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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

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

  • Bocconi University - Department of Finance

SCHOLARLY PAPERS

65

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541

Scholarly Papers (65)

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1.

The Performance of Italian Family Firms

Downloads 925 ( 19,546)
Citation 8

The Performance of Italian Family Firms

ECGI - Finance Working Paper No. 127/2006
Number of pages: 34 Posted: 21 Jul 2006
Fausto Panunzi, Carlo A. Favero, Stefano Giglio and Maddalena Honorati
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 894 (20,186)
Citation 8

Abstract:

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
Carlo A. Favero, Stefano Giglio, Maddalena Honorati and Fausto Panunzi
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 (406,147)
Citation 8
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Abstract:

Family firms, corporate performance, management style

2.

The Output Effect of Fiscal Consolidations

Downloads 536 ( 41,722)

The Output Effect of Fiscal Consolidations

Number of pages: 53 Posted: 16 Aug 2012
Alberto F. Alesina, Carlo A. Favero and Francesco Giavazzi
Harvard University - Department of Economics, Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 479 (47,495)

Abstract:

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: 01 Sep 2012
Alberto F. Alesina, Carlo A. Favero and Francesco Giavazzi
Harvard University - Department of Economics, Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 57 (315,627)

Abstract:

3.

Why are Brazil's Interest Rates So High?

Number of pages: 44 Posted: 25 Oct 2002
Carlo A. Favero and Francesco Giavazzi
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 392 (51,979)
Citation 15

Abstract:

4.

How Does Liquidity Affect Government Bond Yields?

Downloads 342 ( 72,199)
Citation 21

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 209 (121,819)
Citation 21

Abstract:

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 124 (192,710)
Citation 21

Abstract:

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 (528,108)
Citation 21
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Abstract:

Bond yields, euro area, liquidity, risk

5.

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

Downloads 323 ( 77,051)
Citation 22

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

MIT Department of Economics Working Paper No. 99-20
Number of pages: 23 Posted: 26 Jul 2000
Carlo A. Favero, Francesco Giavazzi and Luca Flabbi
Bocconi University - Department of Finance, Bocconi University - Department of Economics and RES - Inter-American Development Bank
Downloads 262 (96,615)
Citation 22

Abstract:

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
Carlo A. Favero, Francesco Giavazzi and Luca Flabbi
Bocconi University - Department of Finance, Bocconi University - Department of Economics and RES - Inter-American Development Bank
Downloads 61 (304,849)
Citation 22

Abstract:

6.

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 320 (77,051)
Citation 1

Abstract:

Contagion, Stock Market, Interdependence, Structural Models

7.

Implications of Return Predictability across Horizons for Asset Pricing Models

Downloads 306 ( 81,783)

Implications of Return Predictability across Horizons for Asset Pricing Models

Number of pages: 59 Posted: 04 Dec 2012 Last Revised: 11 Apr 2017
Carlo A. Favero, Fulvio Ortu, Andrea Tamoni and Haoxi Yang
Bocconi University - Department of Finance, Bocconi University - Department of Finance, London School of Economics & Political Science (LSE) and Nankai University
Downloads 306 (81,274)

Abstract:

return predictability, predictors-based bound, asset pricing models

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, London School of Economics & Political Science (LSE) and Nankai University
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Abstract:

asset pricing models, predictors-based bound, return predictability

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 Finance, University of Naples Federico II - Department of Economics and Statistics and Universitaet Mannheim
Downloads 300 (72,902)
Citation 14

Abstract:

9.

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 299 (82,060)
Citation 10

Abstract:

10.

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 275 (67,314)
Citation 24

Abstract:

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

11.

Debt and the Effects of Fiscal Policy

Downloads 249 (102,497)
Citation 25

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 and Francesco Giavazzi
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 193 (131,472)
Citation 25

Abstract:

fiscal policy, VAR models

Debt and the Effects of Fiscal Policy

NBER Working Paper No. w12822
Number of pages: 33 Posted: 12 Jan 2007
Carlo A. Favero and Francesco Giavazzi
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 49 (339,684)
Citation 25

Abstract:

Debt and the Effects of Fiscal Policy

CEPR Discussion Paper No. DP6092
Number of pages: 29 Posted: 14 May 2008
Carlo A. Favero and Francesco Giavazzi
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 7 (538,966)
Citation 25
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Abstract:

Fiscal policy, government budget constraint, public debt, VAR models

12.

