Carlo A. Favero

Bocconi University - Department of Economics

Via Gobbi 5

Milan, 20136

Italy

Bocconi University - Department of Finance

Deutsche Bank Professor of Asset Pricing And Quantitative Finance

Via Roentgen 1

Milano, MI 20136

Italy

http://www.igier.unibocconi.it\favero

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

SCHOLARLY PAPERS

81

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436

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712

Ideas:
“  Modelling trends in asset prices to predict returns.A proposal for a European Debt Agency  ”

Scholarly Papers (81)

Restarting the Economy While Saving Lives Under COVID-19

Number of pages: 34 Posted: 22 Apr 2020 Last Revised: 22 Aug 2021
Carlo A. Favero, Andrea Ichino and Aldo Rustichini
Bocconi University - Department of Economics, European University Institute and University of Minnesota - Twin Cities - Department of Economics
Downloads 5,031 (3,092)
Citation 52

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COVID-19, SEIR model, post lock-down policies

Restarting the Economy While Saving Lives Under Covid-19

CEPR Discussion Paper No. DP14664
Number of pages: 48 Posted: 08 May 2020 Last Revised: 29 Jun 2020
Carlo A. Favero, Andrea Ichino and Aldo Rustichini
Bocconi University - Department of Economics, European University Institute and University of Minnesota - Twin Cities - Department of Economics
Downloads 2 (1,083,049)
Citation 1
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2.

Macro Trends and Factor Timing

Number of pages: 54 Posted: 11 Oct 2021
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Economics, Ohio State University (OSU) - Fisher College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,094 (34,889)
Citation 1

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Factor Models, Macro-Finance, Factor Timing, SDF, Risk Management.

3.
Downloads 1,017 (38,748)
Citation 2

The Performance of Italian Family Firms

ECGI - Finance Working Paper No. 127/2006
Number of pages: 34 Posted: 21 Jul 2006
Bocconi University - Department of Economics, Bocconi University - Department of Economics, Yale School of Management and Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 986 (39,884)
Citation 4

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Family firms, corporate performance, management style

The Performance of Italian Family Firms

CEPR Discussion Paper No. 5786
Number of pages: 32 Posted: 27 Sep 2006
Bocconi University - Department of Economics, Yale School of Management, Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - Department of Economics
Downloads 31 (808,051)
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Family firms, corporate performance, management style

4.

Why are Brazil's Interest Rates so High?

Number of pages: 44 Posted: 25 Oct 2002
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 744 (59,521)
Citation 17

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5.
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Citation 2

Factor Models with Drifting Prices

Number of pages: 55 Posted: 12 Jul 2019 Last Revised: 21 Aug 2023
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Economics, Ohio State University (OSU) - Fisher College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 682 (65,769)
Citation 2

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Long-Horizon Returns, Predictability, Mispricing, Factor Models, Equilibrium Correction.

Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models

CEPR Discussion Paper No. DP14417
Number of pages: 65 Posted: 03 Mar 2020 Last Revised: 24 Mar 2020
Carlo A. Favero and Alessandro Melone
Bocconi University - Department of Economics and Ohio State University (OSU) - Fisher College of Business
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Dynamic Factor-Portfolio Models, Equilibrium Correction Term, mispricing, return predictability

6.

Fiscal Policy Rules and Regime (In)Stability: Evidence from the U.S.

IGIER Working Paper No. 282
Number of pages: 31 Posted: 14 Feb 2005
Carlo A. Favero and Tommaso Monacelli
Bocconi University - Department of Economics and Bocconi University - Department of Economics
Downloads 595 (79,150)
Citation 56

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Active and passive fiscal policy rule, Markov-switching estimation, monetary policy rule

7.
Downloads 593 (79,469)
Citation 2

The Output Effect of Fiscal Consolidations

Number of pages: 53 Posted: 16 Aug 2012
Harvard University - Department of Economics, Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 515 (93,745)
Citation 2

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fiscal adjustment, output, confidence, investment

The Output Effect of Fiscal Consolidations

NBER Working Paper No. w18336
Number of pages: 60 Posted: 25 Aug 2012 Last Revised: 06 Feb 2023
Harvard University - Department of Economics, Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 78 (531,146)

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8.

Valutation, Liquidity and Risk in Government Bond Markets

IGIER Working Paper No. 281
Number of pages: 44 Posted: 07 Feb 2005
Carlo A. Favero, Marco Pagano and Ernst-Ludwig von Thadden
Bocconi University - Department of Economics, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF) and Universitaet Mannheim
Downloads 462 (108,011)
Citation 24

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Citation 85

How Does Liquidity Affect Government Bond Yields?

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 61 Posted: 26 Jan 2009 Last Revised: 29 Jan 2009
Carlo A. Favero, Marco Pagano and Ernst-Ludwig von Thadden
Bocconi University - Department of Economics, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF) and Universitaet Mannheim
Downloads 276 (189,952)
Citation 6

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bond markets, liquidity, risk

How Does Liquidity Affect Government Bond Yields?

