Details about Carlo Favero

Homepage:	https://mypage.unibocconi.eu/carloambrogiofavero/
Postal address:	Dept of Economics, Bocconi University Via Sarfatti, 25 Milano, Italy
Workplace:	Dipartimento di Finanza (Department of Finance), Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC) Innocenzo Gasparini Institute for Economic Research (IGIER), Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC) Centro Studi di Economia e Finanza (CSEF) (Centre for Studies in Economics and Finance), (more information at EDIRC) Centre for Economic Policy Research (CEPR), (more information at EDIRC)

Access statistics for papers by Carlo Favero.

Last updated 2025-04-06. Update your information in the RePEc Author Service.

Short-id: pfa12

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Working Papers

2022

1. Creating a Safe Asset without Debt Mutualization: the Opportunity of a European Debt Agency
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2021

2. Monetary Policy and Bond Prices with Drifting Equilibrium Rates
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2020

3. Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
4. Restarting the economy while saving lives under Covid-19
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (106)

2019

5. Asset Pricing vs Asset Expected Returning in Factor Models
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
6. Austerity and Public debt Dynamics
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
7. Effects of Austerity: Expenditure- and Tax-based Approaches
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (98)
   See also Journal Article Effects of Austerity: Expenditure- and Tax-Based Approaches, Journal of Economic Perspectives, American Economic Association (2019) View citations (98) (2019)
8. Implications of return predictability for consumption dynamics and asset pricing
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   See also Journal Article Implications of Return Predictability for Consumption Dynamics and Asset Pricing, Journal of Business & Economic Statistics, Taylor & Francis Journals (2020) View citations (2) (2020)

2018

9. The Network Effects of Fiscal Adjustments
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
10. What do we know about the effects of Austerity?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (48)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (49)
    See also Journal Article What Do We Know about the Effects of Austerity?, AEA Papers and Proceedings, American Economic Association (2018) View citations (53) (2018)

2017

11. A Multivariate Model of Strategic Asset Allocation with Longevity Risk
    Post-Print, HAL View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2013)
    See also Journal Article A Multivariate Model of Strategic Asset Allocation with Longevity Risk, Journal of Financial and Quantitative Analysis, Cambridge University Press (2017) View citations (5) (2017)
12. Nudging financial and demographic literacy: experimental evidence from an Italian Trade Union Pension Fund
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (6)
13. The Effects of Fiscal Consolidations: Theory and Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (64)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (67)

2016

14. Implications of Return Predictability across Horizons for Asset Pricing Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
15. Is it the "How" or the "When" that Matters in Fiscal Adjustments?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (7)
    See also Journal Article Is it the “How” or the “When” that Matters in Fiscal Adjustments?, IMF Economic Review, Palgrave Macmillan (2018) View citations (9) (2018)

2015

16. Austerity in 2009-2013
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (32)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (57)
17. Demographics and the Secular Stagnation Hypothesis in Europe
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
18. What Do We Know About Fiscal Multipliers?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)

2014

19. The output effect of fiscal consolidation plans
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (10)
    See also Chapter The Output Effect of Fiscal Consolidation Plans, NBER Chapters, National Bureau of Economic Research, Inc (2014) View citations (9) (2014)
    Journal Article The output effect of fiscal consolidation plans, Journal of International Economics, Elsevier (2015) View citations (174) (2015)

2013

20. Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set
    Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
    See also Journal Article Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set, Journal of Forecasting, John Wiley & Sons, Ltd. (2012) View citations (21) (2012)
21. The output effect of fiscal consolidations
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (97)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (87)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2012) View citations (85)

2012

22. Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
    Also in Working Paper Series, European Central Bank (2008) View citations (23)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (1)
    See also Journal Article Euro area money demand and international portfolio allocation: A contribution to assessing risks to price stability, Journal of International Money and Finance, Elsevier (2013) View citations (28) (2013)
23. Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    See also Journal Article Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy, North American Actuarial Journal, Taylor & Francis Journals (2014) View citations (11) (2014)
24. Modelling and Forecasting Yield Differentials in the euro area. A non-linear Global VAR model
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (10)

