Title:Do expectations matter? : the great moderation revisited Author(s):CANOVA, Fabio; GAMBETTI, LucaDate:2010Citation:
- American economic journal : macroeconomics, 2010, Vol. 2, No. 3, pp. 183-205
Type:ArticleAbstract:We examine the role of expectations in the Great Moderation episode. We derive theoretical restrictions in a New-Keynesian model and test them using measures of expectations obtained from survey data, the Greenbook and ...
Title:Does money matter in shaping domestic business cycles? : an international investigation Author(s):CANOVA, Fabio; MENZ, TobiasDate:2011Citation:
- Journal of money, credit and banking, 2011, Vol. 43, No. 4, pp. 577-607
Type:ArticleAbstract:We study the contribution of money to business-cycle fluctuations in the United States, the United Kingdom, Japan, and the euro area using a small-scale structural monetary business cycle model. Constrained likelihood-based ...
Title:Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions Author(s):CANOVA, Fabio; PÉREZ FORERO, Fernando J.Date:2015Citation:
- Quantitative Economics, 2015, Vol. 6, No. 2, pp. 359-384
Type:ArticleAbstract:This paper provides a general procedure to estimate structural vector autoregressions. The algorithm can be used in constant or time-varying coefficient models, and in the latter case, the law of motion of the coefficients ...
Title:Has the Euro-Mediterranean partnership affected mediterranean business cycles? Author(s):CANOVA, Fabio; SCHLAEPFER, AlainDate:2015Citation:
- Journal of applied econometrics, 2015, Vol. 30, No. 2, pp. 241-262
Type:ArticleAbstract:We date turning points of the reference cycle for 19 Mediterranean countries and analyze their structure and interdependencies. Fluctuations are volatile and not highly correlated across countries; recessions are deep but ...
Title:Introduction to recent advances in methods and applications for DSGE models Author(s):CANOVA, Fabio; SCHORFHEIDE, Frank; DIJK, HermanDate:2014Citation:
- Journal of applied econometrics, 2014, Vol. 29, No. 7, pp. 1029-1030
Title:Price Smoothing Policies - A Welfare Analysis Author(s):CANOVA, FabioDate:1992Citation:
- Journal of Monetary Economics, 1992, 30, 2, 255-275
Type:ArticleAbstract:In post-WWII experience U.S. monetary authorities have attempted to eliminate seasonal fluctuations in prices and nominal interest rates. Developments in financial markets and recently discovered empirical regularities ...
Title:Modeling and Forecasting Exchange-Rates With a Bayesian Time-Varying Coefficient Model Author(s):CANOVA, FabioDate:1993Citation:
- Journal of Economic Dynamics & Control, 1993, 17, 01-feb, 233-261
Type:ArticleAbstract:This paper employs a multivariate Bayesian time-varying coefficients (TVC) approach to model and forecast exchange rate data. It is shown that, if used as a data-generating mechanism, a TVC model induces nonlinearities in ...
Title:Profits, Risk, and Uncertainty in Foreign-Exchange Markets Author(s):CANOVA, Fabio; MARRINAN, JaneDate:1993Citation:
- Journal of Monetary Economics, 1993, 32, 2, 259-286
Type:ArticleAbstract:This paper examines the properties of nominal profits from speculation in dollar-dominated forward contracts using a representative agent cash-in-advance model, modified to allow for heteroscedasticity in the exogenous ...
Title:International Consumption Risk Sharing Author(s):CANOVA, Fabio; RAVN, Morten O.Date:1996Citation:
- International Economic Review, 1996, 37, 3, 573-601
Type:ArticleAbstract:This paper formally examines the implications of international consumption risk sharing for a panel of industrialized countries. We theoretically derive the international consumption insurance proposition in a simple setup ...
Title:Trade Interdependence and the International-Business Cycle Author(s):CANOVA, Fabio; DELLAS, H.Date:1993Citation:
- Journal of International Economics, 1993, 34, 01-feb, 23-47
Type:ArticleAbstract:A stochastic general equilibrium model of the world economy is developed to analyze the contribution of trade interdependence to international business cycles. We test some of the implications of the model using data from ...