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Title:DSGE models in macroeconomics : estimation, evaluation, and new development Editor(s):BALKE, Nathan S.; CANOVA, Fabio
; MILANI, Fabio; WYNNE, Mark A.Date:2012Citation:
- Bingley : Emerald, 2012, Advances in Econometrics, Vol. 28
Type:BookAbstract:This volume of Advances in Econometrics is devoted to dynamic stochastic general equilibrium (DSGE) models. The editors (of Southern Methodist U., the U. of California, and the Federal Reserve Bank of Dallas in the US; and ...
; MILANI, Fabio; WYNNE, Mark A.Date:2012Citation:
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 ...
Date:1992Citation:
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 ...
Date:1993Citation:
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 ...
; MARRINAN, JaneDate:1993Citation:
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 ...
; RAVN, Morten O.Date:1996Citation:
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 ...
; DELLAS, H.Date:1993Citation:
Title:An Alternative Approach to Modeling and Forecasting Seasonal Time-Series Author(s):CANOVA, FabioDate:1992Citation:
- Journal of Business & Economic Statistics, 1992, 10, 1, 97-108
Type:ArticleAbstract:This article proposes an alternative methodology for modeling and forecasting seasonal series. The approach is in the Bayesian autoregression tradition pioneered by Doan, Litterman, and Sims and builds seasonality directly ...
Date:1992Citation:
Title:Fiscal policy, Pricing Frictions and Monetary Accommodation Author(s):CANOVA, Fabio; PAPPA, EviDate:2011Citation:
- Economic Policy, 2011, 26, 68, 555–598
Type:ArticleAbstract:This paper empirically investigates whether the theoretical conditions for government expenditure expansions to be effective, hold for the data. We ask whether the necessary conditions for fiscal effectiveness are relevant ...
; PAPPA, EviDate:2011Citation:
Title:Multiple filtering devices for the estimation of cyclical DSGE models Author(s):CANOVA, Fabio; FERRONI, FilippoDate:2011Citation:
- Quantitative Economics, 2011, Vol. 2, No. 1, pp. 73-98
Type:ArticleAbstract:We propose a method to estimate time invariant cyclical dynamic stochastic gen eral equilibrium models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated ...
; FERRONI, FilippoDate:2011Citation:
Title:Business cycle measurement with some theory Author(s):CANOVA, Fabio; PAUSTIAN, MatthiasDate:2011Citation:
- Journal of Monetary Economics, 2011, Vol. 58, No. 4, pp. 345-361
Type:ArticleAbstract:A method to evaluate cyclical models not requiring knowledge of the DGP and the exact speci?cation of the aggregate decision rules is proposed. We derive robust restrictions in a class of models; use some to identify ...
; PAUSTIAN, MatthiasDate:2011Citation: