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Fabio Verona

Bank of Finland - Research

P.O. Box 160

FIN-00101 Helsinki

Finland

http://bofcris.solenovo.fi/crisyp/disp/_/en/cr_redir_all/fet/fet/sea?direction=3&id=3827426

  • Bank of Finland - Research

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

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1.

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

Downloads 174 (155,427)

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 129 (200,237)

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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: 12 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 45 (375,415)

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equity risk premium, term spread, predictability, frequency domain

2.

(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
Fabio Verona, Manuel M. F. Martins and Inês Drumond
Bank of Finland - Research, University of Porto, CEMPRE, Faculdade de Economia and Universidade do Porto - Faculdade de Economia (FEP)
Downloads 148 (112,163)
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DSGE model, shadow banking system, too low for too long, boom-bust

3.

Financial Shocks and Optimal Monetary Policy Rules

Bank of Finland Research Discussion Paper No. 21/2014
Number of pages: 49 Posted: 14 Oct 2014
Fabio Verona, Manuel M. F. Martins and Inês Drumond
Bank of Finland - Research, University of Porto, CEMPRE, Faculdade de Economia and Universidade do Porto - Faculdade de Economia (FEP)
Downloads 32 (329,230)

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

4.

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 21 (396,957)

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investment dynamics, information costs, inattentiveness, lumpy investment

5.

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 Kiel Institute for the World Economy - IFW
Downloads 21 (334,842)

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sticky information, Dynare, macro-processor, lagged expectations

6.

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 14 (400,921)

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sticky information, general equilibrium, lumpy investment, business cycle

7.

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: 03 Dec 2017
Fabio Verona
Bank of Finland - Research
Downloads 0 (393,145)

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Tobin’s Q, investment, financial cycle, time-frequency estimation, continuous wavelets

8.

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: 08 Sep 2017
Fabio Verona, Manuel V. Martins and Inês Drumond
Bank of Finland - Research, Universidade do Porto and Universidade do Porto - Faculdade de Economia (FEP)
Downloads 0 (382,261)

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9.

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 0 (362,163)

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

10.

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 0 (151,499)

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predictability, equity risk premium, frequency domain, discrete wavelets

11.

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: 23 Nov 2017
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - School of Economics and Management and CEGE and Bank of Finland - Research
Downloads 0 (212,250)

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

12.

The Aino 2.0 Model

Bank of Finland Research Discussion Paper No. 16/2016
Number of pages: 98 Posted: 14 Jun 2016
Juha Kilponen, Seppo Orjasniemi, Antti Ripatti and Fabio Verona
Bank of Finland - Research, Bank of Finland, Monetary Policy and Research Department, University of Helsinki and Bank of Finland - Research
Downloads 0 (276,806)

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

13.

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: 02 Oct 2017
Fabio Verona
Bank of Finland - Research
Downloads 0 (276,806)

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time-frequency estimation, wavelets, financial cycle, business cycle, credit, asset prices