Number of pages: 61 Posted: 15 Oct 2008 Last Revised: 20 Oct 2008
Carlo A. Favero, Marco Pagano and Ernst-Ludwig von Thadden
Bocconi University - Department of Economics, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF) and Universitaet Mannheim
Downloads 175 (293,166)
Citation 8

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Liquidity, yield differentials, bond markets

How Does Liquidity Affect Government Bond Yields?

CEPR Discussion Paper No. DP6649
Number of pages: 44 Posted: 05 Jun 2008
Carlo A. Favero, Marco Pagano and Ernst-Ludwig von Thadden
Bocconi University - Department of Economics, CSEF - University of Naples Federico II - Centre for Studies in Economics and Finance (CSEF) and Universitaet Mannheim
Downloads 9 (1,024,198)
Citation 10
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Bond yields, euro area, liquidity, risk

Implications of Return Predictability for Consumption Dynamics and Asset Pricing

Number of pages: 53 Posted: 04 Dec 2012 Last Revised: 23 Jun 2018
Carlo A. Favero, Fulvio Ortu, Andrea Tamoni and Haoxi Yang
Bocconi University - Department of Economics, Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai University
Downloads 426 (117,585)
Citation 9

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stochastic discount factor, predictors-based bounds, long run

Implications of Return Predictability Across Horizons for Asset Pricing Models

CEPR Discussion Paper No. DP11645
Number of pages: 64 Posted: 22 Nov 2016
Carlo A. Favero, Fulvio Ortu, Andrea Tamoni and Haoxi Yang
Bocconi University - Department of Economics, Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai University
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asset pricing models, predictors-based bound, return predictability

Monetary Policy and Bond Prices with Drifting Equilibrium Rates

Journal of Financial and Quantitative Analysis
Number of pages: 55 Posted: 15 Oct 2020 Last Revised: 19 Oct 2022
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Economics, Ohio State University (OSU) - Fisher College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 424 (118,235)
Citation 1

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Monetary Policy Rule, Secular Trends, Term Structure, Diagnostic Expectations, Bond Return Predictability

Monetary Policy and Bond Prices with Drifting Equilibrium Rates

CEPR Discussion Paper No. DP16629
Number of pages: 54 Posted: 15 Nov 2021
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Economics, Ohio State University (OSU) - Fisher College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
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Citation 1
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Bond Return Predictability, Diagnostic expectations, Monetary Policy Rule, Secular Trends, term structure

12.

Extracting Information from Asset Prices: The Methodology of Emu Calculators

Number of pages: 22 Posted: 21 Feb 1998
Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER), London School of Economics & Political Science (LSE) - Department of Economics and Bocconi University - Department of Economics
Downloads 418 (121,436)
Citation 5

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13.
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Citation 12

Debt and the Effects of Fiscal Policy

FRB of Boston Working Paper No. 07-4
Number of pages: 34 Posted: 24 Jul 2007
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 313 (165,884)
Citation 2

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fiscal policy, VAR models

Debt and the Effects of Fiscal Policy

NBER Working Paper No. w12822
Number of pages: 33 Posted: 12 Jan 2007 Last Revised: 16 Jul 2022
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 71 (561,159)
Citation 2

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Debt and the Effects of Fiscal Policy

CEPR Discussion Paper No. DP6092
Number of pages: 29 Posted: 14 May 2008
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 7 (1,042,962)
Citation 2
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Fiscal policy, government budget constraint, public debt, VAR models

14.

Why Is COVID-19 Mortality in Lombardy so High? Evidence from the Simulation of a SEIHCR Model

Number of pages: 15 Posted: 15 Apr 2020
Carlo A. Favero
Bocconi University - Department of Economics
Downloads 384 (133,827)
Citation 17

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COVID-19, Mortality, Lombardy, SEIRHC model

The Transmission Mechanism of Monetary Policy in Europe: Evidence from Banks' Balance Sheets

Number of pages: 23 Posted: 26 Jul 2000
Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and RES - Inter-American Development Bank
Downloads 285 (183,136)
Citation 1

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The Transmission Mechanism of Monetary Policy in Europe: Evidence from Banks' Balance Sheets

NBER Working Paper No. w7231
Number of pages: 23 Posted: 26 Oct 1999 Last Revised: 06 Oct 2022
Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and RES - Inter-American Development Bank
Downloads 77 (535,280)
Citation 1

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16.

Measuring Co-Movements between Us and European Stock Markets

IGIER Working Paper No. 165
Number of pages: 34 Posted: 17 Jul 2000
Carlo A. Favero and Alessandra Bonfiglioli
Bocconi University - Department of Economics and Institute for International Economic Studies
Downloads 350 (148,206)
Citation 1

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Contagion, Stock Market, Interdependence, Structural Models

17.