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

Downloads 235 (108,845)
Citation 11

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 220 (115,679)
Citation 11

Abstract:

Expectations Theory, Macroeconomic information in Finance

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

CEPR Discussion Paper No. 4301
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 (493,760)
Citation 11
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Abstract:

Expectations theory, macroeconomic information in finance

13.

Extracting Information from Asset Prices: The Methodology of EMU Calculators

Number of pages: 22 Posted: 21 Feb 1998
Carlo A. Favero, Francesco Giavazzi, Fabrizio Iacone and Guido Tabellini
Bocconi University - Department of Finance, Bocconi University - Department of Economics, London School of Economics & Political Science (LSE) - Department of Economics and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 231 (109,299)
Citation 7

Abstract:

14.

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

Downloads 226 (113,136)
Citation 1

A Multivariate Model of Strategic Asset Allocation with Longevity Risk

Number of pages: 48 Posted: 24 May 2014
Emilio Bisetti, Giacomo Nocera, Carlo A. Favero and Claudio Tebaldi
Carnegie Mellon University - David A. Tepper School of Business, Audencia Business School, Bocconi University - Department of Finance and Bocconi University, IGIER and CAREFIN
Downloads 180 (140,391)
Citation 1

Abstract:

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
Emilio Bisetti, Carlo A. Favero, Giacomo Nocera and Claudio Tebaldi
Carnegie Mellon University - David A. Tepper School of Business, Bocconi University - Department of Finance, Audencia Business School and Bocconi University, IGIER and CAREFIN
Downloads 46 (349,098)
Citation 1

Abstract:

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
Emilio Bisetti, Carlo A. Favero, Giacomo Nocera and Claudio Tebaldi
Carnegie Mellon University - David A. Tepper School of Business, Bocconi University - Department of Finance, Audencia Business School and Bocconi University, IGIER and CAREFIN
Downloads 0
Citation 1
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Abstract:

longevity risk, strategic asset allocation

15.

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 (119,405)
Citation 37
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Abstract:

16.

Long-Run Factors and Fluctuations in Dividend/Price

EFA 2009 Bergen Meetings Paper
Number of pages: 58 Posted: 14 Feb 2009 Last Revised: 11 Mar 2014
Carlo A. Favero, Arie Eskenazi Gozluklu and Andrea Tamoni
Bocconi University - Department of Finance, University of Warwick and London School of Economics & Political Science (LSE)
Downloads 212 (115,115)

Abstract:

error correction, long run predictability, equity premium, demographics

17.

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 202 (121,664)
Citation 8

Abstract:

18.

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
ESSEC Business School, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 185 (133,579)

Abstract:

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

19.

Demographics and the Behavior of Interest Rates

Number of pages: 56 Posted: 29 Feb 2012 Last Revised: 16 Jun 2015
Carlo A. Favero, Arie Eskenazi Gozluklu and Haoxi Yang
Bocconi University - Department of Finance, University of Warwick and Nankai University
Downloads 172 (102,081)
Citation 1

Abstract:

demographics, term-structure models, forecasting, economic value

20.

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 159 (150,170)
Citation 6

Abstract:

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

21.

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 145 (149,388)
Citation 15

Abstract:

Monetary and Fiscal Policy Rules, Markov Switching, Inflation

22.

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 140 (165,772)
Citation 48

Abstract:

Interest rate rules, central bank preferences, US monetary policy

23.

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

Paolo Baffi Centre Research Paper No. 2009-44
Number of pages: 48 Posted: 04 May 2009
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 123 (174,313)
Citation 8

Abstract:

Yield curve, term structure of interest rates, forecasting

24.

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

Downloads 119 (198,085)
Citation 5

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 101 (224,383)
Citation 5

Abstract:

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

CEPR Discussion Paper No. 4910
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 18 (476,362)
Citation 5
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Abstract:

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

25.

Modelling and Forecasting Fiscal Variables for the Euro Area

Downloads 108 (212,676)
Citation 4

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 European University Institute
Downloads 67 (290,035)
Citation 4

Abstract:

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 European University Institute
Downloads 25 (436,069)
Citation 4
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Abstract:

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 European University Institute
Downloads 16 (487,874)
Citation 4
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Abstract:

Fiscal forecasting, forecast comparison, fiscal rules, euro area

26.

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

Downloads 99 (226,095)
Citation 4

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 76 (269,695)
Citation 4

Abstract:

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 (447,337)
Citation 4
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Abstract:

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

27.

