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CARLO AMBROGIO FAVERO

CARLO AMBROGIO FAVERO
Full Professor
Department of Economics
Deutsche Bank Chair in Asset Pricing and Quantitative Finance

Courses a.y. 2023/2024

20135 TEORIA DELLA FINANZA / THEORY OF FINANCE
20630 INTRODUCTION TO SPORT ANALYTICS
40408 ADVANCED MACROECONOMICS 3

Courses previous a.y.

Biographical note

D.Phil. from Oxford University, member of the Oxford Econometrics Research Centre. 
Professor of econometrics at Bocconi University from 1994 to 2001, and professor of economics since 2002. Teaching econometrics at Bocconi's Department of Finance since 2009.
Research fellow of CEPR in the International Macroeconomics programme. 
Fellow of the Innocenzo Gasparini Institute for the Economic Research at Bocconi University, and a member of the scientific committee of the Centro Interuniversitario Italiano di Econometria (CIDE).
Advisor to the Italian Ministry of Treasury for the construction of an econometric model of the Italian economy. 
Consultant to the European Commission, the World Bank and the European Central Bank, on monetary policy and the monetary transmission mechanism and bond markets.


About

Member of the editorial board of the Bocconi Springer Series in Mathematics, Statistics, Finance and Economics. Coauthor with A.Alesina and F.Giavazzi of the book "Austerity. When it Works and When it Doesn't" (Princeton University Press 2019). The book has been translated in Chinese, Spanish and Italian and in May 2020 was awarded the Hayek Book Prize by the Manhattan Institute.


Research interests

Throughout my career, my research has spanned a large set of issues, but it has focused on a common underlying theme: the application of econometric time-series methods to the analysis of questions relevant for economic policy making. At the methodological level I have constantly worked on the interaction between theory and data for the identification, specification and estimation of the econometric model relevant for policy analysis and forecasting.

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

Research interests: estimation and simulation of  realistic models of the spread of SARS-Cov-2  in an economy where the population has different age groups and sectors.


Working papers

Favero, Carlo Ambrogio; Melone, Alessandro; Tamoni, Andrea
Monetary Policy and Bond Prices with Drifting Equilibrium Rates

Selected Publications

Alesina, Alberto; Favero, Carlo Ambrogio; Giavazzi, Francesco
The output effect of fiscal consolidation plans
Journal of International Economics, 2015

Favero, Carlo; Bisetti, Emilio
Measuring the impact of longevity risk on pension systems: the case of Italy
North American Actuarial Journal, 2014

Favero, Carlo; Missale, Alessandro
Sovereign spreads in the eurozone: which prospects for a Eurobond?
Economic Policy, 2012

Favero, Carlo; Giavazzi, Francesco
Measuring tax multipliers: the narrative method in fiscal VARs
American Economic Journal. Economic Policy, 2012

Favero, Carlo; Gozluklu, Arie E.; Tamoni, Andrea
Demographic trends, the dividend-price ratio and the predictability of long-run stock market returns
Journal of Financial and Quantitative Analysis, 2011

Favero, Carlo; Pagano, Marco; Von Thadden, Ernst-Ludwig
How does liquidity affect government bond yields?
Journal of Financial and Quantitative Analysis, 2010

Consolo, Agostino.; Favero, Carlo; Paccagnini, Alessia
On the statistical identification of DSGE models
Journal of Econometrics, 2009

Favero, Carlo Ambrogio; Giavazzi, Francesco
Should the euro area be run as a closed economy?
The American Economic Review, 2008

Favero, Carlo Ambrogio
Taylor Rules and the Term Structure
Journal of Monetary Economics, 2006

A. Carriero; Favero, Carlo Ambrogio; I. Kaminska
Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Strucutre of Interest Rates
Journal of Econometrics, 2006

Favero, Carlo Ambrogio; Marcellino, Massimiliano
Modelling and Forecasting Fiscal Variables for the Euro Area
Oxford Bulletin of Economics and Statistics, 2005

Favero, Carlo Ambrogio; Rovelli R.
Macroeconomic stability and the preferences of the Fed. A formal analysis, 1961-98
Journal of Money, Credit and Banking, 2003

Favero, Carlo Ambrogio; R. Beetsma; A. Missale; A. Muscatelli; P. Natale; P. Tirelli
Monetary Policy, Fiscal Policies and Labour Markets. Macroeconomic Policymaking in the EMU
2003

Favero, Carlo Ambrogio; Giavazzi, Francesco
Is the International propagation of financial shocks non-linear?: Evidence from the ERM Crisis
Journal of International Economics, 2003

Favero, Carlo Ambrogio
Applied Macroeconometrics
Research monographs: GS=Google Scholar citations, 2001

Bagliano F. C.; Favero, Carlo Ambrogio
Measuring monetary Policy with VAR models: an evaluation
European Economic Review, 1998

Dornbusch R.; Favero, Carlo Ambrogio; Giavazzi, Francesco
Immediate challenges for the European Central Bank
Economic Policy, 1998

Favero, Carlo Ambrogio; Giavazzi, Francesco; Spaventa L.
High yields: The spread on German interest rates
Economic Journal, 1997

Favero, Carlo Ambrogio; Hendry D. F.
Testing the Lucas Critique. A Review
Econometric Reviews, 1992