Fabio Verona

Bank of Finland - Research

P.O. Box 160

FIN-00101 Helsinki

Finland

http://fabioverona.rvsteam.net/

SCHOLARLY PAPERS

31

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Top 11,800

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131

Scholarly Papers (31)

1.

(Un)Anticipated Monetary Policy in a DSGE Model with a Shadow Banking System

Bank of Finland Research Discussion Paper No. 4/2013
Number of pages: 43 Posted: 27 Apr 2013
Bank of Finland - Research, University of Porto, cef.up, Faculdade de Economia and Universidade do Porto - Faculdade de Economia (FEP)
Downloads 528 (109,790)
Citation 35

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DSGE model, shadow banking system, too low for too long, boom-bust

2.

Forecasting Stock Market Returns by Summing the Frequency-Decomposed Parts

Bank of Finland Research Discussion Paper No. 29/2016
Number of pages: 49 Posted: 02 Dec 2016 Last Revised: 18 Nov 2021
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 438 (137,564)
Citation 7

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predictability, stock returns, equity premium, asset allocation, frequency domain, wavelets

The Equity Risk Premium and the Low Frequency of the Term Spread

Number of pages: 48 Posted: 06 Sep 2017 Last Revised: 18 Apr 2018
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 250 (250,175)

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equity risk premium, term spread, predictability, frequency domain

The Equity Risk Premium and the Low Frequency of the Term Spread

Bank of Finland Research Discussion Paper No. 7/2018
Number of pages: 51 Posted: 05 Apr 2018 Last Revised: 18 Nov 2021
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 155 (390,573)

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4.

Forecasting the Equity Risk Premium with Frequency-Decomposed Predictors

Bank of Finland Research Discussion Paper No. 1/2017
Number of pages: 42 Posted: 14 Feb 2017
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 320 (194,927)

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predictability, equity risk premium, frequency domain, discrete wavelets

5.

Review of Macroeconomic Modelling in the Eurosystem: Current Practices and Scope for Improvement

ECB Occasional Paper No. 2021267
Number of pages: 193 Posted: 23 Sep 2021 Last Revised: 22 Mar 2023
European Central Bank (ECB), Bank of Italy, Bank of Finland - Research, Central Bank of Cyprus, European Central Bank (ECB) - Directorate General Research, Banque de France, National Bank of Belgium, Banque de France, European Central Bank (ECB), Central Bank of Ireland, De Nederlandsche Bank - Monetary and Economic Policy Department, European Central Bank (ECB), European Central Bank (ECB), Banque de France, European Central Bank (ECB), European Central Bank, European Central Bank (ECB), European Central Bank, European Central BankECB, Bank of Italy, Bank of Italy, Bank of Finland, Bank of Slovenia, De Nederlandsche Bank, National Bank of Belgium, European Central Bank (ECB), Banque de France, Bank of Finland, European Central Bank (ECB), Bank of Finland - Research, Deutsche Bundesbank, Deutsche Bundesbank - Economics Department, Banco de España, European Central Bank (ECB), Bank of Portugal and Université Paris I Panthéon-Sorbonne
Downloads 307 (203,785)
Citation 6

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central banking., econometric modelling, forecasting and simulation, monetary policy

6.

The Aino 2.0 Model

Bank of Finland Research Discussion Paper No. 16/2016
Posted: 14 Jun 2016 Last Revised: 18 Nov 2021
Bank of Finland - Research, Bank of Finland, Monetary Policy and Research Department, Bank of FinlandUniversity of Helsinki and Bank of Finland - Research
Downloads 279 (225,248)

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DSGE model, Finnish economy, small open economy, Bayesian estimation, aggregate shocks

7.

The Aino 3.0 Model

Bank of Finland Research Discussion Paper No. 9/2020
Number of pages: 89 Posted: 08 Jun 2020
Aino Silvo and Fabio Verona
University of Helsinki - Department of Political and Economic Studies and Bank of Finland - Research
Downloads 243 (258,878)
Citation 2

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business cycles, small open economy, credit constraints, housing market, long-term debt

8.

Time-Frequency Characterization of the U.S. Financial Cycle

Bank of Finland Research Discussion Paper No. 14/2016
Number of pages: 11 Posted: 31 May 2016 Last Revised: 18 Nov 2021
Fabio Verona
Bank of Finland - Research
Downloads 218 (287,357)
Citation 12

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9.

The Yield Curve and the Stock Market: Mind the Long Run

Number of pages: 46 Posted: 05 Aug 2019
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 206 (303,124)
Citation 14

Abstract:

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equity premium, term spread, predictability, frequency domain

10.

