Fabio Verona

Bank of Finland - Research

SCHOLARLY PAPERS

17

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CITATIONS
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76

Scholarly Papers (17)

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 300 (100,074)
Citation 20

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

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 189 (158,869)

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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 88 (288,407)

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equity risk premium, term spread, predictability, frequency domain

3.

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 212 (142,794)

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predictability, equity risk premium, frequency domain, discrete wavelets

4.

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 152 (192,165)
Citation 1

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

5.

The Aino 2.0 Model

Bank of Finland Research Discussion Paper No. 16/2016
Number of pages: 98 Posted: 14 Jun 2016
Bank of Finland - Research, Bank of Finland, Monetary Policy and Research Department, University of Helsinki and Bank of Finland - Research
Downloads 125 (224,616)

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

6.

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 103 (258,254)
Citation 3

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

7.

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 80 (303,247)
Citation 4

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sticky information, Dynare, macro-processor, lagged expectations

8.

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 64 (343,229)
Citation 1

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

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 60 (354,485)

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

10.

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 55 (369,813)

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11.

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: 17 Jul 2019
Fabio Verona
Bank of Finland - Research
Downloads 48 (392,851)

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

12.

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 47 (396,214)
Citation 15

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investment dynamics, information costs, inattentiveness, lumpy investment

13.

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 44 (406,876)
Citation 17

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sticky information, general equilibrium, lumpy investment, business cycle

14.

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 33 (450,730)

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equity premium, term spread, predictability, frequency domain

15.

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: 27 Feb 2019
Johns Hopkins University - Department of Economics, Federal Reserve Bank of Richmond and Bank of Finland - Research
Downloads 24 (495,861)

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

16.

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 13 (559,853)

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

17.

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: 02 Mar 2019
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 5 (610,781)

Abstract:

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