015) View citations (12) (2015)