Sticky Information Models in Dynare

Bank of Finland Research Discussion Paper No. 5/2013
Number of pages: 20 Posted: 02 Jul 2013
Fabio Verona and Maik H. Wolters
Bank of Finland - Research and University of Kiel
Downloads 196 (317,389)
Citation 4

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sticky information, Dynare, macro-processor, lagged expectations

11.

Time-frequency Forecast of the Equity Premium

Bank of Finland Research Discussion Paper No. 6/2020
Number of pages: 42 Posted: 30 Apr 2020
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 153 (394,710)

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time-frequency forecast, equity premium, multiresolution analysis

12.

Assessing U.S. Aggregate Fluctuations Across Time and Frequencies

Bank of Finland Research Discussion Paper No. 5/2019
Number of pages: 67 Posted: 21 Feb 2019 Last Revised: 18 Nov 2021
Johns Hopkins University - Department of Economics, Indiana University Bloomington, Department of Economics, Students and Bank of Finland - Research
Downloads 151 (399,008)
Citation 1

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Wavelets, bandpass filter, SVAR, sign restrictions, DSGE model

13.

Testing the Q Theory of Investment in the Frequency Domain

Bank of Finland Research Discussion Paper No. 32/2016
Number of pages: 32 Posted: 14 Feb 2017
Juha Kilponen and Fabio Verona
Bank of Finland - Research and Bank of Finland - Research
Downloads 148 (405,553)
Citation 3

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investment, Tobin’s Q, bond Q, intangible Q, intangible investment, cash flow, discrete wavelets, frequency estimation, forecast

14.

Forecasting Inflation with the New Keynesian Phillips Curve: Frequency Matters

Bank of Finland Research Discussion Paper No. 4/2020
Number of pages: 36 Posted: 31 Jan 2020
Manuel M. F. Martins and Fabio Verona
University of Porto, cef.up, Faculdade de Economia and Bank of Finland - Research
Downloads 143 (416,898)
Citation 5

Abstract:

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inflation forecasting, new Keynesian Phillips curve, frequency domain, wavelets

15.

Financial Shocks, Financial Stability, and Optimal Taylor Rules

Bank of Finland Research Discussion Paper No. 21/2014
Number of pages: 59 Posted: 22 May 2017 Last Revised: 18 Nov 2021
Fabio Verona, Manuel V. Martins and Inês Drumond
Bank of Finland - Research, Universidade do Porto and Universidade do Porto - Faculdade de Economia (FEP)
Downloads 130 (449,469)
Citation 3

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DSGE models, financial shocks, optimal monetary policy, Taylor rules, bond market, loan market

16.

Frequency-Domain Information for Active Portfolio Management

Bank of Finland Research Discussion Paper No. 2/2020
Number of pages: 39 Posted: 31 Jan 2020
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 126 (460,539)

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equity risk premium, bond risk premium, predictability, multiresolution analysis, active portfolio management

17.

Financial Shocks and Optimal Monetary Policy Rules

Bank of Finland Research Discussion Paper No. 21/2014
Number of pages: 49 Posted: 14 Oct 2014
Bank of Finland - Research, University of Porto, cef.up, Faculdade de Economia and Universidade do Porto - Faculdade de Economia (FEP)
Downloads 120 (478,307)
Citation 1

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financial shocks, optimal monetary policy, Taylor rules, DSGE models, bond market, loan market

18.

Q, Investment, and the Financial Cycle

Bank of Finland Research Discussion Paper No. 26/2017
Number of pages: 53 Posted: 06 Sep 2017 Last Revised: 18 Nov 2021
Fabio Verona
Bank of Finland - Research
Downloads 106 (524,314)

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19.

Investment, Tobin’s Q, and Cash Flow Across Time and Frequencies

Number of pages: 33 Posted: 17 Jun 2019
Fabio Verona
Bank of Finland - Research
Downloads 104 (531,463)
Citation 1

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investment, Tobin's Q, cash flow, time-frequency estimation, continuous wavelets

20.

Forecast Combination in the Frequency Domain

Bank of Finland Research Discussion Paper No. 1/2023
Number of pages: 48 Posted: 06 Feb 2023 Last Revised: 05 Mar 2024
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - Católica Porto Business School and Bank of Finland - Research
Downloads 102 (538,838)

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forecast combination, frequency domain, equity premium, GDP growth, Haar filter, wavelets

21.