2011

25. Country Heterogeneity and the International Evidence on the Effects of Fiscal Policy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (65)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2011) View citations (58)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (66)
    See also Journal Article Country Heterogeneity and the International Evidence on the Effects of Fiscal Policy, IMF Economic Review, Palgrave Macmillan (2011) View citations (63) (2011)
26. Demographics and The Behaviour of Interest Rates
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
    See also Journal Article Demographics and the Behavior of Interest Rates, IMF Economic Review, Palgrave Macmillan (2016) View citations (29) (2016)
27. Insider Trading, Traded Volume and Returns
    Working papers, Former Department of Economics and Public Finance "G. Prato", University of Torino View citations (4)
28. Progress in Medicine, Limits to Life and Forecasting Mortality
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
29. Sovereign spreads in the Euro Area. Which prospects for a Eurobond?
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (29)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (36)

2010

30. A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
    See also Journal Article A spectral estimation of tempered stable stochastic volatility models and option pricing, Computational Statistics & Data Analysis, Elsevier (2012) View citations (6) (2012)
31. Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2010) View citations (2)
    See also Journal Article Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns, Journal of Financial and Quantitative Analysis, Cambridge University Press (2011) View citations (30) (2011)
32. Demographics and the Econometrics of the Term Structure of Stock Market Risk
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (3)
33. Reconciling VAR-based and Narrative Measures of the Tax-Multiplier
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (21)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (25)

2009

34. How Large Are the Effects of Tax Changes?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (30)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (29)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2009) View citations (28)
35. Monetary Policy Inertia: More a Fiction than a fact?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (49)
    See also Journal Article Monetary policy inertia: More a fiction than a fact?, Journal of Monetary Economics, Elsevier (2009) View citations (49) (2009)
36. On the Statistical Identification of DSGE Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (33)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2007) View citations (4)
    See also Journal Article On the statistical identification of DSGE models, Journal of Econometrics, Elsevier (2009) View citations (29) (2009)

2008

37. Demographics and fluctuations in Dividend/Price
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
38. How Does Liquidity Affect Government Bond Yields?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2007) View citations (14)
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2007) View citations (3)
    See also Journal Article How Does Liquidity Affect Government Bond Yields?, Journal of Financial and Quantitative Analysis, Cambridge University Press (2010) View citations (200) (2010)
39. Should the Euro Area be Run as a Closed Economy?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (46)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2008) View citations (49)
    See also Journal Article Should the Euro Area Be Run as a Closed Economy?, American Economic Review, American Economic Association (2008) View citations (46) (2008)
40. The ECB and the bond market
    European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission View citations (1)

2007

41. Debt and the Effects of Fiscal Policy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (158)
    Also in Working Papers, Federal Reserve Bank of Boston (2007) View citations (154)
    NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (165)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2007) View citations (172)
42. Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (15)
43. Term Structure Forecasting: No-Arbitrage Restrictions vs Large Information Set
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2007) View citations (17)
44. The Econometrics of Monetary Policy: an Overview
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    See also Chapter The Econometrics of Monetary Policy: An Overview, Palgrave Macmillan Books, Palgrave Macmillan (2009) View citations (1) (2009)

2006

45. Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2006) View citations (4)
46. The Performance of Italian Family Firms
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)

2005

47. Consumption, Wealth, the Elasticity of Intertemporal Substitution and Long-Run Stock Market Returns
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (18)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (17)
48. Fiscal Policy Rules and Regime (In)Stability: Evidence from the U.S
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (54)
49. Modelling and Forecasting Fiscal Variables for the Euro Area
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (39)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (40)
    See also Journal Article Modelling and Forecasting Fiscal Variables for the Euro Area*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) View citations (40) (2005)
50. Monetary Policy in the Euro Area: Lessons from Five Years of ECB and Implications for Turkey
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
51. Monetary policy in the Euro area: Lessons from 5 years of ECB and implications for Turkey
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra
52. Parameter Instability, Model Uncertainty and the Choice of Monetary Policy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    See also Journal Article Parameter Instability, Model Uncertainty and the Choice of Monetary Policy, The B.E. Journal of Macroeconomics, De Gruyter (2005) View citations (8) (2005)
53. The Predictive Power of the Yield Spread: Further Evidence and A Structural Interpretation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (31)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2005) View citations (34)
54. Valutation, Liquidity and Risk in Government Bond Markets
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (14)

