Manganelli, Simone

Education
  • 1996-2000
    PhD in Economics, University of California, San Diego, United States of America
  • 1995-1999
    Italian Doctorate, University of Siena, Italy
  • 1988-1994
    BA in Economics, Bocconi University, Milan, Italy
Professional experience
  • 2013-
    Head of Division - Financial Research Division, Directorate General Research, European Central Bank
  • 2012-2013
    Adviser - Financial Research Division, Directorate General Research, European Central Bank
  • 2010-2012
    Principal Economist - Monetary Policy Stance Division, Directorate General Economics, European Central Bank
  • 2009-2010
    Principal Economist - Market Operations Analysis Division, Directorate General Market Operations, European Central Bank
  • 2006-2009
    Principal Economist - Financial Research Division, Directorate General Economics, European Central Bank
  • 2004-2006
    Senior Economist - Financial Research Division, Directorate General Economics, European Central Bank
  • 2000-2004
    Economist - Financial Research Division, Directorate General Economics, European Central Bank
Teaching experience
  • 1997-2000
    Teaching Assistant - University of California, San Diego, United States
  • 1994-1995
    Teaching Assistant - Bocconi University, Milan, Italy
Awards
  • 1998
    Econometric analysis fellowship, University of California, San Diego, United States of America
  • 1994
    Gold medal for excellence in undergraduate studies, Bocconi University, Milan, Italy

ECB Working Paper Series

2019
2018
2017
2016
2015
2014
2011
2010
2008
2007
2006
2005
2003
2002
2001

ECB Occasional Paper Series

Journal publications

2017
Altunbas, Y., Manganelli, S. and Marques, D.
Bank risk during the financial crisis: do business models matter?
Journal of Financial Intermediation, Vol. 32(C), pp. 29-44
Ghysels, E., Idier, J., Manganelli, S. and Vergote, O.
A high frequency assessment of the ECB Securities Markets Programme
Journal of the European Economic Association, Vol. 15, pp. 218-243
2016
Garcia-de-Andoain, C., Heider, F, Hoerova, M. and Manganelli, S.
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, Vol. 28, pp. 32-47
2015
Manganelli, S. and Popov, A.
Financial development, sectoral reallocation, and volatility: international evidence
Journal of International Economics, Vol. 96, pp. 323-337
White, H., Kim, T. H. and Manganelli, S.
VAR for VaR: measuring tail dependence using multivariate regression quantiles
Journal of Econometrics, Vol. 187, pp. 169-188
2014
Hubrich, K. and Manganelli, S.
Discussion of 'Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences' by Alessi, L. Ghysels, E. Onorante, L. Peach, R. and Potter, S.
Journal of Business and Economic Statistics, Vol. 32 (4), pp. 506-509
Garcia-de-Andoain, C. Hoffmann, P. and Manganelli, S.
Fragmentation in the euro overnight unsecured money market
Economics Letters, Vol. 125, pp. 298-302
Cappiello, L., Gerard, B. Kadareja, A. and Manganelli, S.
Measuring comovements by regression quantiles
Journal of Financial Econometrics, Vol. 12 (4), pp. 645-678
2010
Cappiello, L., Kadareja, A. and Manganelli, S.
The impact of the euro on equity markets
Journal of Financial and Quantitative Analysis, Vol. 45(2), pp. 473-502
2009
Manganelli, S.
Forecasting with judgment
Journal of Business and Economic Statistics, Vol. 27(4), pp. 553-563
Manganelli, S. and Wolswijk, G.
What drives spreads in the euro area government bond market?
Economic Policy, Vol. 58, pp. 191-240
2008
Kilian, L. and Manganelli, S.
The central banker as a risk manager: estimating the Federal Reserve's preferences under Greenspan
Journal of Money, Credit, and Banking, Vol. 40, pp. 1103-1129
2007
Kilian, L. and Manganelli, S.
Quantifying the risk of deflation
Journal of Money, Credit, and Banking, Vol. 39, pp. 561-590
2005
Manganelli, S.
Duration, volume and volatility impact of trades
Journal of Financial Markets, Vol. 8, pp. 377-399
2004
Engle, R. F. and Manganelli, S.
CAViaR: conditional autoregressive value at risk by regression quantiles
Journal of Business and Economic Statistics, Vol. 22(4), pp. 367-381
Manganelli, S.
Asset allocation by variance sensitivity analysis
Journal of Financial Econometrics, Vol. 2(3), pp. 370-389
2003
Hartmann, P., Maddaloni, A. and Manganelli, S.
EMU and the European financial system: structure, integration and policy initiatives
Oxford Review of Economic Policy, Vol. 19(1), pp. 180-213

Other publications

2017
Evanoff, D. D., Kaufman, G. G., Leonello, A. and Manganelli, S. (editors)
Achieving Financial Stability Challenges to Prudential Regulation
World Scientific Books
2004
Bernadell, C., Cardon, P., Coche, J., Diebold, F. X., and Manganelli, S. (editors)
Risk management for central bank foreign reserves
European Central Bank, Frankfurt am Main
2008
White, H., Kim, T. H. and Manganelli, S.
Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
Volatility and time series econometrics: essays in honour of Robert F. Engle, Editor Watson, M., Bollerslev, T. and Russell, J.
2004
Engle, R. F. and Manganelli, S.
A comparison of value at risk models in finance
Risk measures for the 21st century, Editor Giorgio Szego, Wiley Finance