Investment Dynamics with Information Costs

Bank of Finland Research Discussion Paper No. 18/2013, Journal of Money, Credit, and Banking, Vol. 46, No. 8, 2014
Number of pages: 42 Posted: 28 Sep 2013 Last Revised: 02 Dec 2014
Fabio Verona
Bank of Finland - Research
Downloads 92 (576,290)
Citation 18

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investment dynamics, information costs, inattentiveness, lumpy investment

22.

Lumpy Investment in Sticky Information General Equilibrium

Bank of Finland Research Discussion Paper No. 16/2013
Number of pages: 41 Posted: 25 Sep 2013
Fabio Verona
Bank of Finland - Research
Downloads 92 (576,290)
Citation 17

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sticky information, general equilibrium, lumpy investment, business cycle

23.

Inflation Dynamics and Forecast: Frequency Matters

Bank of Finland Research Discussion Paper No. 8/2021
Number of pages: 50 Posted: 09 Jun 2021 Last Revised: 06 Mar 2023
Manuel M. F. Martins and Fabio Verona
University of Porto, cef.up, Faculdade de Economia and Bank of Finland - Research
Downloads 89 (588,147)
Citation 2

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24.

Robust Design of Countercyclical Capital Buffer Rules

Bank of Finland Research Discussion Paper No. 9/2024
Number of pages: 60 Posted: 31 Oct 2024
Deutsche Bundesbank, Bank of Korea - Economic Research Institute, University of Nottingham and Bank of Finland - Research
Downloads 79 (635,014)

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countercyclical capital buffers, macroprudential policy, model comparison, structural models, model uncertainty, robust rule

25.

Enhancing Forecast Accuracy Through Frequency-domain Combination: Applications to Financial and Economic Indicators

Bank of Finland Research Discussion Paper No. 14/2024
Number of pages: 48 Posted: 05 Dec 2024
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - Católica Porto Business School and Bank of Finland - Research
Downloads 56 (750,322)

Abstract:

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forecast combination, frequency domain, equity premium, GDP growth, Haar filter

26.

Assessing U.S. Aggregate Fluctuations Across Time and Frequencies

FRB Richmond Working Paper No. 19-6
Number of pages: 45 Posted: 01 Mar 2019 Last Revised: 29 Apr 2020
Thomas Lubik, Christian Matthes and Fabio Verona
Federal Reserve Banks - Federal Reserve Bank of Richmond, Indiana University Bloomington, Department of Economics, Students and Bank of Finland - Research
Downloads 46 (818,154)

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27.

Bond vs Bank Finance and the Great Recession

Number of pages: 11 Posted: 30 Jul 2020
Manuel M. F. Martins and Fabio Verona
University of Porto, cef.up, Faculdade de Economia and Bank of Finland - Research
Downloads 41 (856,499)

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corporate finance, bond finance, bank finance, Great Recession, business cycle

28.

Unlocking Predictive Potential: The Frequency-domain Approach to Equity Premium Forecasting

Bank of Finland Research Discussion Paper No. 10/2024
Number of pages: 27 Posted: 31 Oct 2024
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - Católica Porto Business School and Bank of Finland - Research
Downloads 39 (873,024)

Abstract:

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equity premium, predictability, frequency domain

29.

Monetary Policy Rules: Model Uncertainty Meets Design Limits

Bank of Finland Research Discussion Paper No. 12/2023
Number of pages: 38 Posted: 12 Oct 2023 Last Revised: 05 Mar 2024
Alexander Dück and Fabio Verona
Goethe University Frankfurt and Bank of Finland - Research
Downloads 39 (873,024)

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monetary policy rules, policy evaluation, model comparison, model uncertainty, frequency domain, design limits, DSGE models

30.

From Waves to Rates: Enhancing Inflation Forecasts Through Combinations of Frequency-domain Models

Bank of Finland Research Discussion Paper No. 1/2025
Number of pages: 47 Posted: 10 Jan 2025
Fabio Verona
Bank of Finland - Research
Downloads 29 (965,551)

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inflation forecasting, forecast combination, wavelets, Haar filter, time-varying parameters, Phillips curve

31.

Beyond One-size-fits-all: Designing Monetary Policy for Diverse Models and Frequencies

Bank of Finland Research Discussion Paper No. 2/2025
Number of pages: 41 Posted: 10 Jan 2025
Alexander Dück and Fabio Verona
Goethe University Frankfurt and Bank of Finland - Research
Downloads 10 (1,190,342)

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monetary policy rules, policy evaluation, model comparison, model uncertainty, frequency domain, design limits, DSGE models