2004

55. Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (6)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2004) View citations (13)
    See also Journal Article Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates, Journal of Econometrics, Elsevier (2006) View citations (27) (2006)
56. Forecasting Italian inflation with large datasets and many models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
57. Inflation Targeting and Debt: Lessons from Brazil
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (77)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (75)

2003

58. Model Uncertainty, Thick Modelling and the Predictability of Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (45)
59. Monetary-Fiscal Mix and Inflation Performance: Evidence from the U.S
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (37)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (35)

2002

60. How do European Monetary and Fiscal Authorities Behave?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (97)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (90)

2001

61. Does Macroeconomics Help Us To Understand the Term Structure of Interest Rates?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
62. Large Datasets, Small Models and Monetary Policy in Europe
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (31)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (27)
63. Uncertainty on Monetary Policy and the Expectational Model of the Term Structure of Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (16)
    See also Journal Article Uncertainty on monetary policy and the expectations model of the term structure of interest rates, Economics Letters, Elsevier (2001) View citations (17) (2001)

2000

64. Looking for Contagion: Evidence from the ERM
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2000) View citations (15)
65. Measuring Co-Movements Between US and European Stock Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)

1999

66. Measuring Monetary Policy in Open Economies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (7)
67. Modelling and Identifying Central Banks' Preferences
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
68. The Transmission Mechanism of Monetary Policy in Europe: Evidence from Banks' Balance Sheets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (85)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1999) View citations (79)

1998

69. A Red Letter Day?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (36)
70. The Immediate Challenges for the European Central Bank
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (166)
    See also Journal Article Immediate challenges for the European Central Bank, Economic Policy, CEPR, CESifo, Sciences Po (1998) View citations (137) (1998)

1997

71. Extracting Information from Asset Prices: The Methodology of EMU Calculators
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (16)
    See also Journal Article Extracting information from asset prices: The methodology of EMU calculators, European Economic Review, Elsevier (2000) View citations (11) (2000)
72. Measuring Monetary Policy with VAR Models: An Evaluation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (15)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (140)
    See also Journal Article Measuring monetary policy with VAR models: An evaluation, European Economic Review, Elsevier (1998) View citations (177) (1998)

1996

73. High Yields: The Spread on German Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (3)
    NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (12)
    See also Journal Article High Yields: The Spread on German Interest Rates, Economic Journal, Royal Economic Society (1997) View citations (82) (1997)
74. Monetary Policy, Forward Rates and Long Rates: Does Germany Differ from the United States?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)

1993

75. Ottimizzazione intertemporale e metodi econometrici in economia
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali
76. Output, interest rates and the monetary trasmission mechanism: some empirical evidence for Italy
    Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

1992

77. Deficits, Money Growth and Inflation in Italy 1865-1990
    Working Papers, Queen Mary University of London, School of Economics and Finance
78. Error Correction and Forward-looking Models for the U.K. Consumers' Expenditure
    Working Papers, Queen Mary University of London, School of Economics and Finance
79. Oil Investment in the North Sea
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (1990) View citations (1)
    See also Journal Article Oil investment in the North Sea, Economic Modelling, Elsevier (1994) View citations (22) (1994)
80. Uncertainty and Irreversible Investment an Empirical Analysis of Development of Oil Fields in the UKCS
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (11)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (1992) View citations (11)

1991

81. Consumption and the Sale of the Crown's Land
    Working Papers, Queen Mary University of London, School of Economics and Finance
82. Taxation and the Optimization of Oil Exploration and Production: The U.K. Continental Shelf
    Working Papers, Queen Mary University of London, School of Economics and Finance
    See also Journal Article Taxation and the Optimization of Oil Exploration and Production: The UK Continental Shelf, Oxford Economic Papers, Oxford University Press (1992) View citations (10) (1992)

