Carlo A. Favero

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

77

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351

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721

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

Scholarly Papers (77)

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 Finance, European University Institute and University of Minnesota - Twin Cities - Department of Economics
Downloads 4,929 (2,451)
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 Finance, European University Institute and University of Minnesota - Twin Cities - Department of Economics
Downloads 2 (898,262)
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2.
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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 Finance, Yale School of Management and Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 961 (33,133)
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 Finance, Yale School of Management, Università Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Bocconi University - Department of Economics
Downloads 31 (632,986)
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Family firms, corporate performance, management style

3.

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 Finance and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 697 (52,085)
Citation 17

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The Output Effect of Fiscal Consolidations

Number of pages: 53 Posted: 16 Aug 2012
Harvard University - Department of Economics, Bocconi University - Department of Finance and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 502 (78,111)
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: 07 Feb 2021
Harvard University - Department of Economics, Bocconi University - Department of Finance and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 72 (441,563)

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5.

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 Finance and Bocconi University - Department of Economics
Downloads 522 (75,175)
Citation 57

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

6.

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 Finance, Vienna Graduate School of Finance (VGSF) and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 516 (76,276)

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

7.
Downloads 505 ( 78,319)
Citation 2

Factor Models with Drifting Prices

Number of pages: 93 Posted: 12 Jul 2019 Last Revised: 08 Mar 2022
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Finance, Vienna Graduate School of Finance (VGSF) and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 505 (77,535)
Citation 3

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Factor Models, Mispricing, Return Predictability, Diagnostic Expectations.

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 Finance and Vienna Graduate School of Finance (VGSF)
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Dynamic Factor-Portfolio Models, Equilibrium Correction Term, mispricing, return predictability

8.
Downloads 416 ( 98,472)
Citation 74

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 Finance, University of Naples Federico II - Department of Economics and Statistics and Universitaet Mannheim
Downloads 253 (167,142)
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 Finance, University of Naples Federico II - Department of Economics and Statistics and Universitaet Mannheim
Downloads 154 (262,401)
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 Finance, University of Naples Federico II - Department of Economics and Statistics and Universitaet Mannheim
Downloads 9 (818,821)
Citation 10
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Bond yields, euro area, liquidity, risk

9.

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 Finance, University of Naples Federico II - Department of Economics and Statistics and Universitaet Mannheim
Downloads 411 (99,897)
Citation 23

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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 Finance, Bocconi University - Department of Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Nankai University
Downloads 409 (99,624)
Citation 8

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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 Finance, 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

11.

Extracting Information from Asset Prices: The Methodology of Emu Calculators

Number of pages: 22 Posted: 21 Feb 1998
Bocconi University - Department of Finance, 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 406 (101,286)
Citation 6

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12.

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 Finance
Downloads 363 (115,008)
Citation 13

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COVID-19, Mortality, Lombardy, SEIRHC model

13.
Downloads 351 (119,397)
Citation 10

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 Finance and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 284 (148,646)
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: 14 Jan 2022
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Finance and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 60 (485,848)

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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 Finance and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 7 (839,735)
Citation 2
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Fiscal policy, government budget constraint, public debt, VAR models

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 Finance, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and RES - Inter-American Development Bank
Downloads 272 (155,281)
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 Apr 2022
Bocconi University - Department of Finance, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and RES - Inter-American Development Bank
Downloads 69 (451,892)

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15.

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 Finance and Institute for International Economic Studies
Downloads 333 (126,437)
Citation 1

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Contagion, Stock Market, Interdependence, Structural Models

16.

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 Finance and University of Turin - Department of Economics and Statistics
Downloads 321 (131,394)
Citation 11

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17.

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 Finance, University of Warwick and Nankai University
Downloads 295 (143,597)
Citation 11

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demographics, term-structure models, forecasting, economic value

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 Finance and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 218 (193,065)
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 Finance, Audencia Business School and Bocconi University - CAREFIN - Centre for Applied Research in Finance
Downloads 73 (438,135)

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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 Finance, 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

19.

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 Finance, University of Warwick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 255 (166,458)

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error correction, long run predictability, equity premium, demographics

Monetary Policy and Bond Prices with Drifting Equilibrium Rates

Number of pages: 49 Posted: 15 Oct 2020 Last Revised: 30 Apr 2021
Carlo A. Favero, Alessandro Melone and Andrea Tamoni
Bocconi University - Department of Finance, Vienna Graduate School of Finance (VGSF) and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 252 (167,823)
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 Finance, Vienna Graduate School of Finance (VGSF) and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
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Bond Return Predictability, Diagnostic expectations, Monetary Policy Rule, Secular Trends, term structure

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 Finance, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 232 (181,800)
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 Finance, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 15 (760,251)
Citation 13
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Expectations theory, macroeconomic information in finance

22.

