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Title:Choosing the variables to estimate singular DSGE models Author(s):CANOVA, Fabio EUI affiliated

; FERRONI, Filippo; MATTHES, ChristianDate:2014Citation: Journal of Applied Econometrics, 2014, Vol. 29, No. 7, pp. 1099-1117 Type:ArticleAbstract:We propose two methods to choose the variables to be used in the estimation of the structural parameters of a singular DSGE model. The first selects the vector of observables that optimizes parameter identification; the ...

Title:Bridging DSGE models and the raw data Author(s):CANOVA, Fabio EUI affiliated

Date:2014Citation: Journal of Monetary Economics, 2014, Vol. 67, pp. 1-15 Type:ArticleAbstract:A method to estimate DSGE models using the raw data is proposed. The approach links the observables to the model counterparts via a flexible specification which does not require the model-based component to be located ...

Title:Beggar-thy-neighbor? : the international effects of ECB unconventional monetary policy measures Author(s):BLUWSTEIN, Kristina EUI affiliated

; CANOVA, Fabio EUI affiliated

Date:2016Citation: International journal of central banking (IJCB), 2016, Vol. 12, No. 3, pp. 69-120 Type:ArticleAbstract:This paper examines the effects of unconventional monetary policy measures by the European Central Bank on nine European countries not adopting the euro with a novel Bayesian mixed-frequency structural vector autoregressive ...

Title:Estimating overidentified, non-recursive, time varying coefficients structural VARs Author(s):CANOVA, Fabio EUI affiliated

; PÉREZ FORERO, Fernando J.Date:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/10022Abstract:This paper provides a method to estimate time varying coe¢ cients structural VARs which are non-recursive and potentially overidentiÖed. The procedure allows for linear and non-linear restrictions on the parameters, maintains ...

Title:Has the Euro-Mediterranean partnership affected Mediterranean business cycles? Author(s):CANOVA, Fabio EUI affiliated

; SCHLAEPFER, AlainDate:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/10023Abstract: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 ...