1990

83. Stabilization Policy and the Real Effects of Nominal Shocks
    Working Papers, Queen Mary University of London, School of Economics and Finance
84. TESTING THE LUCAS CRITIQUE: A REVIEW
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (51)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (1990) View citations (4)
    Working Papers, Queen Mary University of London, School of Economics and Finance (1989) View citations (2)
85. THE ROLE OF TAXATION IN AN INTERTEMPORAL OPTIMIZATION MODEL OF EXPLORATION AND PRODUCTION OF OIL IN THE NORTH SEA: AN EVALUATION
    Working Papers, California Los Angeles - Applied Econometrics

1989

86. Money Demand Instability, and Rational Expectations Policy Regimes: The Case of Italy: 1964-86
    Working Papers, Queen Mary University of London, School of Economics and Finance
87. THE LUCAS' CRITIQUE, FEEDBACK AND FEEDFORWARD MECHANISMS AND THE CONSUMTION FUNCTION: AN EMPIRICAL STUDY
    Economics Series Working Papers, University of Oxford, Department of Economics

Undated

88. Does Macroeconomics Help Understand the Term Structure of Interest Rates?
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (10)
89. Information from financial markets and VAR measures of monetary policy
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (62)
    See also Journal Article Information from financial markets and VAR measures of monetary policy, European Economic Review, Elsevier (1999) View citations (66) (1999)
90. Macroeconomic stability and the preferences of the Fed. A formal analysis, 1961-98
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (57)
    See also Journal Article Macroeconomic Stability and the Preferences of the Fed: A Formal Analysis, 1961-98, Journal of Money, Credit and Banking, Blackwell Publishing (2003) View citations (135) (2003)
91. Parameters´ Instability, Model Uncertainty and Optimal Monetary Policy
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
92. Principal components at work: The empirical analysis of monetary policy with large datasets
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (128)
    See also Journal Article Principal components at work: the empirical analysis of monetary policy with large data sets, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (119) (2005)
93. Recursive `thick´ modeling of excess returns and portfolio allocation
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (10)
94. Why are Brazil´s Interest Rates so High?
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (20)

Journal Articles

2020

1. Implications of Return Predictability for Consumption Dynamics and Asset Pricing
   Journal of Business & Economic Statistics, 2020, 38, (3), 527-541 View citations (2)
   See also Working Paper Implications of return predictability for consumption dynamics and asset pricing, LSE Research Online Documents on Economics (2019) (2019)

2019

2. Effects of Austerity: Expenditure- and Tax-Based Approaches
   Journal of Economic Perspectives, 2019, 33, (2), 141-62 View citations (98)
   See also Working Paper Effects of Austerity: Expenditure- and Tax-based Approaches, CEPR Discussion Papers (2019) View citations (98) (2019)

2018

3. Is it the “How” or the “When” that Matters in Fiscal Adjustments?
   IMF Economic Review, 2018, 66, (1), 144-188 View citations (9)
   See also Working Paper Is it the "How" or the "When" that Matters in Fiscal Adjustments?, CEPR Discussion Papers (2016) View citations (6) (2016)
4. What Do We Know about the Effects of Austerity?
   AEA Papers and Proceedings, 2018, 108, 524-30 View citations (53)
   See also Working Paper What do we know about the effects of Austerity?, NBER Working Papers (2018) View citations (48) (2018)

2017

5. A Multivariate Model of Strategic Asset Allocation with Longevity Risk
   Journal of Financial and Quantitative Analysis, 2017, 52, (5), 2251-2275 View citations (5)
   See also Working Paper A Multivariate Model of Strategic Asset Allocation with Longevity Risk, Post-Print (2017) View citations (5) (2017)

2016

6. Contagion in the EMU – The Role of Eurobonds with OMTs
   Review of Law & Economics, 2016, 12, (3), 555-584 View citations (1)
7. Demographics and the Behavior of Interest Rates
   IMF Economic Review, 2016, 64, (4), 732-776 View citations (29)
   See also Working Paper Demographics and The Behaviour of Interest Rates, Working Papers (2011) View citations (1) (2011)