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 93 (218,515)
Citation 1

Abstract:

28.

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
London School of Economics & Political Science (LSE) and Bocconi University - Department of Finance
Downloads 70 (265,108)
Citation 2

Abstract:

Dynamic Dividend Growth Model, Long Run Returns Predictability, Demographics

29.

High Yields: The Spread on German Interest Rates

Downloads 70 (279,937)

High Yields: The Spread on German Interest Rates

NBER Working Paper No. w5408
Number of pages: 46 Posted: 05 Sep 2000
Carlo A. Favero, Francesco Giavazzi and Luigi Spaventa
Bocconi University - Department of Finance, Bocconi University - Department of Economics and University of Rome
Downloads 45 (352,469)
Citation 26

Abstract:

High Yields: The Spread on German Interest Rates

CEPR Discussion Paper No. 1330
Number of pages: 49 Posted: 18 Nov 2001
Carlo A. Favero, Francesco Giavazzi and Luigi Spaventa
Bocconi University - Department of Finance, Bocconi University - Department of Economics and University of Rome
Downloads 24 (441,629)
Citation 26
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Abstract:

Yield differentials, high yielders

High Yields: The Spread on German Interest Rates

The Economic Journal, Vol. 107, Issue 443, pp. 956-985, 1997
Number of pages: 30 Posted: 28 Jan 2012
Carlo A. Favero, Francesco Giavazzi and Luigi Spaventa
Bocconi University - Department of Finance, Bocconi University - Department of Economics and University of Rome
Downloads 1 (579,783)
Citation 26
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Abstract:

High Yields: The Spread on German Interest Rates

IGIER WP 102
Posted: 13 Feb 2001
Carlo A. Favero, Francesco Giavazzi and Luigi Spaventa
Bocconi University - Department of Finance, Bocconi University - Department of Economics and University of Rome

Abstract:

30.

Inflation Targeting and Debt: Lessons from Brazil

Downloads 67 (286,727)
Citation 24

Inflation Targeting and Debt: Lessons from Brazil

NBER Working Paper No. w10390
Number of pages: 23 Posted: 06 Apr 2004
Carlo A. Favero and Francesco Giavazzi
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 53 (327,251)
Citation 24

Abstract:

Inflation Targeting and Debt: Lessons from Brazil

CEPR Discussion Paper No. 4376
Number of pages: 25 Posted: 01 Jun 2004
Carlo A. Favero and Francesco Giavazzi
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 14 (499,730)
Citation 24
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Abstract:

EMBI spreads, risk premium, inflation targeting, fiscal policy, Brazil

31.

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

Downloads 66 (289,081)
Citation 6

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 64 (297,340)
Citation 6

Abstract:

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)
Downloads 2 (568,238)
Citation 6
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Abstract:

Euro area money demand, inflation forecasts, monetary policy, portfolio allocation

32.

The Immediate Challenges for the European Central Bank

NBER Working Paper No. w6369
Number of pages: 52 Posted: 20 Jun 2000
Rudiger Dornbusch, Carlo A. Favero and Francesco Giavazzi
Massachusetts Institute of Technology (MIT) (Deceased), Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 39 (346,244)
Citation 41

Abstract:

33.

Austerity in 2009-2013

Downloads 36 (376,865)

Austerity in 2009-2013

NBER Working Paper No. w20827
Number of pages: 58 Posted: 12 Jan 2015
Alberto F. Alesina, Omar Barbiero, Carlo A. Favero, Francesco Giavazzi and Matteo Paradisi
Harvard University - Department of Economics, Harvard University, Bocconi University - Department of Finance, Bocconi University - Department of Economics and Harvard University
Downloads 35 (389,235)
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Abstract:

Austerity in 2009-2013

CEPR Discussion Paper No. DP10347
Number of pages: 60 Posted: 23 Jan 2015
Alberto F. Alesina, Omar Barbiero, Carlo A. Favero, Francesco Giavazzi and Matteo Paradisi
Harvard University - Department of Economics, Harvard University, Bocconi University - Department of Finance, Bocconi University - Department of Economics and Harvard University
Downloads 1 (579,783)
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Abstract:

confidence, fiscal adjustment, investment

34.

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
Universitat Pompeu Fabra - Department of Economics and Business (DEB) and Bocconi University - Department of Finance
Downloads 32 (392,213)
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Abstract:

Pillars, communication, transmission, EU newcomers

35.