Information from Financial Markets and VAR Measures of Monetary Policy

Universita Bocconi, Innocenzo Gasparini Institute for Economic Research Working Paper No.135
Number of pages: 16 Posted: 28 Sep 1998
Carlo A. Favero and Fabio C. Bagliano
Bocconi University - Department of Economics and University of Turin - Department of Economics and Statistics
Downloads 341 (152,374)
Citation 11

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18.

Anomaly Predictability with the Mean-Variance Portfolio

Fisher College of Business Working Paper No. 2023-03-020, Charles A. Dice Working Paper No. 2023-20
Number of pages: 80 Posted: 21 Jul 2023 Last Revised: 30 Nov 2023
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Economics, Ohio State University (OSU) - Fisher College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 326 (160,992)

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Factor Models, Return Predictability, Mispricing, Conditional Misspecification, SDF

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

Number of pages: 48 Posted: 24 May 2014
Hong Kong University of Science and Technology (HKUST), Audencia Business School, Bocconi University - Department of Economics and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 230 (227,000)
Citation 1

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Longevity Risk, Strategic Asset Allocation

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

Netspar Discussion Paper No. 05/2015-012
Number of pages: 54 Posted: 30 Jul 2015
Hong Kong University of Science and Technology (HKUST), Bocconi University - Department of Economics, Audencia Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 91 (482,568)

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Longevity risk, strategic asset allocation

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

CEPR Discussion Paper No. DP10595
Number of pages: 55 Posted: 19 May 2015
Hong Kong University of Science and Technology (HKUST), Bocconi University - Department of Economics, Audencia Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance
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Citation 2
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longevity risk, strategic asset allocation

20.

Demographics and the Behavior of Interest Rates

WBS Finance Group Research Paper No. 172
Number of pages: 56 Posted: 29 Feb 2012 Last Revised: 26 Dec 2019
Carlo A. Favero, Arie Eskenazi Gozluklu and Haoxi Yang
Bocconi University - Department of Economics, University of Warwick and Nankai University
Downloads 315 (165,823)
Citation 14

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demographics, term-structure models, forecasting, economic value

21.

Long-Run Factors and Fluctuations in Dividend/Price

EFA 2009 Bergen Meetings Paper, WBS Finance Group Research Paper No. 110
Number of pages: 58 Posted: 14 Feb 2009 Last Revised: 23 Dec 2019
Carlo A. Favero, Arie Eskenazi Gozluklu and Andrea Tamoni
Bocconi University - Department of Economics, University of Warwick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 269 (195,228)

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error correction, long run predictability, equity premium, demographics

Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates

IGIER Working Paper No. 253
Number of pages: 28 Posted: 20 Jan 2004
Carlo A. Favero, Andrea Carriero and Iryna Kaminska
Bocconi University - Department of Economics, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 245 (214,124)
Citation 1

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Expectations Theory, Macroeconomic information in Finance

Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates

Number of pages: 31 Posted: 19 Apr 2004
Carlo A. Favero, Andrea Carriero and Iryna Kaminska
Bocconi University - Department of Economics, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 15 (961,373)
Citation 13
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Expectations theory, macroeconomic information in finance

23.

Modeling and Identifying Central Banks' Preferences

IGIER Universita Bocconi Working Paper No. 148
Number of pages: 29 Posted: 03 Apr 1999
Carlo A. Favero and Riccardo Rovelli
Bocconi University - Department of Economics and Alma Mater Studiorum - Università di Bologna
Downloads 255 (205,968)

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24.

Monetary-Fiscal Mix and Inflation Performance: Evidence from the U.S.

IGIER Working Paper No. 234
Number of pages: 28 Posted: 04 Jun 2003
Carlo A. Favero and Tommaso Monacelli
Bocconi University - Department of Economics and Bocconi University - Department of Economics
Downloads 247 (212,456)
Citation 20

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Monetary and Fiscal Policy Rules, Markov Switching, Inflation

25.

The Immediate Challenges for the European Central Bank

NBER Working Paper No. w6369
Number of pages: 52 Posted: 20 Jun 2000 Last Revised: 29 May 2022
Massachusetts Institute of Technology (MIT) (Deceased), Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 240 (218,456)
Citation 2

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European Sovereign Debt Risk Management: the Role of a European Debt Agency

Number of pages: 52 Posted: 20 Apr 2022 Last Revised: 09 Nov 2023
Bocconi University - Department of Policy Analysis and Public Management, Politecnico di Milano-Dipartimento Ingegneria Gestionale, Bocconi University - Department of Economics, University of Trento - Department of Economics and Management and Bocconi University
Downloads 222 (234,812)
Citation 1

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European Debt Agency, European Safe Assets, Debt Management.

Creating a Safe Asset Without Debt Mutualization: The Opportunity of a European Debt Agency

CEPR Discussion Paper No. DP17217
Number of pages: 46 Posted: 27 May 2022
Bocconi University - Department of Policy Analysis and Public Management, Polytechnic of Milan, Bocconi University - Department of Economics and University of Trento - Department of Economics and Management
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Debt Management, European Debt Agency, European Safe Assets

27.