2015

8. Editor's Choice Austerity in 2009–13
   Economic Policy, 2015, 30, (83), 383-437
9. The output effect of fiscal consolidation plans
   Journal of International Economics, 2015, 96, (S1), S19-S42 View citations (174)
   See also Chapter The Output Effect of Fiscal Consolidation Plans, NBER Chapters, 2014, 19-42 (2014) View citations (9) (2014)
   Working Paper The output effect of fiscal consolidation plans, SAFE Working Paper Series (2014) View citations (10) (2014)

2014

10. How Much Does the Stock Market Risk Decline with the Investment Horizon? A Cross-Country Comparison
    Economic Notes, 2014, 43, (1), 1-19 View citations (1)
11. Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy
    North American Actuarial Journal, 2014, 18, (1), 87-103 View citations (11)
    See also Working Paper Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy, Working Papers (2012) (2012)

2013

12. Euro area money demand and international portfolio allocation: A contribution to assessing risks to price stability
    Journal of International Money and Finance, 2013, 32, (C), 377-404 View citations (28)
    See also Working Paper Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability, Working Papers (2012) View citations (1) (2012)
13. Modelling and forecasting government bond spreads in the euro area: A GVAR model
    Journal of Econometrics, 2013, 177, (2), 343-356 View citations (93)

2012

14. A spectral estimation of tempered stable stochastic volatility models and option pricing
    Computational Statistics & Data Analysis, 2012, 56, (11), 3645-3658 View citations (6)
    See also Working Paper A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing, Working Papers (2010) View citations (1) (2010)
15. Measuring Tax Multipliers: The Narrative Method in Fiscal VARs
    American Economic Journal: Economic Policy, 2012, 4, (2), 69-94 View citations (152)
    See also Chapter Measuring Tax Multipliers: The Narrative Method in Fiscal VARs, NBER Chapters, 2010, 69-94 (2010) (2010)
16. Sovereign spreads in the eurozone: which prospects for a Eurobond?
    (Asset pricing with liquidity risk)
    Economic Policy, 2012, 27, (70), 231-273 View citations (90)
17. Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set
    Journal of Forecasting, 2012, 31, (2), 124-156 View citations (21)
    See also Working Paper Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set, Working Papers (2013) (2013)

2011

18. Comment
    NBER International Seminar on Macroeconomics, 2011, 7, (1), 31 - 36
19. Country Heterogeneity and the International Evidence on the Effects of Fiscal Policy
    IMF Economic Review, 2011, 59, (4), 652-682 View citations (63)
    See also Working Paper Country Heterogeneity and the International Evidence on the Effects of Fiscal Policy, CEPR Discussion Papers (2011) View citations (65) (2011)
20. Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns
    Journal of Financial and Quantitative Analysis, 2011, 46, (5), 1493-1520 View citations (30)
    See also Working Paper Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns, CEPR Discussion Papers (2010) View citations (1) (2010)
21. Demographics and US Stock Market Fluctuations *
    CESifo Economic Studies, 2011, 57, (1), 25-43

2010

22. How Does Liquidity Affect Government Bond Yields?
    Journal of Financial and Quantitative Analysis, 2010, 45, (1), 107-134 View citations (200)
    See also Working Paper How Does Liquidity Affect Government Bond Yields?, CEPR Discussion Papers (2008) View citations (13) (2008)

2009

23. Monetary policy inertia: More a fiction than a fact?
    Journal of Monetary Economics, 2009, 56, (6), 900-906 View citations (49)
    See also Working Paper Monetary Policy Inertia: More a Fiction than a fact?, CEPR Discussion Papers (2009) View citations (49) (2009)
24. On the statistical identification of DSGE models
    Journal of Econometrics, 2009, 150, (1), 99-115 View citations (29)
    See also Working Paper On the Statistical Identification of DSGE Models, CEPR Discussion Papers (2009) View citations (33) (2009)

2008

25. Should the Euro Area Be Run as a Closed Economy?
    American Economic Review, 2008, 98, (2), 138-45 View citations (46)
    See also Working Paper Should the Euro Area be Run as a Closed Economy?, CEPR Discussion Papers (2008) View citations (46) (2008)

