Details about Carlo Favero
Access statistics for papers by Carlo Favero.
Last updated 2022-12-06. Update your information in the RePEc Author Service.
Short-id: pfa12
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Working Papers
2022
- Creating a Safe Asset without Debt Mutualization: the Opportunity of a European Debt Agency
CEPR Discussion Papers, C.E.P.R. Discussion Papers
2021
- Monetary Policy and Bond Prices with Drifting Equilibrium Rates
CEPR Discussion Papers, C.E.P.R. Discussion Papers
2020
- Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers
- Restarting the economy while saving lives under Covid-19
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (106)
2019
- Asset Pricing vs Asset Expected Returning in Factor Models
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
- Austerity and Public debt Dynamics
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
- Effects of Austerity: Expenditure- and Tax-based Approaches
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (95)
See also Journal Article Effects of Austerity: Expenditure- and Tax-Based Approaches, Journal of Economic Perspectives, American Economic Association (2019) View citations (95) (2019)
- 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 (1) (2020)
2018
- The Network Effects of Fiscal Adjustments
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
- 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
- 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)
- 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)
- The Effects of Fiscal Consolidations: Theory and Evidence
NBER Working Papers, National Bureau of Economic Research, Inc View citations (63)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (66)
2016
- Implications of Return Predictability across Horizons for Asset Pricing Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
- Is it the "How" or the "When" that Matters in Fiscal Adjustments?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (6)
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
- Austerity in 2009-2013
NBER Working Papers, National Bureau of Economic Research, Inc View citations (57)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (32)
- Demographics and the Secular Stagnation Hypothesis in Europe
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
- What Do We Know About Fiscal Multipliers?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
2014
- The output effect of fiscal consolidation plans
SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (10)
See also Journal Article The output effect of fiscal consolidation plans, Journal of International Economics, Elsevier (2015) View citations (173) (2015) Chapter The Output Effect of Fiscal Consolidation Plans, NBER Chapters, National Bureau of Economic Research, Inc (2014) View citations (9) (2014)
2013
- 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)
- 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 (96) Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2012) View citations (85) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (86)
2012
- Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
Also in Working Paper Series, European Central Bank (2008) View citations (23) Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (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)
- 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)
- 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
- 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 NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (66) Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2011) View citations (58)
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)
- 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)
- Insider Trading, Traded Volume and Returns
Working papers, Former Department of Economics and Public Finance "G. Prato", University of Torino View citations (4)
- Progress in Medicine, Limits to Life and Forecasting Mortality
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
- 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
- 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)
- Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (2)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (1)
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)
- 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)
- Reconciling VAR-based and Narrative Measures of the Tax-Multiplier
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (25)
Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2010) View citations (21)
2009
- 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)
- 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)
- 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
- Demographics and fluctuations in Dividend/Price
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
- 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 (199) (2010)
- Should the Euro Area be Run as a Closed Economy?
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (49)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (46)
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)
- 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
- Debt and the Effects of Fiscal Policy
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (157)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (164) Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2007) View citations (171) Working Papers, Federal Reserve Bank of Boston (2007) View citations (153)
- 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)
- 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)
- 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
- 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)
- The Performance of Italian Family Firms
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
2005
- 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)
- 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)
- 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)
- 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
- 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
- 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)
- 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)
- Valutation, Liquidity and Risk in Government Bond Markets
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (14)
2004
- Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (13)
Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (6) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (11)
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 (26) (2006)
- Forecasting Italian inflation with large datasets and many models
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
- 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
- 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)
- 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
- 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
- Does Macroeconomics Help Us To Understand the Term Structure of Interest Rates?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
- 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)
- 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
- 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)
- 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
- 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)
- 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)
- 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
- A Red Letter Day?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (36)
- 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
- 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)
- 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
- High Yields: The Spread on German Interest Rates
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (12) Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (3)
See also Journal Article High Yields: The Spread on German Interest Rates, Economic Journal, Royal Economic Society (1997) View citations (82) (1997)
- 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
- Ottimizzazione intertemporale e metodi econometrici in economia
Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali
- 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
- Deficits, Money Growth and Inflation in Italy 1865-1990
Working Papers, Queen Mary University of London, School of Economics and Finance
- Error Correction and Forward-looking Models for the U.K. Consumers' Expenditure
Working Papers, Queen Mary University of London, School of Economics and Finance
- 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)
- 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
- Consumption and the Sale of the Crown's Land
Working Papers, Queen Mary University of London, School of Economics and Finance
- 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
- Stabilization Policy and the Real Effects of Nominal Shocks
Working Papers, Queen Mary University of London, School of Economics and Finance
- 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 (1989) View citations (2) Working Papers, Queen Mary University of London, School of Economics and Finance (1990) View citations (4)
- 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
- 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
- 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
- Does Macroeconomics Help Understand the Term Structure of Interest Rates?