A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing

Number of pages: 29 Posted: 22 Apr 2008 Last Revised: 13 Dec 2010
Junye Li, Carlo A. Favero and Fulvio Ortu
Fudan University - School of Management, Bocconi University - Department of Economics and Bocconi University - Department of Finance
Downloads 222 (236,502)

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Empirical Characteristic Function, Stochastic Volatility, Infinite Activity Jumps, Volatility Jumps, Continuous GMM

28.

Measuring Monetary Policy with VAR Models: An Evaluation

CEPR Discussion Paper Series No. 1743
Number of pages: 45 Posted: 10 Mar 1998
Carlo A. Favero and Fabio C. Bagliano
Bocconi University - Department of Economics and University of Turin - Department of Economics and Statistics
Downloads 214 (243,746)
Citation 7
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29.

Looking for Contagion: Evidence from the Erm

NBER Working Paper No. w7797
Number of pages: 22 Posted: 19 Jul 2000 Last Revised: 26 Oct 2022
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 209 (249,119)

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30.

Term Structure Forecasting: No-Arbitrage Restrictions versus Large Information Set

Paolo Baffi Centre Research Paper No. 2009-44, Carlo Favero, Linlin Niu, Luca Sala, “Term Structure Forecasting: No-arbitrage Restrictions versus Large Information set”,Journal of Forecasting, 31(2), pp. 124-156, March 2012.
Number of pages: 48 Posted: 04 May 2009 Last Revised: 22 Jan 2022
Carlo A. Favero, Linlin Niu and Luca Sala
Bocconi University - Department of Economics, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 198 (261,664)
Citation 13

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Yield curve, term structure of interest rates, forecasting

31.

Long-Run Trends in Demographics, Income Inequality, and the Natural Rate of Interest: Further Evidence

Number of pages: 19 Posted: 03 Nov 2021
Bocconi University - Department of Economics, Bocconi University, Ohio State University (OSU) - Fisher College of Business and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 197 (264,025)

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Monetary Policy Rule, Secular Trends, Demographics, Income Inequality

32.

Uncertainty on Monetary Policy and the Expectations Model of the Term Structure of Interest Rates

IGIER Working Paper No. 179
Number of pages: 11 Posted: 05 Apr 2001
Carlo A. Favero and Federico Mosca
Bocconi University - Department of Economics and Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research
Downloads 195 (265,254)
Citation 1

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forward-looking reaction functions, term structure of interest rates, expectations model

33.

Macroeconomic Stability and the Preferences of the Fed. A Formal Analysis, 1961-98

Number of pages: 18 Posted: 18 Aug 2001
Carlo A. Favero and Riccardo Rovelli
Bocconi University - Department of Economics and Alma Mater Studiorum - Università di Bologna
Downloads 174 (293,295)
Citation 18

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Interest rate rules, central bank preferences, US monetary policy

The Predictive Power of the Yield Spread: Further Evidence and a Structural Interpretation

IGIER Working Paper No. 280
Number of pages: 34 Posted: 03 Feb 2005
Carlo A. Favero, Iryna Kaminska and Ulf Söderström
Bocconi University - Department of Economics, University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Central Bank of Sweden - Research Department
Downloads 154 (325,587)
Citation 15

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Yield curve, term structure of interest rates, predictability, forecasting, GDP growth, estimated Euler equation

The Predictive Power of the Yield Spread: Further Evidence and a Structural Interpretation

Number of pages: 36 Posted: 14 Jun 2005
Carlo A. Favero, Iryna Kaminska and Ulf Söderström
Bocconi University - Department of Economics, University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Central Bank of Sweden - Research Department
Downloads 19 (919,509)
Citation 1
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Yield curve, term structure of interest rates, predictability, forecasting, GDP growth, estimated Euler equation

35.

Forecasting Italian Inflation with Large Datasets and Many Models

IGIER Working Paper No. 269
Number of pages: 50 Posted: 15 Oct 2004
Carlo A. Favero, Ottavio Ricchi and Cristian Tegami
Bocconi University - Department of Economics, Government of the Italian Republic (Italy) - Ministry of Economy and Finance - RGS and Government of the Italian Republic (Italy) - Department of the Treasury
Downloads 133 (365,374)
Citation 2

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Modelling and Forecasting Fiscal Variables for the Euro Area

IGIER Working Paper No. 298
Number of pages: 33 Posted: 09 Oct 2005
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics and Bocconi University - Department of Economics
Downloads 113 (414,540)
Citation 4

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Fiscal forecasting, forecast comparison, fiscal rules, euro area

Modelling and Forecasting Fiscal Variables for the Euro Area

CEPR Discussion Paper No. 5294
Number of pages: 35 Posted: 29 Dec 2005
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics and Bocconi University - Department of Economics
Downloads 17 (940,415)
Citation 3
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Fiscal forecasting, forecast comparison, fiscal rules, euro area