Model Uncertainty, Thick Modelling and the Predictability of Stock Returns

CEPR Discussion Paper No. 3997
Number of pages: 43 Posted: 16 Sep 2003
Marco Aiolfi and Carlo A. Favero
Bocconi University and Bocconi University - Department of Finance
Downloads 31 (396,273)
Citation 14
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Abstract:

36.

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

CEPR Discussion Paper No. 2849
Number of pages: 34 Posted: 26 Jun 2001
Carlo A. Favero
Bocconi University - Department of Finance
Downloads 27 (413,838)
Citation 3
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Abstract:

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

37.

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
Downloads 25 (423,558)
Citation 1
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Abstract:

Fiscal policy, term structure, regime-switching, Bayesian estimation

38.

How Large are the Effects of Tax Changes?

Downloads 24 (428,572)
Citation 6

How Large are the Effects of Tax Changes?

NBER Working Paper No. w15303
Number of pages: 21 Posted: 31 Aug 2009
Carlo A. Favero and Francesco Giavazzi
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 19 (470,580)
Citation 6

Abstract:

How Large are the Effects of Tax Changes?

CEPR Discussion Paper No. DP7439
Number of pages: 23 Posted: 07 Oct 2009
Carlo A. Favero and Francesco Giavazzi
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 5 (549,159)
Citation 6
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Abstract:

fiscal policy, government budget constraint, public debt, VAR models

39.

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

Downloads 23 (433,704)
Citation 3

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
Carlo A. Favero, Francesco Giavazzi and Jacopo Perego
Bocconi University - Department of Finance, Bocconi University - Department of Economics and Bocconi University
Downloads 17 (482,205)
Citation 3

Abstract:

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
Carlo A. Favero, Francesco Giavazzi and Jacopo Perego
Bocconi University - Department of Finance, Bocconi University - Department of Economics and Bocconi University
Downloads 5 (549,159)
Citation 3
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Abstract:

fiscal policy, global VAR models, government budget constraint, public debt

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

IMF Economic Review, Vol. 59, Issue 4, pp. 652-682, 2011
Number of pages: 31 Posted: 09 Dec 2011
Carlo A. Favero, Francesco Giavazzi and Jacopo Perego
Bocconi University - Department of Finance, Bocconi University - Department of Economics and Bocconi University
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Citation 3
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Abstract:

40.

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

CEPR Discussion Paper No. 3887
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
Downloads 23 (433,704)
Citation 15
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Abstract:

Monetary and fiscal policy rules, Markov switching, inflation

41.

Looking for Contagion: Evidence from the Erm

NBER Working Paper No. w7797
Number of pages: 22 Posted: 19 Jul 2000
Carlo A. Favero and Francesco Giavazzi
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 23 (418,650)
Citation 1

Abstract:

42.

How do European Monetary and Fiscal Authorities Behave?

CEPR Discussion Paper No. 3426
Number of pages: 37 Posted: 13 Aug 2002
Carlo A. Favero
Bocconi University - Department of Finance
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Citation 31
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Abstract:

Monetary policy, fiscal policy, euro area

43.

Large Datasets, Small Models and Monetary Policy in Europe

CEPR Discussion Paper No. 3098
Number of pages: 31 Posted: 08 Jan 2002
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and European University Institute
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Citation 14
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Abstract:

Monetary policy, small models, dynamic factors

44.

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

CEPR Discussion Paper No. 2748
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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Citation 6
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Abstract:

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

45.

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

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

CEPR Discussion Paper No. 1456
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 3
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Abstract:

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

Abstract:

46.

The Effects of Fiscal Consolidations: Theory and Evidence

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The Effects of Fiscal Consolidations: Theory and Evidence

NBER Working Paper No. w23385
Number of pages: 64 Posted: 08 May 2017
Alberto F. Alesina, Omar Barbiero, Carlo A. Favero, Francesco Giavazzi and Matteo Paradisi
Harvard University - Department of Economics, Harvard University, Bocconi University - Department of Finance, Bocconi University - Department of Economics and Harvard University
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Abstract:

The Effects of Fiscal Consolidations: Theory and Evidence

CEPR Discussion Paper No. DP12016
Number of pages: 66 Posted: 08 May 2017
Alberto F. Alesina, Omar Barbiero, Carlo A. Favero, Francesco Giavazzi and Matteo Paradisi
Harvard University - Department of Economics, Harvard University, Bocconi University - Department of Finance, Bocconi University - Department of Economics and Harvard University
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Abstract:

fiscal consolidation plans, Fiscal multipliers

47.

