http://www.bis.org/cbhub/list/author/author_1748/index.rss Research hub papers by author Simone Manganelli en http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1755.en.pdf European Central Bank Working papers by Peter Hoffmann, Simone Manganelli, Carlos Garcia de Andoain Fragmentation in the euro overnight unsecured money market 2014-12-19T12:31:59Z This paper examines the degree of fragmentation in the Euro overnight unsecured money market during the period June 2008 August 2013 using interbank loans constructed from payments data. After controlling for cross-country differences in bank risk, we document several episodes of significant market fragmentation. While non-standard measures such as the provision of long-term liquidity were successful in reducing tensions, considerable signs of market fragmentation remained at the end of the sample period. Fragmentation in the euro overnight unsecured money market 2014-12-19T12:31:59Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1755.en.pdf Simone Manganelli Carlos Garcia de Andoain Peter Hoffmann Peter Hoffmann, Simone Manganelli, Carlos Garcia de Andoain 2014-12-19 European Central Bank Working papers E5 G1 http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1642.pdf European Central Bank Working papers by Eric Ghysels, Julien Idier, Simone Manganelli, Olivier Vergote A high frequency assessment of the ECB securities markets programme 2014-02-28T12:31:59Z Policy impact studies often suffer from endogeneity problems. Consider the case of the ECB Securities Markets Programme: If Eurosystem interventions were triggered by sudden and strong price deteriorations, looking at daily price changes may bias downwards the correlation between yields and the amounts of bonds purchased. Simple regression of daily changes in yields on quantities often give insignificant or even positive coefficients and therefore suggest that SMP interventions have been ineffective, or worse counterproductive. We use high frequency data on purchases of the ECB Securities Markets Programme and sovereign bond quotes to address the endogeneity issues. We propose an econometric model that considers, simultaneously, first and second conditional moments of market price returns at daily and intradaily frequency. We find that SMP interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally, the new econometric model is broadly applicable to market intervention studies. A high frequency assessment of the ECB securities markets programme 2014-02-28T12:31:59Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1642.pdf Simone Manganelli Eric Ghysels Julien Idier Olivier Vergote Eric Ghysels, Julien Idier, Simone Manganelli, Olivier Vergote 2014-02-28 European Central Bank Working papers http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1394.pdf European Central Bank Working papers by Yener Altunbas, Simone Manganelli, David Marqués-Ibáñez Bank risk during the financial crisis: do business models matter?, 2011-11-04T17:36:00Z We exploit the 2007-2009 financial crisis to analyze how risk relates to bank business models. Institutions with higher risk exposure had less capital, larger size, greater reliance on short-term market funding, and aggressive credit growth. Business models related to significantly reduced bank risk were characterized by a strong deposit base and greater income diversification. The effect of business models is non-linear: it has a different impact on riskier banks. Finally, it is difficult to establish in real time whether greater stock market capitalization involves real value creation or the accumulation of latent risk. Bank risk during the financial crisis: do business models matter?, 2011-11-04T17:36:00Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1394.pdf Yener Altunbas Simone Manganelli David Marqués-Ibáñez Yener Altunbas, Simone Manganelli, David Marqués-Ibáñez 2011-11-04 European Central Bank Working papers http://www.ecb.europa.eu/pub/pdf/scpops/ecbocp122.pdf European Central Bank Occasional papers by John Beirne, Lars Dalitz, Jacob Ejsing, Magdalena Grothe, Simone Manganelli, Fernando Monar, Benjamin Sahel, Matjaž Sušec, Jens Tapking and Tana Vong The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets 2011-01-14T17:36:00Z The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets 2011-01-14T17:36:00Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpops/ecbocp122.pdf John Beirne Simone Manganelli Jacob Ejsing Jens Tapking Benjamin Sahel Fernando Monar Magdalena Grothe Lars Dalitz