Journal Articles
European Sovereign Debt Risk Management: the Role of a European Debt Agency (16/09/2024)
M. Amato,E. Belloni, C. A. Favero,L. Gobbi, L. Priviero
Elsevier, Journal of Government Economics
paper is OPEN ACCESS to download it use the following link https://doi.org/10.1016/j.jge.2024.100118
Modificato il 19/09/2024
Online financial and demographic education for workers: Experimental evidence from an Italian Pension Fund (01/06/2023)
BILLARI F., FAVERO C.A., F.SAITA
Journal of Banking & Finance, 151, 106849. https://doi.org/10.1016/j.jbankfin.2023.106849
- download paper (423 Kb)
Modificato il 20/07/2023
ITFIN, A Stock-Flow Consistent Model for the Italian Economy (01/02/2023)
Barbieri Hermitte R., A Cagnazzo, C. A. Favero, F. Felici, V. Macauda, F. Nucci and C. Tegami
Economic Modelling, 119, 106113. https://doi.org/10.1016/j.econmod.2022.106113
- download (1.986 Kb)
Modificato il 20/07/2023
Monetary Policy and Bond Prices with Drifting Equilibrium Rates (05/01/2023)
FAVERO CARLO AMBROGIO, ALESSANDRO MELONE and ANDREA TAMONI
Journal of Financial and Quantitative Analysis, 1-26. doi:10.1017/S0022109022001557
- replication package ( in R see readme file) (42 Kb)
- download (566 Kb)
Modificato il 19/05/2023
Why is COVID-19 Mortality in Lombardy so High? Evidence from the Simulation of a SEIHCR Model (10/04/2020)
FAVERO CARLO AMBROGIO
Covid Economics
- download paper (235 Kb)
- replication package (in EVIEWS run run_all.prg) (11 Kb)
Modificato il 15/04/2020
Effects of Austerity: Expenditure- and Tax-based Approaches (03/05/2019)
ALESINA A., FAVERO CA, GIAVAZZI F.
Journal of Economic Perspectives Vol. 33, Issue 2 -- Spring 2019,33(2):141-162
- technical appendix (149 Kb)
- download paper (679 Kb)
Modificato il 04/05/2019
Implications of Returns Predictability for Consumption Dynamics and Asset Pricing (01/01/2019)
Carlo A. FAVERO, Fulvio ORTU, Andrea TAMONI & Haoxi YANG
Journal of Business & Economic Statistics DOI: 10.1080/07350015.2018.1527702
- replication package (see readme.doc) (2.104 Kb)
- download online appendix (406 Kb)
- download paper (565 Kb)
Modificato il 13/02/2019
What do we know about the effects of austerity? (2018)
ALESINA A., FAVERO CA, F.GIAVAZZI
American Economic Association Paper and Proceedings, 108, May 2018, pp. 524-530
AEA Papers and Proceedings
ISSN 2574-0768 (Print) | ISSN 2574-0776 (Online)
- replication package (see readme.doc) (3.713 Kb)
- download paper (48 Kb)
Modificato il 29/08/2018
Is it the How or the When that Matters in Fiscal Adjustments? (2017)
ALESINA A., AZZALINI G., FAVERO C.A., GIAVAZZI F., MIANO A.
IMF Economic Review
- download paper (481 Kb)
Modificato il 07/12/2017
A Multivariate Model of Strategic Asset Allocation with Longevity Risk (2017)
BISETTI E:, FAVERO C.A., NOCERA G., C.TEBALDI
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
- download (386 Kb - english version)
- online appendix (357 Kb - english version)
Modificato il 25/05/2017
Demographics and the Behaviour of Interest Rates (2016)
FAVERO CARLO AMBROGIO, ARIE GOZLUKLU, HAOXI YANG
IMF Economic Review, 64, 4, 732-776
- replication package (see readme.doc) (1.902 Kb)
- download online appendix (61 Kb)
- download paper (1.707 Kb)
Modificato il 24/03/2017
Austerity in 2009-2013 (31/07/2015)
ALESINA A., BARBIERO O.,FAVERO CA, F.GIAVAZZI and M.PARADISI
ECONOMIC POLICY, OXFORD UNIVERSITY PRESS,July 2015 pp. 383–437
- replication package (see readme.doc) (3.093 Kb)
- download (770 Kb - english version)
Modificato il 18/09/2015
The Output Effect of Fiscal Consolidation Plans (01/07/2015)
ALESINA A., FAVERO CA and F.GIAVAZZI
Journal of International Economics, 96, 1, S19-S42,Elsevier
- replication package (see readme.doc) (3.194 Kb)
- download (635 Kb)
Modificato il 20/11/2018
Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy. (01/04/2014)
FAVERO CARLO AMBROGIO, EMILIO BISETTI
North American Actuarial Journal
- download (445 Kb)
Modificato il 04/11/2014
How Much Does the Stock Market Risk Decline with the Investment Horizon? A Cross-Country Comparison (12/01/2014)
Modelling and forecasting government bond spreads in the euro area: a GVAR model (2013)
FAVERO CARLO AMBROGIO
Journal of Econometrics, 177, 2, 343-356
- files for replication (run run_gvar_all.prg with EVIEWS) (4.045 Kb)
- download (345 Kb)
Modificato il 04/11/2014
Euro Area Money Demand and International Portfolio Allocation (2013)
FAVERO C.A., DE SANTIS R., ROFFIA B.
Journal of International Money and Finance 32, 377-404
- download (482 Kb)
Modificato il 11/02/2013
Sovereign spreads in the Euro Area: Which Prospects for a Eurobond? (2012)
FAVERO CARLO AMBROGIO, MISSALE ALESSANDRO
Economic Policy, 70, 231-273, Blackwell
Modificato il 24/12/2012
Measuring Tax Multipliers. The Narrative method in Fiscal VARs (2012)
FAVERO C. A., GIAVAZZI F.
American Economic Journal. Economic Policy 4(2): 128, http://dx.doi.org/10.1257/pol.4.2.1
- download (347 Kb)
- files for replication (1.282 Kb)
Modificato il 16/07/2014
A Spectral Estimation of Tempered Stochastic Volatility Models and Option Pricing (2012)
FAVERO C.A., J. LI and F.ORTU
Computational Statistics and Data Analysis, Vol 56, Issue 11, Pages 36453658
- download (236 Kb)
Modificato il 24/12/2012
Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set (2012)
FAVERO CARLO AMBROGIO, LINLIN NIU, LUCA SALA
JOURNAL OF FORECASTING, vol. 31(2), pages 124-156, J.Wiley and Sons
- download (439 Kb)
Modificato il 24/12/2012
Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns (2011)
FAVERO CARLO AMBROGIO, ARIE GOZLUKLU, ANDREA TAMONI
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, Vol. 46, No. 5, Oct. 2011, pp. 14931520
- files for replication (follow readme.txt) (235 Kb)
- download (326 Kb)
Modificato il 24/12/2012
Country Heterogeneity and the International Evidence on the Effects of Fiscal Policy (2011)
FAVERO CARLO AMBROGIO, FRANCESCO GIAVAZZI and JACOPO PEREGO
IMF Economic Review, 59,4, 652-682
- download (396 Kb)
Modificato il 24/12/2012
Demographics and Stock Market Fluctuations (11/07/2010)
FAVERO CARLO AMBROGIO, ANDREA TAMONI
CESifo Economic Stuides
- download (292 Kb)
Modificato il 25/11/2010
How Does Liquidity Affect Bond Yields? (02/2010)
Carlo A. Favero with M.Pagano and Elu Von Thadden
Journal of Financial and Quantitative Analysis
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Modificato il 23/11/2010
Monetary Policy Inertia. More a Fiction than a Fact? (2009)
A. CONSOLO, FAVERO CARLO AMBROGIO
JOURNAL OF MONETARY ECONOMICS, Elsevier pp.900- 906 Vol.56,
- files for replication (follow readme.txt) (168 Kb)
- download (214 Kb)
Modificato il 25/11/2010
On the Statistical Identification of DSGE Models (2009)
CONSOLO A., C.A. FAVERO and A.PACCAGNINI
Journal of Econometrics 150, pp. 99-115, Elsevier
- download (416 Kb)
- dataset and MATLAB programs for replication (see readme.txt) (1.441 Kb)
Modificato il 25/11/2010
Should the Euro area be run as a closed economy? (2008)
Carlo A. Favero and Francesco Giavazzi
American Economic Review Paper and Proceedings, 98:2 138-145
- Download (183 Kb)
Modificato il 25/11/2010
Taylor Rules and the Term Structure (2006)
The econometrics of macroeconomics, finance, and the interface (2006)
Diebold, F.X. & Engle, R.F. & Favero, C. & Gallo, G.M. & Schorfheide, F.