2006

26. Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates
    Journal of Econometrics, 2006, 131, (1-2), 339-358 View citations (27)
    See also Working Paper Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates, CEPR Discussion Papers (2004) View citations (11) (2004)
27. Taylor rules and the term structure
    Journal of Monetary Economics, 2006, 53, (7), 1377-1393 View citations (16)
28. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2

2005

29. Explaining co-movements between stock markets: The case of US and Germany
    Journal of International Money and Finance, 2005, 24, (8), 1299-1316 View citations (32)
30. Ignazio Angeloni, Anil Kashyap and Benoit Mojon, Monetary policy transmission in the euro area, Cambridge University Press (2003)
    Journal of International Economics, 2005, 67, (2), 524-528
31. Modelling and Forecasting Fiscal Variables for the Euro Area*
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 755-783 View citations (40)
    See also Working Paper Modelling and Forecasting Fiscal Variables for the Euro Area, Working Papers (2005) View citations (39) (2005)
32. Parameter Instability, Model Uncertainty and the Choice of Monetary Policy
    The B.E. Journal of Macroeconomics, 2005, 5, (1), 33 View citations (8)
    See also Working Paper Parameter Instability, Model Uncertainty and the Choice of Monetary Policy, CEPR Discussion Papers (2005) View citations (5) (2005)
33. Principal components at work: the empirical analysis of monetary policy with large data sets
    Journal of Applied Econometrics, 2005, 20, (5), 603-620 View citations (119)
    See also Working Paper Principal components at work: The empirical analysis of monetary policy with large datasets, Working Papers View citations (128)

2004

34. Comments on "Fiscal and monetary policy interactions: Empirical evidence on optimal policy using a structural new-Keynesian model"
    Journal of Macroeconomics, 2004, 26, (2), 281-285 View citations (3)
35. How Do Monetary and Fiscal Policy Interact in the European Monetary Union? [with Comments]
    NBER International Seminar on Macroeconomics, 2004, 2004, (1), 241 - 325 View citations (1)

2003

36. APPLIED MACROECONOMETRICS Carlo A. Favero Oxford University Press, 2001
    Macroeconomic Dynamics, 2003, 7, (2), 313-315 View citations (36)
37. Macroeconomic Stability and the Preferences of the Fed: A Formal Analysis, 1961-98
    Journal of Money, Credit and Banking, 2003, 35, (4), 545-56 View citations (135)
    See also Working Paper Macroeconomic stability and the preferences of the Fed. A formal analysis, 1961-98, Working Papers View citations (57)
38. Yield spreads on EMU government bonds
    (Fiscal policy events and interest rate swap spreads: some evidence from the EU)
    Economic Policy, 2003, 18, (37), 503-532 View citations (257)

2002

39. Is the international propagation of financial shocks non-linear?: Evidence from the ERM
    Journal of International Economics, 2002, 57, (1), 231-246 View citations (184)

2001

40. Uncertainty on monetary policy and the expectations model of the term structure of interest rates
    Economics Letters, 2001, 71, (3), 369-375 View citations (17)
    See also Working Paper Uncertainty on Monetary Policy and the Expectational Model of the Term Structure of Interest Rates, CEPR Discussion Papers (2001) View citations (11) (2001)

2000

41. Extracting information from asset prices: The methodology of EMU calculators
    European Economic Review, 2000, 44, (9), 1607-1632 View citations (11)
    See also Working Paper Extracting Information from Asset Prices: The Methodology of EMU Calculators, CEPR Discussion Papers (1997) View citations (11) (1997)

1999

42. Deficits, Money Growth and Inflation in Italy: 1875–1994
    Economic Notes, 1999, 28, (1), 43-71 View citations (6)
43. Financial markets' assessments of EMU: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1999, 51, (1), 271-280 View citations (2)
44. Information from financial markets and VAR measures of monetary policy
    European Economic Review, 1999, 43, (4-6), 825-837 View citations (66)
    See also Working Paper Information from financial markets and VAR measures of monetary policy, Working Papers View citations (62)

