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Ansattprofil

Fabio Canova

Professor - Institutt for samfunnsøkonomi

Ekspertområder

Publikasjoner

Canova, Fabio (2024)

Should we trust cross sectional multiplier estimates?

Journal of applied econometrics Doi: 10.1002/jae.3041

Canova, Fabio & Sæterhagen Paulsen, Kenneth (2023)

Symbolic stationarization of dynamic equilibrium models

Journal of Economic Dynamics and Control, 154 Doi: 10.1016/j.jedc.2023.104710

Dynamic equilibrium models are specified to track persistent time series. Thus, unit roots are typically introduced as exogenous driving forces and the optimality conditions adjusted to produce a stationary solution. This adjustment step requires tedious algebra and often leads to algebraic mistakes, especially in complicated models. We propose an algorithm employing differentiation rules that simplifies the step of rendering non-stationary models stationary. It is easy to implement and works when trends are stochastic or deterministic, exogenous or endogenously determined. Three examples illustrate the mechanics and the properties of the approach. A comparison with existing methods is provided (97 words).

Canova, Fabio & Ferroni, Filippo (2022)

Mind the gap: Stylized dynamic facts and structural models

American Economic Journal: Macroeconomics, 14(4), s. 104- 135. Doi: 10.1257/mac.20200054 - Fulltekst i vitenarkiv

We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but q 1 < q variables are used in an empirical model. Identified shocks are linear combinations of current and past values of all structural disturbances and do not necessarily combine disturbances of the same type. Theory- based restrictions may be insufficient to obtain structural dynamics. We revisit the evidence regarding the transmission of house price and of uncertainty shocks. We provide suggestions on how to compare the dynamics of larger scale DSGEs models with smaller scale VARs. (JEL E12, E13, E23, E31, E43, R31)

Canova, Fabio & Matthes, Christian (2021)

A composite likelihood approach for dynamic structural models

Economic Journal, 131(638), s. 2447- 2477. Doi: 10.1093/ej/ueab004 - Fulltekst i vitenarkiv

Canova, Fabio & Matthes, Christian (2021)

Dealing with misspecification in structural macroeconometric models

Quantitative Economics, 12(2), s. 313- 350. Doi: 10.3982/QE1413 - Fulltekst i vitenarkiv

We consider a set of potentially misspecified structural models, geometrically combine their likelihood functions, and estimate the parameters using composite methods. In a Monte Carlo study, composite estimators dominate likelihood‐based estimators in mean squared error and composite models are superior to individual models in the Kullback–Leibler sense. We describe Bayesian quasi‐posterior computations and compare our approach to Bayesian model averaging, finite mixture, and robust control procedures. We robustify inference using the composite posterior distribution of the parameters and the pool of models. We provide estimates of the marginal propensity to consume and evaluate the role of technology shocks for output fluctuations.

Canova, Fabio; Ferroni, Filippo & Matthes, Christian (2020)

DETECTING AND ANALYZING THE EFFECTS OF TIME‐VARYING PARAMETERS IN DSGE MODELS

International Economic Review, 61(1), s. 105- 125. Doi: 10.1111/iere.12418 - Fulltekst i vitenarkiv

We study how structural parameter variations affect the decision rules and economic inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. A constant parameter model poorly approximates a time‐varying data generating process (DGP), except in a handful of relevant cases. Linear approximations do not produce time‐varying decision rules; higher‐order approximations can do this only if parameter disturbances are treated as decision rule coefficients. Structural responses are time invariant regardless of order of approximation. Adding endogenous variations to the parameter controlling leverage in Gertler and Karadi's model substantially improves the fit of the model.

Altavilla, Carlo; Canova, Fabio & Ciccarelli, Matteo (2019)

Mending the broken link: Heterogeneous bank lending rates and monetary policy pass-through

Journal of Monetary Economics, s. 1- 18. Doi: 10.1016/j.jmoneco.2019.01.001 - Fulltekst i vitenarkiv

Canova, Fabio & Sahneh, Mehdi Hamidi (2018)

Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Nonfundamentalness

Journal of the European Economic Association, 16(4), s. 1069- 1093. Doi: 10.1093/jeea/jvx032

Bluwstein, Kristina & Canova, Fabio (2016)

Beggar-thy-neighbor? The international effects of ECB unconventional monetary policy measures

The International Journal of Central Banking, 12(3), s. 69- 120.

Altavilla, Carlo; Canova, Fabio & Ciccarelli, Matteo (2017)

Mending the Broken Link: Heterogeneous Bank Lending and Monetary Policy Pass-through

[Academic lecture]. Recent Developments in Monetary Policy Research.

Akademisk grad
År Akademisk institusjon Grad
1992 Brown University, Providence, RI, USA M.A.
1988 University of Minnesota Ph.D.
1982 University of Southern California, Los Angeles, CA.,USA M.A. in Business Economics
1980 University of Modena, Modena, Italy B.A. in Economics
Arbeidserfaring
År Arbeidsgiver Tittel
2015 - Present BI Norwegian Business School Professor
2013 - Present European University Institute, Florence, Italy Pierre Werner Chair in Monetary Union
2008 - Present Budapest School for Central Banking Studies, Hungary Director
2012 - 2015 European University Institute, Florence, Italy Professor of Econometrics
2010 - 2012 CREMed, Barcelona, Spain Associate researcher
2005 - 2012 Universitat Pompeu Fabra, Barcelona, Spain ICREA Research Professor
2005 - 2012 CREI, Barcelona, Spain Associate Research
2008 - 2008 University of Bern, Bern, Switzerland Chair in Macroeconomics
2003 - 2005 Igier-Bocconi, Milan, Italy Research Professor
1997 - 2003 Universitat Pompeu Fabra, Barcelona, Spain Professor
1996 - 2002 University of Southampton, United Kingdom Part-Time Professor
1995 - 1999 Università di Modena, Italy Professor
1994 - 1997 Universitat Pompeu Fabra, Barcelona, Spain Visiting Professor
1994 - 1995 University of Catania, Italy Professor
1991 - 1994 Brown University, USA Associate Professor
1991 - 1993 European University Institute, Italy Associate Professor
1990 - 1991 University of Rochester, USA Visiting Assistant Professor
1987 - 1990 Brown University, USA Assistant Professor