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 Finance and University of Bologna - Department of Economics
Downloads 236 (179,328)
Citation 7

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23.

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 Finance and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 227 (185,986)
Citation 2

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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 Finance and Bocconi University - Department of Economics
Downloads 224 (188,332)
Citation 20

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Monetary and Fiscal Policy Rules, Markov Switching, Inflation

25.

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 Finance and University of Turin - Department of Economics and Statistics
Downloads 214 (196,707)
Citation 5
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26.

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 Finance and Bocconi University - Department of Finance
Downloads 207 (202,850)

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

27.

Looking for Contagion: Evidence from the Erm

NBER Working Paper No. w7797
Number of pages: 22 Posted: 19 Jul 2000 Last Revised: 23 Apr 2022
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Finance and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 203 (206,569)

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28.

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 Finance and Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research
Downloads 180 (229,626)
Citation 2

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

29.

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 Finance, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 178 (231,878)
Citation 12

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Yield curve, term structure of interest rates, forecasting

30.

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 Finance and University of Bologna - Department of Economics
Downloads 163 (249,730)
Citation 14

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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 Finance, University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Central Bank of Sweden - Research Department
Downloads 136 (289,964)
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 Finance, University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Central Bank of Sweden - Research Department
Downloads 19 (724,873)
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Yield curve, term structure of interest rates, predictability, forecasting, GDP growth, estimated Euler equation

32.

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

BAFFI CAREFIN Centre Research Paper No. 67
Number of pages: 37 Posted: 04 Jan 2018 Last Revised: 10 Dec 2018
Francesco C. Billari, Carlo A. Favero and Francesco Saita
Bocconi University - Department of Policy Analysis and Public Management, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 152 (264,532)

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

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 Finance and Bocconi University - Department of Economics
Downloads 99 (364,094)
Citation 4

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Fiscal forecasting, forecast comparison, fiscal rules, euro area

Modelling and Forecasting Fiscal Variables for the Euro Area

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 755-783, December 2005
Number of pages: 29 Posted: 03 Feb 2006
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 26 (668,518)

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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 Finance and Bocconi University - Department of Economics
Downloads 17 (742,266)
Citation 3
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Fiscal forecasting, forecast comparison, fiscal rules, euro area

34.

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 Finance, Bocconi University, Vienna Graduate School of Finance (VGSF) and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 132 (295,324)

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Monetary Policy Rule, Secular Trends, Demographics, Income Inequality

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 Finance, Government of the Italian Republic (Italy) - Ministry of Economy and Finance - RGS and Government of the Italian Republic (Italy) - Department of the Treasury
Downloads 115 (326,574)
Citation 2

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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 Finance
Downloads 84 (403,719)
Citation 12

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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 Finance
Downloads 23 (691,786)
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Cointegrating consumption function, long-run stock market returns, elasticity of intertemporal substitution

37.

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 Finance
Downloads 98 (363,695)

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Dynamic Dividend Growth Model, Long Run Returns Predictability, Demographics

Creating a Safe Asset without Debt Mutualization: the Opportunity of a European Debt Agency

Number of pages: 43 Posted: 20 Apr 2022
Bocconi University - Department of Policy Analysis and Public Management, Politecnico di Milano-Dipartimento Ingegneria Gestionale, Bocconi University - Department of Finance and University of Trento - Department of Economics and Management
Downloads 91 (384,170)

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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 Finance and University of Trento - Department of Economics and Management
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Debt Management, European Debt Agency, European Safe Assets

High Yields: The Spread on German Interest Rates

NBER Working Paper No. w5408
Number of pages: 46 Posted: 05 Sep 2000 Last Revised: 13 Apr 2022
Bocconi University - Department of Finance, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and University of Rome
Downloads 61 (481,874)

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High Yields: The Spread on German Interest Rates

Number of pages: 49 Posted: 18 Nov 2001
Bocconi University - Department of Finance, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and University of Rome
Downloads 24 (683,821)
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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 Finance, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and University of Rome

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40.
Downloads 83 (402,575)
Citation 11

Inflation Targeting and Debt: Lessons from Brazil

NBER Working Paper No. w10390
Number of pages: 23 Posted: 06 Apr 2004 Last Revised: 23 May 2022
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Finance and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 69 (451,892)

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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 Finance and National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 14 (769,661)
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 Finance and European Central Bank (ECB)
Downloads 76 (428,346)

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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 Finance 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

42.
Downloads 50 (519,467)
Citation 1

Austerity in 2009-2013

NBER Working Paper No. w20827
Number of pages: 58 Posted: 12 Jan 2015 Last Revised: 30 May 2021
Harvard University - Department of Economics, Harvard University, Bocconi University - Department of Finance, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Harvard University
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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 Finance, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Harvard University
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confidence, fiscal adjustment, investment

43.