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (10)
- 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)
- 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)
- Parameters´ Instability, Model Uncertainty and Optimal Monetary Policy
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
- 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)
- Recursive `thick´ modeling of excess returns and portfolio allocation
Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (10)
- 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
- Implications of Return Predictability for Consumption Dynamics and Asset Pricing
Journal of Business & Economic Statistics, 2020, 38, (3), 527-541 View citations (1)
See also Working Paper Implications of return predictability for consumption dynamics and asset pricing, LSE Research Online Documents on Economics (2019) (2019)
2019
- Effects of Austerity: Expenditure- and Tax-Based Approaches
Journal of Economic Perspectives, 2019, 33, (2), 141-62 View citations (95)
See also Working Paper Effects of Austerity: Expenditure- and Tax-based Approaches, CEPR Discussion Papers (2019) View citations (95) (2019)
2018
- 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?, NBER Working Papers (2016) View citations (7) (2016)
- 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
- 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
- Contagion in the EMU – The Role of Eurobonds with OMTs
Review of Law & Economics, 2016, 12, (3), 555-584 View citations (1)
- 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
- Editor's Choice Austerity in 2009–13
Economic Policy, 2015, 30, (83), 383-437
- The output effect of fiscal consolidation plans
Journal of International Economics, 2015, 96, (S1), S19-S42 View citations (173)
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
- 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)
- 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
- 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, CEPR Discussion Papers (2012) View citations (1) (2012)
- Modelling and forecasting government bond spreads in the euro area: A GVAR model
Journal of Econometrics, 2013, 177, (2), 343-356 View citations (92)
2012
- 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)
- 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)
- 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)
- 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
- Comment
NBER International Seminar on Macroeconomics, 2011, 7, (1), 31 - 36
- 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)
- 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, Working Papers (2010) View citations (2) (2010)
- Demographics and US Stock Market Fluctuations *
CESifo Economic Studies, 2011, 57, (1), 25-43
2010
- How Does Liquidity Affect Government Bond Yields?
Journal of Financial and Quantitative Analysis, 2010, 45, (1), 107-134 View citations (199)
See also Working Paper How Does Liquidity Affect Government Bond Yields?, CEPR Discussion Papers (2008) View citations (13) (2008)
2009
- 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)
- 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
- 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?, Working Papers (2008) View citations (49) (2008)
2006
- 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 (26)
See also Working Paper Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates, Working Papers (2004) View citations (13) (2004)
- Taylor rules and the term structure
Journal of Monetary Economics, 2006, 53, (7), 1377-1393 View citations (16)
- The econometrics of macroeconomics, finance, and the interface
Journal of Econometrics, 2006, 131, (1-2), 1-2
2005
- 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 (31)
- 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
- 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)
- 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)
- 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
- 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)
- 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
- APPLIED MACROECONOMETRICS Carlo A. Favero Oxford University Press, 2001
Macroeconomic Dynamics, 2003, 7, (2), 313-315 View citations (36)
- 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)
- 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 (256)
2002
- 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
- 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
- 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
- Deficits, Money Growth and Inflation in Italy: 1875–1994
Economic Notes, 1999, 28, (1), 43-71 View citations (6)
- Financial markets' assessments of EMU: A comment
Carnegie-Rochester Conference Series on Public Policy, 1999, 51, (1), 271-280 View citations (2)
- 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
- 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)
- 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
- 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
- A Duration Model of Irreversible Oil Investment: Theory and Empirical Evidence
Journal of Applied Econometrics, 1994, 9, (S), S95-112 View citations (51)
- 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
- 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
- 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)
- 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
- Applied Macroeconometrics
OUP Catalogue, Oxford University Press View citations (172)
Edited books
2007
- Monetary Policy, Fiscal Policies and Labour Markets
Cambridge Books, Cambridge University Press View citations (2)
2004
- Monetary Policy, Fiscal Policies and Labour Markets
Cambridge Books, Cambridge University Press View citations (55)
Chapters
2021
- 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
- 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 Journal Article The output effect of fiscal consolidation plans, Elsevier (2015) View citations (173) (2015) Working Paper The output effect of fiscal consolidation plans, Leibniz Institute for Financial Research SAFE (2014) View citations (10) (2014)
2010
- 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)
- 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
- 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
- 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
- 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)
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