Consumption, Wealth, the Elasticity of Intertemporal Substitution and Long-Run Stock Market Returns

IGIER Working Paper No. 291
Number of pages: 30 Posted: 10 Jun 2005
Carlo A. Favero
Bocconi University - Department of Economics
Downloads 99 (456,248)
Citation 13

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Cointegrating consumption function, long-run stock market returns, elasticity of intertemporal substitution

Consumption, Wealth, the Elasticity of Intertemporal Substitution and Long-Run Stock Market Returns

CEPR Discussion Paper No. 5110
Number of pages: 32 Posted: 08 Aug 2005
Carlo A. Favero
Bocconi University - Department of Economics
Downloads 23 (879,786)
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Cointegrating consumption function, long-run stock market returns, elasticity of intertemporal substitution

38.

Demographics and the Term Structure of Stock Market Risk

Number of pages: 28 Posted: 22 Feb 2010 Last Revised: 20 May 2010
Andrea Tamoni and Carlo A. Favero
Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Bocconi University - Department of Economics
Downloads 115 (407,226)

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Dynamic Dividend Growth Model, Long Run Returns Predictability, Demographics

Monetary Policy in the COVID Era and Beyond: The Fed vs the ECB

Number of pages: 27 Posted: 01 Sep 2023
Carlo A. Favero and Ruben Fernandez-Fuertes
Bocconi University - Department of Economics and Bocconi University - Department of Finance
Downloads 85 (507,596)

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Monetary Policy Rules, Trends and Cycles, Fed, ECB

Monetary Policy in the COVID Era and Beyond: the Fed vs the ECB

BAFFI CAREFIN Centre Research Paper No. 209
Number of pages: 28 Posted: 07 Nov 2023
Carlo A. Favero and Ruben Fernandez-Fuertes
Bocconi University - Department of Economics and Bocconi University - Department of Finance
Downloads 28 (842,580)

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Monetary Policy Rules, Trends and Cycles, Fed, ECB

High Yields: The Spread on German Interest Rates

NBER Working Paper No. w5408
Number of pages: 46 Posted: 05 Sep 2000 Last Revised: 13 Oct 2022
Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and University of Rome
Downloads 80 (523,063)

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High Yields: The Spread on German Interest Rates

Number of pages: 49 Posted: 18 Nov 2001
Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and University of Rome
Downloads 24 (870,215)
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Yield differentials, high yielders

High Yields: The Spread on German Interest Rates

IGIER WP 102
Posted: 13 Feb 2001
Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and University of Rome

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41.
Downloads 95 (465,444)
Citation 12

Inflation Targeting and Debt: Lessons from Brazil

NBER Working Paper No. w10390
Number of pages: 23 Posted: 06 Apr 2004 Last Revised: 23 Nov 2022
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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Inflation Targeting and Debt: Lessons from Brazil

Number of pages: 25 Posted: 01 Jun 2004
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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Citation 1
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EMBI spreads, risk premium, inflation targeting, fiscal policy, Brazil

Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability

ECB Working Paper No. 926
Number of pages: 64 Posted: 21 Aug 2008
Roberto A. De Santis, Carlo A. Favero and Barbara Roffia
European Central Bank (ECB) - Directorate General Economics, Bocconi University - Department of Economics and European Central Bank (ECB)
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Euro area money demand, inflation forecasts, monetary policy, portfolio allocation

Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability

CEPR Discussion Paper No. DP8957
Number of pages: 48 Posted: 25 May 2012
Roberto A. De Santis, Carlo A. Favero and Barbara Roffia
European Central Bank (ECB) - Directorate General Economics, Bocconi University - Department of Economics and European Central Bank (ECB)
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Citation 3
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Euro area money demand, inflation forecasts, monetary policy, portfolio allocation

43.

The Network Effects of Fiscal Adjustments 

Number of pages: 64 Posted: 28 Nov 2021
Edoardo Briganti, Carlo A. Favero and Madina Karamysheva
University of California, San Diego, Bocconi University - Department of Economics and National Research University Higher School of Economics (Moscow)
Downloads 82 (509,859)
Citation 1

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industrial networks, fiscal adjustment plans, output growth, applied spatial econometrics

44.

