CARLO AMBROGIO FAVERO

CARLO AMBROGIO FAVERO
Full Professor
Department of Finance

Personal page


Courses a.y. 2015/2016

10181 TIME SERIES ANALYSIS
20192 FINANCIAL ECONOMETRICS AND EMPIRICAL FINANCE - MODULE 2
30006 SISTEMA FINANZIARIO / FINANCIAL MARKETS AND INSTITUTIONS
30188 INTRODUCTORY FINANCIAL ECONOMETRICS
30367 FINANCE (MODULE I) - FINANCIAL MARKETS AND INSTITUTIONS
40265 ADVANCED MACROECONOMICS 3 (Topics in Applied Macro)


Biographical note

Oxford University, St.Antony’s College,   D.Phil. in Economics, 1989 Thesis Title : "Testing the Lucas critique of  Econometric Policy Evaluation." 
Lecturer in Economics, Queen Mary College, University of London 1989-1992
Research Associate of the Department of Applied Economics, University of Cambridge (1990-92)
Deutsche Bank Chair in Asset Pricing and Quantitative Finance, dept of Finance Bocconi University(2011-)
 

 


Academic CV

Head of the Department of Finance, Bocconi University (2013-)
President of the Innocenzo Gasparini Institute for Economic Research (2011-2016)
Fellow of the Centre for Economic Policy Research, programme in International Macroeconomics (1997-)


Research areas

Econometric modelling of bond and stock prices, applied econometrics, monetary and fiscal policy and  time-series models for macroeconomics and finance. 


Selected publications

Overall my works have over 5500 Google Scholar citations with an H-index of 36 (as of Oct 2014).  I include herewith a list of the most representative publications

ALESINA A., FAVERO C.A. and F. GIAVAZZI (2015) "The Output Effect of Fiscal Stabilization Plans" Journal of International Economics .

FAVERO C.A. and E.BISETTI (2014) "The Impact of Longevity Risk On Pensions Systems. The Case of Italy", North American Actuarial Journal.

FAVERO C.A. (2013) "Modelling and forecasting government bond spreads in the euro area: a GVAR model", Journal of Econometrics, vol. 177, issue 2, pages 343-356.

FAVERO C.A., A. MISSALE (2012) "Sovereign spreads in the Euro Area: Which Prospects for a Eurobond"? Economic Policy, 70, 231-273, Blackwell.

FAVERO C.A. and F. GIAVAZZI (2012) "Reconciling VAR based and Narrative Measures of the Tax Multiplier", American Economic Journal: Economic Policy 4(2): 1–28.

FAVERO C.A., A. GOZLUKLU and A. TAMONI (2011) "Demographic Trends, the Dividend/Price Ratio and the Predictability of  Long-Run Stock Market Returns", Journal of Financial and Quantitative Analysis, Vol. 46, No. 5, Oct. 2011, pp. 1493–1520

FAVERO C.A., M. PAGANO and E.L. VON THADDEN (2010) "How Does Liquidity affect Bond Yields"?, Journal of Financial and Quantitative Analysis , 45 ,01,  pp 107-134

CONSOLO A., FAVERO C.A. (2009), "Monetary Policy Inertia, More a fiction than a Fact "?, Journal of Monetary Economics, 56, 900-906

CONSOLO A., FAVERO C.A., A. PACCAGNINI (2009). "The Statistical Identification of DSGE Models".  Journal of econometrics pp.99- 115

FAVERO C.A., F. GIAVAZZI (2008). "Should the euro area be run as a closed economy"? The American Economic Review, Papers and Proceedings pp.138- 145  Vol.98, 

FAVERO C.A. (2006). "Taylor Rules and the Term Structure". Journal of Monetary Economics,  pp.1377- 1393  Vol.53.

CARRIERO A.,  C.A. FAVERO; I. KAMINSKA  (2006).  "Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates". Journal of Econometrics ,  pp.339- 358  Vol.127.

FAVERO C.A.; ROVELLI R. (2003). "Macroeconomic stability and the preferences of the Fed. A formal analysis", 1961-98.  Journal of Money, Credit and Banking,  pp.545- 557  Vol.35.

FAVERO C.A.; GIAVAZZI F. (2003).  "Is the International propagation of financial shocks non-linear?: Evidence from the ERM Crisis".  Journal of International Economics,  pp.231- 247,  Vol.57.
 
BAGLIANO F. C.; C.A. FAVERO (1998). "Measuring monetary Policy with VAR models: an evaluation".  European Economic Review,  pp.1069- 1112  Vol.42.

DORNBUSCH R.; C. A. FAVERO; GIAVAZZI F.  (1998).  "The Immediate challenges for the European Central Bank".  Economic Policy,  pp.17- 64  Vol.26.

C.A. FAVERO; GIAVAZZI F.; SPAVENTA L. (1997). "High Yields: The spread on German Interest Rates".  Economic Journal,  pp.956- 986  Vol.107 .

C. FAVERO; HENDRY D.F.  (1992). "Testing the Lucas Critique". A Review.  Econometrics Reviews,  pp.265- 306  Vol.2.

Research monographs: GS=Google Scholar citations
Favero C.A (2001) "Applied Macroeconometrics ", Oxford University Press.