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 Finance
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Pillars, communication, transmission, EU newcomers

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 2022
Harvard University - Department of Economics, Harvard University, Bocconi University - Department of Finance, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Harvard University
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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 Finance, National Bureau of Economic Research (NBER)University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and Harvard University
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fiscal consolidation plans, Fiscal multipliers

45.

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 Finance
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46.
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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: 25 Apr 2022
Carlo A. Favero, Francesco Giavazzi and Francesco Giavazzi
Bocconi University - Department of Finance 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 Finance 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

47.

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 Finance
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Small macro-models, term structure of interest rates, expectations model

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 Finance, 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 Finance, 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.

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 Finance and Yale School of Management
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Fiscal policy, term structure, regime-switching, Bayesian estimation

50.
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Citation 13

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 2022
Harvard University - Department of Economics, Bocconi University - Department of Finance 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 Finance 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

51.

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 Finance and Bocconi University - Department of Economics
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Citation 1
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Monetary and fiscal policy rules, Markov switching, inflation

52.

How Do European Monetary and Fiscal Authorities Behave?

Number of pages: 37 Posted: 13 Aug 2002
Carlo A. Favero
Bocconi University - Department of Finance
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Citation 1
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Monetary policy, fiscal policy, euro area

53.

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 Finance and Bocconi University - Department of Economics
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Citation 1
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Monetary policy, small models, dynamic factors

54.

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 Finance 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 Finance, London School of Economics & Political Science (LSE) - Department of Economics and London School of Economics & Political Science (LSE)
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Citation 2
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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 Finance

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56.

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 Finance and University of Milan - Department of Business Policy and Economics
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Citation 6
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contagion, Eurobonds, sovereign debt crisis

57.

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 Finance and University of California, Irvine - Department of Economics
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Model uncertainty, parameter instability, optimal monetary policy

58.

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 Finance and National Research University Higher School of Economics
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industrial networks, fiscal adjustment plans, output growth, applied spatial econometrics

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 Dec 2021
Harvard University - Department of Economics, Stockholm School of Economics, Bocconi University - Department of Finance, 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 Finance, 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

60.

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 Finance 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

61.

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 Finance 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

62.

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 Finance 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

63.

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 Finance 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

64.

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 Finance, University of Warwick and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
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Citation 8
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demographics, dynamic dividend growth model, long run returns predictability

65.

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 Finance
Downloads 3 (848,889)
Citation 5
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Monetary Policy Rulkes, Weak Identification

66.

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 Finance, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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Factor models, forecasting, large data set, term structure of interest rates, yield curve

67.

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 Finance and Harvard University
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austerity, fiscal adjustment plans, output growth, public debt

68.

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 Finance and National Research University Higher School of Economics
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fiscal adjustment plans, industrial networks, output growth

69.

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 Finance and Centre for Economic Policy Research (CEPR)Bocconi University
Downloads 1 (875,349)
Citation 3
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Europe, growth, real interest rates, stochastic mortality

70.

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 Finance 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

71.

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 Finance and National Research University Higher School of Economics
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fiscal adjustment, fiscal plans, output growth

72.

How Much Does the Stock Market Risk Decline with the Investment Horizon? A Cross‐Country Comparison

Economic Notes, Vol. 43, Issue 1, pp. 1-19, 2014
Number of pages: 19 Posted: 17 Jan 2014
Carlo A. Favero and Federico Nucera
Bocconi University - Department of Finance and Bank of Italy
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73.

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 Finance, University of Southern California - Department of Economics and George Washington University - Elliott School of International Affairs

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74.

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 Finance

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Contagion, Stock Market, Interdependence, Structural Models

75.

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 Finance

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

76.

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 Finance, University of Turin - Department of Economics and Statistics and affiliation not provided to SSRN

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77.

A Red Letter Day?

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

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