Stabilising Market Expectations through a Market Tool: a Proposal for An Enhanced TPI

Number of pages: 20 Posted: 09 Jan 2023
Bocconi University - Department of Policy Analysis and Public Management, Politecnico di Milano-Dipartimento Ingegneria Gestionale, Bocconi University - Department of Economics, University of Trento - Department of Economics and Management and Observatoire Francais des Conjonctures Economiques, Paris (OFCE)
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TPI, European Debt Agency, Safe Asset, Eurobonds, Public Debt, Financial Stability

The Effects of Fiscal Consolidations: Theory and Evidence

NBER Working Paper No. w23385
Number of pages: 66 Posted: 08 May 2017 Last Revised: 26 May 2023
Harvard University - Department of Economics, Harvard University, Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Einaudi Institute for Economics and Finance (EIEF)
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The Effects of Fiscal Consolidations: Theory and Evidence

CEPR Discussion Paper No. DP12016
Number of pages: 66 Posted: 08 May 2017
Harvard University - Department of Economics, Harvard University, Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Einaudi Institute for Economics and Finance (EIEF)
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fiscal consolidation plans, Fiscal multipliers

46.
Downloads 57 (619,232)
Citation 3

Austerity in 2009-2013

NBER Working Paper No. w20827
Number of pages: 58 Posted: 12 Jan 2015 Last Revised: 29 May 2023
Harvard University - Department of Economics, Harvard University, Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Einaudi Institute for Economics and Finance (EIEF)
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Austerity in 2009-2013

CEPR Discussion Paper No. DP10347
Number of pages: 60 Posted: 23 Jan 2015
Harvard University - Department of Economics, Harvard University, Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Einaudi Institute for Economics and Finance (EIEF)
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confidence, fiscal adjustment, investment

47.
Downloads 41 (712,893)
Citation 6

How Large are the Effects of Tax Changes?

NBER Working Paper No. w15303
Number of pages: 21 Posted: 31 Aug 2009 Last Revised: 26 Apr 2023
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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How Large are the Effects of Tax Changes?

CEPR Discussion Paper No. DP7439
Number of pages: 23 Posted: 07 Oct 2009
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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fiscal policy, government budget constraint, public debt, VAR models

Country Heterogeneity and the International Evidence on the Effects of Fiscal Policy

NBER Working Paper No. w17272
Number of pages: 36 Posted: 08 Aug 2011 Last Revised: 13 Mar 2022
Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University
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Country Heterogeneity and the International Evidence on the Effects of Fiscal Policy

CEPR Discussion Paper No. DP8517
Number of pages: 38 Posted: 12 Aug 2011
Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University
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Citation 5
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fiscal policy, global VAR models, government budget constraint, public debt

49.
Downloads 33 (769,988)
Citation 16

What Do We Know About the Effects of Austerity?

NBER Working Paper No. w24246
Number of pages: 16 Posted: 29 Jan 2018 Last Revised: 02 Apr 2023
Harvard University - Department of Economics, Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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What Do We Know About the Effects of Austerity?

CEPR Discussion Paper No. DP12655
Number of pages: 18 Posted: 29 Jan 2018
Harvard University - Department of Economics, Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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Citation 8
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austerity

50.

Monetary Policy in the Euro Area: Lessons from Five Years of ECB and Implications for Turkey

CEPR Discussion Paper No. 5101
Number of pages: 49 Posted: 08 Aug 2005
Fabio Canova and Carlo A. Favero
BI Norwegian Business School and Bocconi University - Department of Economics
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Pillars, communication, transmission, EU newcomers

51.

Model Uncertainty, Thick Modelling and the Predictability of Stock Returns

Number of pages: 43 Posted: 16 Sep 2003
Marco Aiolfi and Carlo A. Favero
QMA and Bocconi University - Department of Economics
Downloads 31 (785,519)
Citation 5
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Modelling the Term Structure with Trends in Yields and Cycles in Excess Returns

BAFFI CAREFIN Centre Research Paper No. 210
Number of pages: 39 Posted: 21 Nov 2023
Carlo A. Favero and Ruben Fernandez-Fuertes
Bocconi University - Department of Economics and Bocconi University - Department of Finance
Downloads 17 (940,415)

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Affine Term Structure Models, Trends and Cycles, Term Premia

Modelling the Term Structure with Trends in Yields and Cycles in Excess Returns

Number of pages: 45 Posted: 29 Nov 2023
Carlo A. Favero and Ruben Fernandez-Fuertes
Bocconi University - Department of Economics and Bocconi University - Department of Finance
Downloads 12 (1,014,388)

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Affine Term Structure Models, Trends and Cycles, Term Premia

Is it the "How" or the "When" that Matters in Fiscal Adjustments?

NBER Working Paper No. w22863
Number of pages: 52 Posted: 28 Nov 2016 Last Revised: 22 Jun 2023
Harvard University - Department of Economics, Stockholm School of Economics, Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Harvard University
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Is it the 'How' or the 'When' that Matters in Fiscal Adjustments?

CEPR Discussion Paper No. DP11644
Number of pages: 44 Posted: 22 Nov 2016
Harvard University - Department of Economics, Stockholm School of Economics, Bocconi University - Department of Economics, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Harvard University
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Citation 6
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fiscal adjustments plans, Fiscal multipliers, State-dependency, output effect

54.

Does Macroeconomics Help Us to Understand the Term Structure of Interest Rates?

