Fabio Verona

Bank of Finland - Research

P.O. Box 160

FIN-00101 Helsinki

Finland

http://fabioverona.rvsteam.net/

  • Bank of Finland - Research

SCHOLARLY PAPERS

26

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Scholarly Papers (26)

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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
Fabio Verona, Manuel M. F. Martins and Inês Drumond
Bank of Finland - Research, University of Porto, cef.up, Faculdade de Economia and Universidade do Porto - Faculdade de Economia (FEP)
Downloads 479 (103,721)
Citation 34

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

2.

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

Downloads 369 (140,201)

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 231 (226,614)

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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 138 (356,980)

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3.

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 329 (158,755)
Citation 7

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

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 295 (178,129)

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predictability, equity risk premium, frequency domain, discrete wavelets

5.

The Aino 2.0 Model

Bank of Finland Research Discussion Paper No. 16/2016
Posted: 14 Jun 2016 Last Revised: 18 Nov 2021
Juha Kilponen, Seppo Orjasniemi, Antti Ripatti, Antti Ripatti and Fabio Verona
Bank of Finland - Research, Bank of Finland, Monetary Policy and Research Department, Bank of FinlandUniversity of Helsinki and Bank of Finland - Research
Downloads 231 (227,403)

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

6.

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
Matthieu Darracq Paries, Alessandro Notarpietro, Juha Kilponen, Niki Papadopoulou, Srecko Zimic, Pierre Aldama, Geert Langenus, Matthieu Lemoine, Elena Angelini, Matija Lozej, Robert-Paul Berben, Fulvia Marotta, Alice Carroy, Julien Matheron, Kai Philipp Christoffel, Carlos Montes-Galdón, Matteo Ciccarelli, Joan Paredes, Agostino Consolo, Agostino Consolo, Massimiliano Pisani, Pietro Cova, Michaela Elfsbacka Schmöller, Milan Damjanović, Andra Smadu, Gregory Walque, Béla Szörfi, Stéphane Dupraz, Harri Turunen, José Emilio Gumiel, Fabio Verona, Thomas Haertel, Igor Vetlov, Samuel Hurtado, Anders Warne, Paulo Júlio and Anastasia Zhutova
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 - Research Department, 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 224 (234,060)
Citation 5

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

7.

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 199 (261,165)
Citation 11

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8.

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 173 (295,628)
Citation 2

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

9.

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 173 (295,628)
Citation 4

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sticky information, Dynare, macro-processor, lagged expectations

10.

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 152 (329,775)
Citation 4

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equity premium, term spread, predictability, frequency domain

11.

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 133 (366,463)
Citation 3

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

12.

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 121 (393,586)

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time-frequency forecast, equity premium, multiresolution analysis

13.

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
Thomas A. Lubik, Christian Matthes and Fabio Verona
Johns Hopkins University - Department of Economics, Federal Reserve Bank of Richmond and Bank of Finland - Research
Downloads 118 (400,778)
Citation 1

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

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 113 (413,683)
Citation 1

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

15.

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 100 (451,376)

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

16.

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, cef.up, Faculdade de Economia and Universidade do Porto - Faculdade de Economia (FEP)
Downloads 100 (451,376)
Citation 1

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

17.

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 99 (454,320)
Citation 3

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DSGE models, financial shocks, optimal monetary policy, Taylor rules, 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 89 (486,449)

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19.

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 78 (526,822)
Citation 18

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investment dynamics, information costs, inattentiveness, lumpy investment

20.

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 77 (530,752)
Citation 1

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

21.

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 70 (559,722)
Citation 2

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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 69 (564,022)
Citation 17

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sticky information, general equilibrium, lumpy investment, business cycle

23.

Forecast Combination in the Frequency Domain

Bank of Finland Research Discussion Paper No. 1/2023
Number of pages: 42 Posted: 06 Feb 2023
Gonçalo Faria and Fabio Verona
Catholic University of Portugal (UCP) - Católica Porto Business School and Bank of Finland - Research
Downloads 49 (664,828)

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

24.

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, Federal Reserve Bank of Richmond and Bank of Finland - Research
Downloads 39 (728,625)

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25.

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 31 (787,733)

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

26.

Monetary Policy Rules: Model Uncertainty Meets Design Limits

Bank of Finland Research Discussion Paper No. 12/2023
Number of pages: 39 Posted: 12 Oct 2023
Alexander Dück and Fabio Verona
Goethe University Frankfurt and Bank of Finland - Research
Downloads 17 (921,410)

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