1998

45. Immediate challenges for the European Central Bank
    Economic Policy, 1998, 13, (26), 16-64 View citations (137)
    See also Working Paper The Immediate Challenges for the European Central Bank, NBER Working Papers (1998) View citations (166) (1998)
46. Measuring monetary policy with VAR models: An evaluation
    European Economic Review, 1998, 42, (6), 1069-1112 View citations (177)
    See also Working Paper Measuring Monetary Policy with VAR Models: An Evaluation, CEPR Discussion Papers (1997) View citations (15) (1997)

1997

47. High Yields: The Spread on German Interest Rates
    Economic Journal, 1997, 107, (443), 956-85 View citations (82)
    See also Working Paper High Yields: The Spread on German Interest Rates, CEPR Discussion Papers (1996) View citations (17) (1996)

1994

48. A Duration Model of Irreversible Oil Investment: Theory and Empirical Evidence
    Journal of Applied Econometrics, 1994, 9, (S), S95-112 View citations (51)
49. Oil investment in the North Sea
    Economic Modelling, 1994, 11, (3), 308-329 View citations (22)
    See also Working Paper Oil Investment in the North Sea, Cambridge Working Papers in Economics (1992) (1992)

1993

50. Error Correction and Forward Looking Models for UK Consumers' Expenditure
    Oxford Bulletin of Economics and Statistics, 1993, 55, (4), 453-72 View citations (6)

1992

51. Money demand instability, expectations and policy regimes: A note on the case of Italy: 1964-1986
    Journal of Banking & Finance, 1992, 16, (2), 331-349 View citations (7)
52. Taxation and the Optimization of Oil Exploration and Production: The UK Continental Shelf
    Oxford Economic Papers, 1992, 44, (2), 187-208 View citations (10)
    See also Working Paper Taxation and the Optimization of Oil Exploration and Production: The U.K. Continental Shelf, Working Papers (1991) (1991)

Books

2001

1. Applied Macroeconometrics
   OUP Catalogue, Oxford University Press View citations (172)

Edited books

2007

1. Monetary Policy, Fiscal Policies and Labour Markets
   Cambridge Books, Cambridge University Press View citations (2)

2004

2. Monetary Policy, Fiscal Policies and Labour Markets
   Cambridge Books, Cambridge University Press View citations (55)

Chapters

2024

1. Alberto Alesina (1957–2020)
   Springer

2021

2. Financial and demographic education effectiveness in academic and vocational high schools: a randomised experiment
   Chapter 5 in Financial Education and Risk Literacy, 2021, pp 75-95 View citations (1)

2014

3. The Output Effect of Fiscal Consolidation Plans
   A chapter in NBER International Seminar on Macroeconomics 2014, 2014, pp 19-42 View citations (9)
   See also Working Paper The output effect of fiscal consolidation plans, Leibniz Institute for Financial Research SAFE (2014) View citations (10) (2014)
   Journal Article The output effect of fiscal consolidation plans, Elsevier (2015) View citations (174) (2015)

2010

4. Comment on "Euro Membership as a U.K. Monetary Policy Option: Results from a Structural Model"
   A chapter in Europe and the Euro, 2010, pp 440-445 View citations (2)
5. Comment on "Fiscal Policy and Interest Rates: The Role of Sovereign Default Risk"
   A chapter in NBER International Seminar on Macroeconomics 2010, 2010, pp 31-35
6. Measuring Tax Multipliers: The Narrative Method in Fiscal VARs
   A chapter in Fiscal Policy (Trans-Atlantic Public Economics Seminar, TAPES), 2010, pp 69-94
   See also Journal Article Measuring Tax Multipliers: The Narrative Method in Fiscal VARs, American Economic Association (2012) View citations (152) (2012)

2009

7. The Econometrics of Monetary Policy: An Overview
   Palgrave Macmillan View citations (1)
   See also Working Paper The Econometrics of Monetary Policy: an Overview, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2007) (2007)

2007

8. Monetary Policy in the Euro Area: Lessons from Five Years of the ECB and then Implications for Turkey
   Chapter 4 in Macroeconomic Policies for EU Accession, 2007 View citations (1)