Number of pages: 34 Posted: 26 Jun 2001
Carlo A. Favero
Bocconi University - Department of Economics
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Small macro-models, term structure of interest rates, expectations model

55.

Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the Emu Periods

CEPR Discussion Paper No. 5793
Number of pages: 41 Posted: 10 Oct 2006
Carlo A. Favero and Stefano Giglio
Bocconi University - Department of Economics and Yale School of Management
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Fiscal policy, term structure, regime-switching, Bayesian estimation

56.

Monetary-Fiscal Mix and Inflation Performance: Evidence from the Us

Number of pages: 30 Posted: 17 Jun 2003
Carlo A. Favero and Tommaso Monacelli
Bocconi University - Department of Economics and Bocconi University - Department of Economics
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Monetary and fiscal policy rules, Markov switching, inflation

57.

How Do European Monetary and Fiscal Authorities Behave?

Number of pages: 37 Posted: 13 Aug 2002
Carlo A. Favero
Bocconi University - Department of Economics
Downloads 22 (861,802)
Citation 1
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Monetary policy, fiscal policy, euro area

58.

Large Datasets, Small Models and Monetary Policy in Europe

Number of pages: 31 Posted: 08 Jan 2002
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Economics and Bocconi University - Department of Economics
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Citation 1
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Monetary policy, small models, dynamic factors

59.

Uncertainty on Monetary Policy and the Expectational Model of the Term Structure of Interest Rates

Number of pages: 17 Posted: 17 Apr 2001
Carlo A. Favero and Federico Mosca
Bocconi University - Department of Economics and Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research
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Expectations model, forward-looking reaction functions, term structure of interest rates

Monetary Policy, Forward Rates and Long Rates: Does Germany Differ from the United States?

Number of pages: 35 Posted: 16 Nov 2001
Carlo A. Favero, Fabrizio Iacone and Marco Pifferi
Bocconi University - Department of Economics, London School of Economics & Political Science (LSE) - Department of Economics and London School of Economics & Political Science (LSE)
Downloads 19 (919,509)
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Expectations, institutional forces, monetary policy

Monetary Policy, Forward Rates and Long Rates: Does Germany Differ from the United States?

CEPR Discussion Paper Series No. 1456
Posted: 17 Mar 1997
Marco Pifferi, Fabrizio Iacone and Carlo A. Favero
London School of Economics & Political Science (LSE), London School of Economics & Political Science (LSE) - Department of Economics and Bocconi University - Department of Economics

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61.

Sovereign Spreads in the Euro Area: Which Prospects for a Eurobond?

CEPR Discussion Paper No. DP8637
Number of pages: 42 Posted: 24 Nov 2011
Carlo A. Favero and Alessandro Missale
Bocconi University - Department of Economics and University of Milan - Department of Business Policy and Economics
Downloads 18 (899,862)
Citation 6
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contagion, Eurobonds, sovereign debt crisis

62.

Parameter Instability, Model Uncertainty and the Choice of Monetary Policy

Number of pages: 33 Posted: 02 Jun 2005
Carlo A. Favero and Fabio Milani
Bocconi University - Department of Economics and University of California, Irvine - Department of Economics
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Model uncertainty, parameter instability, optimal monetary policy

63.

Reconciling VAR-Based and Narrative Measures of the Tax-Multiplier

CEPR Discussion Paper No. DP7769
Number of pages: 26 Posted: 05 Apr 2010
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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fiscal policy, government budget constraint, public debt, VAR models

64.

On the Statistical Identification of DSGE Models

CEPR Discussion Paper No. DP7176
Number of pages: 46 Posted: 18 Feb 2009
Agostino Consolo, Carlo A. Favero and Alessia Paccagnini
Bocconi University, Bocconi University - Department of Economics and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
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Bayesian analysis, Dynamic stochastic general equilibrium model, Factor-Augmented Vector Autoregression, Model evaluation

65.

Should the Euro Area Be Run as a Closed Economy?

CEPR Discussion Paper No. DP6654
Number of pages: 14 Posted: 05 Jun 2008
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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DSGE models, ECB, monetary policy, yield curve

66.

ITFIN: a stock-flow consistent model for the Italian economy

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 4
Number of pages: 96
affiliation not provided to SSRN, LUISS Guido Carli University, Department of Economics, Bocconi University - Department of Economics, Government of the Italian Republic (Italy) - Ministry of Economy and Finance - Department of the Treasury, affiliation not provided to SSRN, University of Rome I and Sogei S.p.A.
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Stock-ow consistent models, Macroeconometric models

67.

The Output Effect of Fiscal Consolidations

CEPR Discussion Paper No. DP9105
Number of pages: 56 Posted: 28 Sep 2012
Harvard University - Department of Economics, Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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Citation 3
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confidence, fiscal adjustment, investment, output

68.

Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns

CEPR Discussion Paper No. DP7734
Number of pages: 50 Posted: 17 Mar 2010
Carlo A. Favero, Arie Eskenazi Gozluklu and Andrea Tamoni
Bocconi University - Department of Economics, University of Warwick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
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Citation 15
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demographics, dynamic dividend growth model, long run returns predictability

69.

Monetary Policy Inertia: More a Fiction than a Fact?

CEPR Discussion Paper No. DP7341
Number of pages: 16 Posted: 26 Aug 2009
Agostino Consolo and Carlo A. Favero
Bocconi University and Bocconi University - Department of Economics
Downloads 3 (1,033,221)
Citation 5
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Monetary Policy Rulkes, Weak Identification

70.

Term Structure Forecasting: No-Arbitrage Restrictions vs. Large Information Set

CEPR Discussion Paper No. DP6206
Number of pages: 35 Posted: 21 May 2008
Carlo A. Favero, Linlin Niu and Luca Sala
Bocconi University - Department of Economics, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 2 (1,040,061)
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Factor models, forecasting, large data set, term structure of interest rates, yield curve

71.

Austerity and Public Debt Dynamics

CEPR Discussion Paper No. DP14072
Number of pages: 45 Posted: 23 Oct 2019
Carlo A. Favero and Pierfrancesco Mei
Bocconi University - Department of Economics and Harvard University
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austerity, fiscal adjustment plans, output growth, public debt

72.

The Network Effects of Fiscal Adjustments

CEPR Discussion Paper No. DP13017
Number of pages: 35 Posted: 03 Jul 2018
Edoardo Briganti, Carlo A. Favero and Madina Karamysheva
Bocconi University, Bocconi University - Department of Economics and National Research University Higher School of Economics (Moscow)
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fiscal adjustment plans, industrial networks, output growth

73.

Demographics and the Secular Stagnation Hypothesis in Europe

CEPR Discussion Paper No. DP10887
Number of pages: 50 Posted: 20 Oct 2015
Carlo A. Favero, Vincenzo Galasso and Vincenzo Galasso
Bocconi University - Department of Economics and Centre for Economic Policy Research (CEPR)Bocconi University
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Citation 5
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Europe, growth, real interest rates, stochastic mortality

74.

Effects of Austerity: Expenditure- and Tax-Based Approaches

CEPR Discussion Paper No. DP13565
Number of pages: 37 Posted: 07 Mar 2019 Last Revised: 11 Mar 2019
Harvard University - Department of Economics, Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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austerity, fiscal adjustment plans, output growth

75.

Nudging Financial and Demographic Literacy: Experimental Evidence from an Italian Pension Fund

BAFFI CAREFIN Centre Research Paper No. 67
Posted: 04 Jan 2018 Last Revised: 23 Oct 2022
Francesco C. Billari, Carlo A. Favero and Francesco Saita
Bocconi University - Department of Policy Analysis and Public Management, Bocconi University - Department of Economics and Bocconi University - Department of Finance

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pensions, financial literacy, demographic literacy, field experiment, Finlife

76.

What Do We Know About Fiscal Multipliers?

CEPR Discussion Paper No. DP10986
Number of pages: 41 Posted: 16 Dec 2015
Carlo A. Favero and Madina Karamysheva
Bocconi University - Department of Economics and National Research University Higher School of Economics (Moscow)
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fiscal adjustment, fiscal plans, output growth

77.

A Duration Model of Irreversible Oil Investment: Theory and Empirical Evidence

Journal of Applied Econometrics, 9, pp. S95-S112, 1994
Posted: 23 Sep 2009 Last Revised: 01 May 2012
Carlo A. Favero, M. Hashem Pesaran and Sunil Sharma
Bocconi University - Department of Economics, University of Southern California - Department of Economics and George Washington University - Elliott School of International Affairs

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78.

Explaining Co-Movements between Stock Markets: The Case of Us and Germany

Journal of International Money and Finance, Vol. 24, No.8, pp. 1299-1316, December 2005
Posted: 21 Sep 2006
Alessandra Bonfiglioli and Carlo A. Favero
Universitat Pompeu Fabra, Economics Department and Bocconi University - Department of Economics

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Contagion, Stock Market, Interdependence, Structural Models

79.

Yield Spreads on Emu Government Bonds

Posted: 29 Dec 2004
Alessandro Missale and Carlo A. Favero
University of Milan - Department of Business Policy and Economics and Bocconi University - Department of Economics

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Bond market integration, credit risk, government bonds, liquidity premium, yield spreads

80.

Measuring Monetary Policy in Open Economies

IGIER Working Paper No. 133
Posted: 24 Aug 1998
Carlo A. Favero, Fabio C. Bagliano and Francesco Franco
Bocconi University - Department of Economics, University of Turin - Department of Economics and Statistics and affiliation not provided to SSRN

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81.

A Red Letter Day?

CEPR Discussion Paper Series Number 1804
Posted: 05 Aug 1998
Massachusetts Institute of Technology (MIT) (Deceased), Bocconi University - Department of Economics and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)

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