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Manganelli, Simone

Research

Division

Financial Research

Current position

Head of Division

Fields of interest

Mathematical and Quantitative Methods,
Financial Economics,
Microeconomics

Email

simone.manganelli@ecb.europa.eu

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

2020
Manganelli, Simone, Piras, Francesco, Agnoletti, Mauro
Covid-19 and rural landscape: the case of Italy
No 2478
Falconio, Andrea, Manganelli, Simone
Financial conditions, business cycle fluctuations and growth at risk
No 2470
Gelain, Paolo, Manganelli, Simone
Monetary policy with judgment
No 2404
2019
Chavleishvili, Sulkhan, Manganelli, Simone
Forecasting and stress testing with quantile vector autoregression
No 2330
2018
Manganelli, Simone
Selecting models with judgment
No 2188
2017
Bubeck, Johannes, Habib, Maurizio Michael, Manganelli, Simone
The portfolio of euro area fund investors and ECB monetary policy announcements
No 2116
2016
Manganelli, Simone
Deciding with judgment
No 1947
Manganelli, Simone, Heider, Florian, Hoerova, Marie, Garcia-de-Andoain, Carlos
Lending-of-last-resort is as lending-of-last-resort does: central bank liquidity provision and interbank market functioning in the euro area
No 1886
2015
Manganelli, Simone, White, Halbert, Kim, Tae-Hwan
VAR for VaR: measuring tail dependence using multivariate regression quantiles
No 1814
2014
Manganelli, Simone, Hoffmann, Peter, Garcia-de-Andoain, Carlos
Fragmentation in the euro overnight unsecured money market
No 1755
Manganelli, Simone, Idier, Julien, Vergote, Olivier, Ghysels, Eric
A high frequency assessment of the ECB securities markets programme
No 1642
2011
Manganelli, Simone, Altunbas, Yener, Marqués-Ibáñez, David
Bank risk during the financial crisis: do business models matter?
No 1394
2010
Manganelli, Simone, Popov, Alexander
Finance and diversification
No 1259
2008
Manganelli, Simone, White, Halbert, Kim, Tae-Hwan
Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
No 957
Cappiello, Lorenzo, Manganelli, Simone, Kadareja, Arjan
The impact of the euro on equity markets: a country and sector decomposition
No 906
2007
Manganelli, Simone, Wolswijk, Guido
Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?
No 745
Manganelli, Simone
Asset allocation by penalized least squares
No 723
2006
Cappiello, Lorenzo, Gérard, Bruno, Kadareja, Arjan, Manganelli, Simone
Financial integration of new EU Member States
No 683
Cappiello, Lorenzo, Manganelli, Simone, Hördahl, Peter, Kadareja, Arjan
The impact of the euro on financial markets
No 598
Manganelli, Simone
A new theory of forecasting
No 584
2005
Cappiello, Lorenzo, Manganelli, Simone, Gérard, Bruno
Measuring comovements by regression quantiles
No 501
2003
Hartmann, Philipp, Maddaloni, Angela, Manganelli, Simone
The euro area financial system: structure, integration and policy initiatives
No 230
Kilian, Lutz, Manganelli, Simone
The central bank as a risk manager: quantifying and forecasting inflation risks
No 226
2002
Ceci, Vladimiro, Manganelli, Simone, Vecchiato, Walter
Sensitivity analysis of volatility: a new tool for risk management
No 194
Manganelli, Simone
Duration, volume and volatility impact of trades
No 125
2001
Engle, Robert F., Manganelli, Simone
Value at risk models in finance
No 75

ECB Occasional Paper Series

2011
Beirne, John, Tapking, Jens, Sahel, Benjamin, Sušec, Matjaž, Monar, Fernando, Manganelli, Simone, Grothe, Magdalena, Ejsing, Jacob, Dalitz, Lars, Vong, Tana
The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets
No 122
2008
De Santis, Roberto A., Cappiello, Lorenzo, Baltzer, Markus, Manganelli, Simone
Measuring financial integration in new EU Member States
No 81

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