CARLO AMBROGIO FAVERO

 

Throughout my career, my research has spanned a diversified 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. My first academic work has been on testing the Lucas Critique [1].Since then my main contributions have focused on VAR models, their identification [2], [3], their validation and their interpretation of reduced form specification of structural models [4], [5],[6] . In particular, I have worked on cointegrated VAR and stationary specifications for data originally non-stationary as the empirical framework for long-run projections [7], [8]. I have also made contribution on the use of VAR models to propose counterfactual evaluation of policy regimes [9], [10] and to analyse interdependence and contagion across different financial markets [11], [12]. I have proposed a systematic view of my approach to macroeconometrics in a monograph [13] and in a chapter of the Palgrave Handbook of Econometrics [14]. My research programme on VAR has recently developed into using this framework to generate specifications that integrate information from different types of variables such as macroeconomic and financial variables for the analysis of the interaction between policies and asset prices  [15], [16], [17], [18],[20] or financial and demographic variables for analyzing long-run risk and returns in financial markets [19],[28]. The GVAR approach has been adopted to investigate the relation between fiscal fundamentals and yield spreads in the EURO area [23], this line of investigation led naturally to the discussion of the prospects for Eurobonds [22]. Narrative Identification of fiscal adjustment plans has been introduced in a series of papers [21], [26],[27], [30], [31], [32]. A book on austerity has resulted from this line of research [34] .  During the COVID pandemic,  I have extended this approach to macro- epidemiological models [35].

[1] C. FAVERO, HENDRY D.F.(1992).Testing the Lucas Critique. A Review.ECONOMETRIC REVIEWS,pp.265- 306 Vol.2, 
[2] BAGLIANO F.-C.; C. FAVERO(1999)Information from financial markets and VAR measures of monetary policy.EUROPEAN ECONOMIC REVIEW,pp.825- 837 Vol.43
[3] BAGLIANO F.-C.; C. FAVERO(1998).Measuring monetary Policy with VAR models: an evaluation. EUROPEAN ECONOMIC REVIEW,pp.1069- 1112, Vol.42 
[4] CONSOLO A., C.A.FAVERO, A.PACCAGNINI (209) On the Statistical Identification of DSGE Models, JOURNAL OF ECONOMETRICS, 99-115
[5] CONSOLO A., FAVERO C.A. (2009), Monetary Policy Inertia, More a fiction than a Fact ?, JOURNAL OF MONETARY ECONOMICS, 56, 900-906 
[6] C. FAVERO; 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
[7] C. FAVERO; GIAVAZZI F.; SPAVENTA L.(1997).High Yields: The spread on German Interest Rates.ECONOMIC JOURNAL,pp.956- 986,Vol.107, 
[8] C. FAVERO(2006).Taylor Rules and the Term Structure.JOURNAL OF MONETARY ECONOMICS,pp.1377- 1393,Vol.53, 
[9] C.A. FAVERO, F.GIAVAZZI (2008).Should the euro area be run as a closed economy ? THE AMERICAN ECONOMIC REVIEW  PAPER and PROCEEDINGS, pp.1- 8,Vol.98 
[10] DORNBUSCH R.; C. FAVERO; GIAVAZZI F.(1998).The Immediate challenges for the European Central Bank.ECONOMIC POLICY,pp.17- 64 Vol.26, 
[11] C. FAVERO; 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
[12] BONFIGLIOLI A.; C. FAVERO(2005).Explaining Co-movements Between Stock Markets: the case of US and Germany.JOURNAL OF INTERNATIONAL MONEY AND FINANCE,pp.1299- 1316 Vol.78
[13] FAVERO C.A: Applied Macroeconometrics, Oxford University Press, (2001) 
[14] FAVERO C.A:  The Econometrics of Monetary Policy. An overview (2010), T.C. Mills and K. Patterson PALGRAVE HANDBOOK OF ECONOMETRICS: Volume 2 Applied Econometrics
[15] FAVERO C. ; MARCELLINO M., NEGLIA F.(2005).Principal components at work: the empirical analysis of monetary policy with large datasets.JOURNAL OF APPLIED ECONOMETRICS,pp.603- 620 Vol.20 
[16] CARRIERO A; C. 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 
[17] DIEBOLD F.X.; ENGLE R.F.; C. FAVERO; GALLO G.M(2006)."The econometrics of macroeconomics, finance, and the interface, JOURNAL OF ECONOMETRICS,pp.1- 2 Vol.127
[18] FAVERO C.A., M.PAGANO and E.L. VON THADDEN (2010) How Does Liquidity affect Bond Yields?, JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
[19] 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
[20] FAVERO C.A., N.LIU and L.SALA (2012) Term Structure Forecasting: No-Arbitrage Restrictions vs.Large Information Set, JOURNAL OF FORECASTING
[21] 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, http://dx.doi.org/10.1257/pol.4.2.1
[22] FAVERO C.A., A.MISSALE (2012) Sovereign spreads in the Euro Area: Which Prospects for a Eurobond? Economic Policy, 70, 231-273, Blackwell
[23] 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
[24] DE SANTIS R., FAVERO C.A. and B. ROFFIA (2013) Euro Area Money Demand and International Portfolio Allocation (2013)  Journal of International Money and Finance 32, 377-404
[25] BISETTI, E., and. FAVERO, C. A. (2014) “Measuring the Impact of Longevity Risk on Pension Systems: The Case of Italy”, North American Actuarial Journal, 18(1): 87-104.
[26] ALESINA A., FAVERO C.A. and F.GIAVAZZI (2015)  The Output Effect of Fiscal Adjustment Plans Journal of International Economics, 96, 1, S19-S42,
[27] ALESINA A., BARBIERO O.,FAVERO CA, F.GIAVAZZI and M.PARADISI (2015) Austerity in 2009-2013, ECONOMIC POLICY, OXFORD UNIVERSITY PRESS
[28] FAVERO C.A. A.GOZLUKLU and H.YANG(2016) “Demographics and the Behaviour of Interest Rates” IMF Economic Review, 64, 4, 732-776
[29] BISETTI E:, FAVERO C.A., NOCERA G., C.TEBALDI(2017) A Multivariate Model of Strategic Asset Allocation with Longevity Risk, JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, Vol. 52, No. 5,  pp. 2251_2275
[30] ALESINA A., AZZALINI G., FAVERO C.A., GIAVAZZI F., MIANO A(2017) Is it the How or the When that Matters in Fiscal Adjustments? (2017),IMF Economic Review
[31] ALESINA A., FAVERO CA, F.GIAVAZZI(2018) What do we know about the effects of austerity? American Economic Association Paper and Proceedings, 108, pp. 524-530
[32] ALESINA A., FAVERO CA, GIAVAZZI F.(2019)”Effects of Austerity: Expenditure and Tax-based Approaches” Journal of Economic Perspectives Vol. 33, Issue 2 -- Spring 2019,33(2):141-162
[33] FAVERO CA, ORTU F., TAMONI A. & H. YANG (2019):Implications of Return Predictability for Consumption Dynamics and Asset Pricing, Journal of Business & Economic Statistics, DOI: 10.1080/07350015.2018.1527702
[34] ALESINA A., C. FAVERO and F.GIAVAZZI (2019) “ Austerity. When it works and when it does not.” PRINCETON UNIVERSITY PRESS
[35] FAVERO C.A. (2020) “Why is COVID-19 Mortality in Lombardy so High? Evidence from the Simulation of a SEIHCR Model”, COVID Economics,  issue 4, 47-61.