Journal of Econometrics, Elsevier, vol. 127(1-2), pages 1-2
Journal of Econometrics
Modificato il 25/11/2010
Modelling and forecasting fiscal variables for the euro area (2005)
Carlo A. Favero and M.Marcellino
Oxford Bulletin of Economics and Statistics, Blackwell Publishing, vol. 67(s1), pages 755-783, Decem
Oxford Bulletin of Economics and Statistics
Modificato il 16/01/2009
Parameter Instability, Model Uncertainty and the Choice of Monetary Policy (2005)
Carlo A. Favero and Fabio Milani
Topics in Macroeconomics: Vol. 5: No. 1, Article 4
http://www.bepress.com/bejm/topics/vol5/iss1/art4
Modificato il 05/12/2008
Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates (2006)
Carlo A. Favero with A. Carriero and I.Kaminska
Journal of Econometrics, Elsevier, vol. 127(1-2), pages 339-358
- Download (378 Kb)
Modificato il 13/12/2010
Model Uncertainty, Thick Modelling and the Predictability of Stock Returns (2005)
M.Aiolfi and Carlo A. Favero
Journal of Forecasting
- Download (1.452 Kb)
- Dataset (excel format) (410 Kb)
Modificato il 16/01/2009
Explaining Co-movements Between Stock Markets: The Case of US and Germany (2005)
A. Bonfiglioli and Carlo A. Favero
Journal of International Money and Finance Elsevier, vol. 24(8), pages 1299-1316, 12
- Download (338 Kb)
- Dataset (excel format) (240 Kb)
Modificato il 16/01/2009
Principal components at work: The empirical analysis of monetary policy with large datasets (2005)
Carlo A. Favero, M.Marcellino and F.Neglia
Journal of Applied Econometrics, 20:603-620
Journal of Applied Econometrics
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Modificato il 16/01/2009
Comments on Fiscal and monetary policy interactions: Empirical evidence on optimal policy using a structural new-Keynesian model (2004)
Yield Spreads on EMU Government Bonds (2003)
Codogno L., Carlo A. Favero and A.Missale
Economic Policy
Journal of Money, Credit and Banking
- Download (1.157 Kb)
Modificato il 16/01/2009
Macroeconomic stability and the preferences of the Fed. A formal analysis (2003)
Carlo A. Favero and Riccardo Rovelli
Macroeconomic stability and the preferences of the Fed. A formal analysis, 35,4, 545-556
Journal of Money, Credit and Banking
- Download (368 Kb)
Modificato il 16/01/2009
Is the International propagation of financial shocks non-linear?: Evidence from the ERM Crisis (2002)
Carlo A. Favero and Francesco Giavazzi
Journal of International Economics, 57, 231-246
Journal of International Economics
- Download (76 Kb)
Modificato il 16/01/2009
Uncertainty on Monetary Policy and the Expectations Model of the Term Structure of Interest Rates (2001)
Carlo A. Favero and Federico Mosca
Economics Letters, 71, 369-375
Economics Letters
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Modificato il 16/01/2009
Extracting Information from Asset Prices: the Methodology of EMU Calculators (2000)
Carlo A. Favero with Francesco Giavazzi, Fabrizio Iacone and Guido Tabellini
The European Economic Review, 44, 1607-1632
The European Economic Review
- Download (363 Kb)
Modificato il 05/12/2008