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 5
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Abstract:

contagion, Eurobonds, sovereign debt crisis

48.

Parameter Instability, Model Uncertainty and the Choice of Monetary Policy

CEPR Discussion Paper No. 4909
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
Downloads 16 (470,097)
Citation 3
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Abstract:

Model uncertainty, parameter instability, optimal monetary policy

49.

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 and Francesco Giavazzi
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 8 (510,982)
Citation 7
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Abstract:

fiscal policy, government budget constraint, public debt, VAR models

50.

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

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

NBER Working Paper No. w22863
Number of pages: 48 Posted: 28 Nov 2016
Alberto F. Alesina, Gualtiero Azzalini, Carlo A. Favero, Francesco Giavazzi and Armando Miano
Harvard University - Department of Economics, New York University (NYU), Bocconi University - Department of Finance, Bocconi University - Department of Economics and Harvard University
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Abstract:

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
Alberto F. Alesina, Gualtiero Azzalini, Carlo A. Favero, Francesco Giavazzi and Armando Miano
Harvard University - Department of Economics, New York University (NYU), Bocconi University - Department of Finance, Bocconi University - Department of Economics and Harvard University
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Abstract:

fiscal adjustments plans, Fiscal multipliers, State-dependency, output effect

51.

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 - School of Economics
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Citation 1
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Abstract:

Bayesian analysis, Dynamic stochastic general equilibrium model, Factor-Augmented Vector Autoregression, Model evaluation

52.

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 and Francesco Giavazzi
Bocconi University - Department of Finance and Bocconi University - Department of Economics
Downloads 4 (529,228)
Citation 3
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Abstract:

DSGE models, ECB, monetary policy, yield curve

53.

The Output Effect of Fiscal Consolidations

CEPR Discussion Paper No. DP9105
Number of pages: 56 Posted: 28 Sep 2012
Alberto F. Alesina, Carlo A. Favero and Francesco Giavazzi
Harvard University - Department of Economics, Bocconi University - Department of Finance and Bocconi University - Department of Economics
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Abstract:

confidence, fiscal adjustment, investment, output

54.

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 London School of Economics & Political Science (LSE)
Downloads 3 (534,229)
Citation 8
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Abstract:

demographics, dynamic dividend growth model, long run returns predictability

55.

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 (534,229)
Citation 6
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Abstract:

Monetary Policy Rulkes, Weak Identification

56.

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)
Downloads 2 (541,226)
Citation 11
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Abstract:

Factor models, forecasting, large data set, term structure of interest rates, yield curve

57.

Sovereign Spreads in the Eurozone: Which Prospects for a Eurobond?

Economic Policy, Vol. 27, Issue 70, pp. 231-273, 2012
Number of pages: 43 Posted: 09 Apr 2012
Carlo A. Favero and Alessandro Missale
Bocconi University - Department of Finance and University of Milan - Department of Business Policy and Economics
Downloads 1 (551,212)
Citation 4
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Abstract:

58.

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 R Karamysheva
Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 0 (565,595)
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Abstract:

fiscal adjustment, fiscal plans, output growth

59.

Demographics and the Secular Stagnation Hypothesis in Europe

CEPR Discussion Paper No. DP10887
Number of pages: 50 Posted: 20 Oct 2015
Carlo A. Favero and Vincenzo Galasso
Bocconi University - Department of Finance and University of Lugano
Downloads 0 (551,212)
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Abstract:

Europe, growth, real interest rates, stochastic mortality

60.

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 Luiss Guido Carli, Department of Economics and Finance
Downloads 0 (565,595)
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Abstract:

61.

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, USC Dornsife Institute for New Economic Thinking and affiliation not provided to SSRN

Abstract:

62.

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

Abstract:

Contagion, Stock Market, Interdependence, Structural Models

63.

Yield Spreads on EMU Government Bonds

Economic Policy, Vol. 18, No. 37, p. 503, October 2003
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

Abstract:

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

64.

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

Abstract:

65.

A Red Letter Day?

CEPR Discussion Paper Series Number 1804
Posted: 05 Aug 1998
Rudiger Dornbusch, Carlo A. Favero and Francesco Giavazzi
Massachusetts Institute of Technology (MIT) (Deceased), Bocconi University - Department of Finance and Bocconi University - Department of Economics

Abstract:

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