Tana Vong Matjaž Sušec John Beirne, Lars Dalitz, Jacob Ejsing, Magdalena Grothe, Simone Manganelli, Fernando Monar, Benjamin Sahel, Matjaž Sušec, Jens Tapking and Tana Vong 2011-01 European Central Bank Occasional papers http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1259.pdf European Central Bank Working papers by Simone Manganelli, Alexander Popov Finance and diversification, 2010-10-21T16:02:59Z We study how financial market efficiency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long-term growth. We find that financial markets increase substantially the speed with which the observed sectoral allocation of output converges towards the optimally diversified benchmark. Convergence to the optimal shares of aggregate output is relatively faster for sectors that have a higher "natural" long-term risk-adjusted growth and which exhibit higher information frictions. Our results are robust to using various proxies for financial development, to accounting for the endogeneity of finance, and to controlling for investor’s protection, contract enforcement, and barriers to entry. Crucially, the observed patterns disappear when we employ "naive" measures of diversification based on the equal spreading of output across sectors. Finance and diversification, 2010-10-21T16:02:59Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1259.pdf Alexander Popov Simone Manganelli Simone Manganelli, Alexander Popov 2010-10-21 European Central Bank Working papers http://www.ecb.int/pub/pdf/scpops/ecbocp81.pdf European Central Bank Occasional papers by Markus Baltzer, Lorenzo Cappiello, Roberto A. De Santis and Simone Manganelli Measuring financial integration in new EU Member States 2008-03-13T17:36:00Z Measuring financial integration in new EU Member States 2008-03-13T17:36:00Z ECB Full text http://www.ecb.int/pub/pdf/scpops/ecbocp81.pdf Simone Manganelli Lorenzo Cappiello Markus Baltzer Roberto A. De Santis Markus Baltzer, Lorenzo Cappiello, Roberto A. De Santis and Simone Manganelli 2008-03 European Central Bank Occasional papers http://www.ecb.int/pub/pdf/scpwps/ecbwp745.pdf European Central Bank Working papers by Simone Manganelli and Guido Wolswijk Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market? 2007-04-24T12:33:00Z Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market? 2007-04-24T12:33:00Z ECB Full text http://www.ecb.int/pub/pdf/scpwps/ecbwp745.pdf Guido Wolswijk Simone Manganelli Simone Manganelli and Guido Wolswijk 2007-04 European Central Bank Working papers C23 G12 G18 http://www.ecb.int/pub/pdf/scpwps/ecbwp723.pdf European Central Bank Working papers by Simone Manganelli Asset allocation by penalized least squares 2007-02-03T07:10:59Z Asset allocation by penalized least squares 2007-02-03T07:10:59Z ECB Full text http://www.ecb.int/pub/pdf/scpwps/ecbwp723.pdf Simone Manganelli Simone Manganelli 2007-02 European Central Bank Working papers C14 C22 G11 http://www.ecb.int/pub/pdf/scpwps/ecbwp584.pdf European Central Bank Working papers by Simone Manganelli A new theory of forecasting 2006-02-01T19:06:00Z A new theory of forecasting 2006-02-01T19:06:00Z ECB Full text http://www.ecb.int/pub/pdf/scpwps/ecbwp584.pdf Simone Manganelli Simone Manganelli 2006-01 European Central Bank Working papers C13 C53 G11 http://www.ecb.int/pub/pdf/scpwps/ecbwp226.pdf European Central Bank Working papers by Lutz Kilian and Simone Manganelli The central bank as a risk manager: quantifying and forecasting inflation risks 2003-06-23T17:09:59Z The central bank as a risk manager: quantifying and forecasting inflation risks 2003-06-23T17:09:59Z ECB Full text http://www.ecb.int/pub/pdf/scpwps/ecbwp226.pdf Lutz Kilian Simone Manganelli Lutz Kilian and Simone Manganelli 2003-04 European Central Bank Working papers C22 E31 E37 E52 E58 http://www.ecb.int/pub/pdf/scpwps/ecbwp125.pdf European Central Bank Working papers by Simone Manganelli Duration 2003-04-02T15:23:59Z Duration 2003-04-02T15:23:59Z ECB Full text http://www.ecb.int/pub/pdf/scpwps/ecbwp125.pdf Simone Manganelli Simone Manganelli 2002-02 European Central Bank Working papers C32 G14 http://www.ecb.int/pub/pdf/scpwps/ecbwp194.pdf European Central Bank Working papers by Simone Manganelli Sensitivity analysis of volatility: a new tool for risk management 2003-04-02T15:23:59Z Sensitivity analysis of volatility: a new tool for risk management 2003-04-02T15:23:59Z ECB Full text http://www.ecb.int/pub/pdf/scpwps/ecbwp194.pdf Simone Manganelli Simone Manganelli 2002-11 European Central Bank Working papers C32 C53 G15