Information from financial markets and VAR measures of monetary policy (1999)
Carlo A. Favero with Fabio C. Bagliano
The European Economic Review, 43, 825-837
The European Economic Review
- Download (329 Kb)
Modificato il 05/12/2008
Financial Markets' assessment of EMU. A Comment (1999)
Carlo A. Favero
Carnegie-Rochester Conference Series on Public Policy, 51, 271-280
Carnegie-Rochester Conference Series on Public Policy
- Download (324 Kb)
Modificato il 05/12/2008
Deficits, money growth and inflation in Italy: 1875-1994 (1999)
Carlo A. Favero and F.Spinelli
Economic Notes, Siena, 28,1, 43-71
Economic Notes, Siena
Modificato il 16/01/2009
Measuring Monetary Policy with VAR Models: an Evaluation (1998)
Fabio C. Bagliano and Carlo A. Favero
The European Economic Review, 42, 1069-1112
The European Economic Review
- Download (643 Kb)
Modificato il 16/01/2009
The Immediate challenges for the European Central Bank (1998)
R.Dornbusch, Carlo A. Favero and F.Giavazzi
Economic Policy, 26, 17-64
Economic Policy
Modificato il 16/01/2009
High Yields: The spread on German Interest Rates (1997)
Carlo A. Favero, F. Giavazzi and L..Spaventa
The Economic Journal, 107, 443, pp. 956-985
The Economic Journal
Modificato il 16/01/2009
A Duration Model of Irreversible Oil Investment:Theory and Empirical Evidence (1994)
Carlo A. Favero, M.H.Pesaran and S. Sharma
Journal of Applied Econometrics, 9, S95-S113
Journal of Applied Econometrics
- Download (6 Kb)
Modificato il 16/01/2009
Oil Investment in the North Sea (1994)
Carlo A. Favero and M.H.Pesaran
Economic Modelling, 11(3) 308-329
Economic Modelling
Modificato il 16/01/2009
Error Correction and Forward Looking Models For U.K. Consumers´ Expenditure and the Lucas Critique (1993)
Carlo A. Favero
Oxford Bulletin of Economics and Statistics, 55, 4, 453-473
Oxford Bulletin of Economics and Statistics
Modificato il 05/12/2008
Testing the Lucas Critique. A Review (1992)
Carlo A. Favero and D.F. Hendry
Econometric Reviews, vol. 2, pp.265-306
Econometric Reviews
Modificato il 16/01/2009
Testing the Lucas Critique. A Rewiev. Reply to comments (1992)
Carlo A. Favero and D.F. Hendry
Econometric Reviews, vol. 2, pp.317-318
Econometric Reviews
Modificato il 16/01/2009
Taxation and Optimization of Oil Exploration and Production : The U.K. Continental Shelf (1992)
Carlo A. Favero
Oxford Economic Papers, vol 44., pp.187-208
Oxford Economic Papers
- Download (1.545 Kb)
Modificato il 05/12/2008
Money Demand Instability, Rational Expectations And Policy Regimes: The Case of Italy:1964-1986. (1992)
F.C. Bagliano and Carlo A. Favero
Journal of Banking and Finance, vol. 16 pp.331-349
Journal of Banking and Finance
Modificato il 16/01/2009
Efectos Macroeconomicos de la venta de empresas del estado (1992)
J.E.Driffill and Carlo A. Favero
Revista de Economia, Secretaria de Estado de comercio, 707,11-22
Revista de Economia, Secretaria de Estado de comercio
Modificato il 16/01/2009
Technical Efficiency and Scale Efficiency in the Italian Banking Sector. A non-parametric approach (1995)
Modificato il 28/10/2008