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

23

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Scholarly Papers (23)

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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 327 (100,061)
Citation 25

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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 289 (114,443)

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 193 (170,338)

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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 96 (296,758)

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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 231 (143,928)

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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 199 (165,696)
Citation 4

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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
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 155 (206,274)

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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 115 (260,361)
Citation 7

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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 101 (285,021)
Citation 4

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sticky information, Dynare, macro-processor, lagged expectations

8.

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 71 (353,096)

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

9.

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 70 (355,863)
Citation 1

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

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 64 (372,946)
Citation 2

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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 57 (395,035)

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

12.

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 55 (401,786)
Citation 1

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equity premium, term spread, predictability, frequency domain

13.

Investment Dynamics with Information Costs

Bank of Finland Research Discussion Paper No. 18/2013
Number of pages: 42 Posted: 28 Sep 2013 Last Revised: 02 Dec 2014
Fabio Verona
Bank of Finland - Research
Downloads 51 (415,494)
Citation 16

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investment dynamics, information costs, inattentiveness, lumpy investment

14.

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 48 (426,446)
Citation 17

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sticky information, general equilibrium, lumpy investment, business cycle

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
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 43 (445,869)
Citation 1

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

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 37 (471,118)

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

17.

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 34 (484,793)

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time-frequency forecast, equity premium, multiresolution analysis

18.

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 25 (532,329)
Citation 1

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

19.

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 13 (608,635)
Citation 1

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

20.

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 9 (636,225)

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

21.

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 5 (664,604)

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

22.

Bond vs bank finance and the Great Recession

Number of pages: 11
Manuel M. F. Martins and Fabio Verona
University of Porto, cef.up, Faculdade de Economia and Bank of Finland - Research
Downloads 1

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

23.

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

Oxford Bulletin of Economics and Statistics, Vol. 82, Issue 2, pp. 331-346, 2020
Number of pages: 16 Posted: 02 Jun 2020
Fabio Verona
Bank of Finland - Research
Downloads 0 (720,938)
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