Fabio Canova
Biographic Data
| ID | 5734671 |
|---|---|
| NAME | Fabio Canova |
| GIVEN NAMES | Fabio |
| FAMILY NAME | Canova |
| SIGNATURE | CANOVA F |
| AFFILIATIONS | Universitat Pompeu Fabra |
| ORCID | 0000-0002-8782-4787 |
| VERIFIED | Yes |
| TOTAL WORKS | 11 |
| TOTAL CITATIONS | 13 |
| AUTHOR COUNT | 11 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1991 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 3 |
Should we trust cross‐sectional multiplier estimates
I examine the properties of cross‐sectional estimators of multipliers, elasticities, or pass‐throughs when a conventional spatial macroeconomic specification generates the data. A number of important biases plague standard estimates; the most relevant one occurs when the units display heterogeneous dynamics. Methods that work well in this situation are suggested. An experimental setting shows the magnitude of the biases cross‐sectional estimators…
Faq
I investigate the properties of output gaps in New Keynesian dynamic stochastic general equilibrium models and study the relationship between theory-based quantities and the estimates obtained with standard approaches. Theoretical gaps display low-frequency variations, have similar frequency domain representations as potentials and are generally correlated with them. Potentials have important business cycle variability. Existing statistical appro…
A Composite Likelihood Approach for Dynamic Structural Models
We explain how to use the composite likelihood function to ameliorate estimation, computational and inferential problems in dynamic stochastic general equilibrium models. We combine the information present in different models or data sets to estimate the parameters common across models. We provide intuition for why the methodology works and alternative interpretations of the estimators we construct and of the statistics we employ. We present a nu…
The Ins and Outs of Unemployment
Article first published online on October 10, 2012
The Structural Dynamics of Output Growth and Inflation
We examine the dynamics of output growth and inflation in the US, Euro area and UK using a structural time varying coefficient VAR. There are important similarities in structural inflation dynamics across countries; output growth dynamics differ. Swings in the magnitude of inflation and output growth volatilities and persistences are accounted for by a combination of three structural shocks. Changes over time in the structure of the economy are l…
Price Differentials in Monetary Unions
We study the effect of regional expenditure and revenue shocks on price differentials for 47 US states and 9 EU countries. We identify shocks using sign restrictions on the dynamics of expenditures, revenues, deficits and output and construct two estimates for structural price differentials dynamics, one for the average and one for each unit, which optimally weight information contained in the data for all units. On average, expansionary fiscal d…
Inequality and convergence in Europe's regions
Europe's regions Income disparities and regional policies In this paper we take a critical look at current European regional policies. First, we document the motivation for such policies, that is, the large income disparities across the regions of the EU15. Large disparities are certainly present. Second, we illustrate the various instruments adopted and discuss their underpinnings in established economic theories. Next, we look at available data…
Does Detrending Matter For the Determination of the Reference Cycle and the Selection of Turning Points
Journal Article Does Detrending Matter For the Determination of the Reference Cycle and the Selection of Turning Points? Get access Fabio Canova Fabio Canova Universitat Pompeu Fabra; Universita' di Modena; University of Southampton and CEPR Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 109, Issue 452, 1 January 1999, Pages 126–150, https://doi.org/10.1111/1468-0297.00395 Published: 25 Decem…
Are Seasonal Patterns Constant Over Time? A Test for Seasonal Stability
This paper describes two tests which are able to distinguish deterministic forms of seasonality from non-stationary seasonal fluctuations. The first one tests for time variations in the deviations of seasonal dummies from an overall mean. The second for time variations in the seasonal dummies at each sea sonal frequency. The asymptotic distribution of the tests is derived under weak assumptions which allow for a wide variety of weakly dependent n…
An Alternative Approach to Modeling and Forecasting Seasonal Time Series
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 into the prior of the coefficients of the model by means of a set of uncertain linear restrictions. As an illustration, the method is applied to 10 U.S. quarterly macroeconomic series. For each series, I compare the forecasting…
An Empirical Analysis of Ex Ante Profits from Forward Speculation in Foreign Exchange Markets
This paper constructs a time-series band for ex ante profits from forward speculation and examines the permanent components of the median of the band for six different exchange markets. The unpredictability of ex ante profits is rejected using nonparametric tests. Deviations of ex ante profits from forward premia are attributed to deviations of nominal exchange rates from martingale processes. It is shown that movements in the terms of trade are …
Price Differentials in Monetary Unions
We study the effect of regional expenditure and revenue shocks on price differentials for 47 US states and 9 EU countries. We identify shocks using sign restrictions on the dynamics of expenditures, revenues, deficits and output and construct two estimates for structural price differentials dynamics, one for the average and one for each unit, which optimally weight information contained in the data for all units. On average, expansionary fiscal d…
Does Detrending Matter For the Determination of the Reference Cycle and the Selection of Turning Points
Journal Article Does Detrending Matter For the Determination of the Reference Cycle and the Selection of Turning Points? Get access Fabio Canova Fabio Canova Universitat Pompeu Fabra; Universita' di Modena; University of Southampton and CEPR Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 109, Issue 452, 1 January 1999, Pages 126–150, https://doi.org/10.1111/1468-0297.00395 Published: 25 Decem…
The Ins and Outs of Unemployment
Article first published online on October 10, 2012
The Structural Dynamics of Output Growth and Inflation
We examine the dynamics of output growth and inflation in the US, Euro area and UK using a structural time varying coefficient VAR. There are important similarities in structural inflation dynamics across countries; output growth dynamics differ. Swings in the magnitude of inflation and output growth volatilities and persistences are accounted for by a combination of three structural shocks. Changes over time in the structure of the economy are l…
An Empirical Analysis of Ex Ante Profits from Forward Speculation in Foreign Exchange Markets
This paper constructs a time-series band for ex ante profits from forward speculation and examines the permanent components of the median of the band for six different exchange markets. The unpredictability of ex ante profits is rejected using nonparametric tests. Deviations of ex ante profits from forward premia are attributed to deviations of nominal exchange rates from martingale processes. It is shown that movements in the terms of trade are …
An Alternative Approach to Modeling and Forecasting Seasonal Time Series
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 into the prior of the coefficients of the model by means of a set of uncertain linear restrictions. As an illustration, the method is applied to 10 U.S. quarterly macroeconomic series. For each series, I compare the forecasting…
Are Seasonal Patterns Constant Over Time? A Test for Seasonal Stability
This paper describes two tests which are able to distinguish deterministic forms of seasonality from non-stationary seasonal fluctuations. The first one tests for time variations in the deviations of seasonal dummies from an overall mean. The second for time variations in the seasonal dummies at each sea sonal frequency. The asymptotic distribution of the tests is derived under weak assumptions which allow for a wide variety of weakly dependent n…
Does Detrending Matter For the Determination of the Reference Cycle and the Selection of Turning Points
Journal Article Does Detrending Matter For the Determination of the Reference Cycle and the Selection of Turning Points? Get access Fabio Canova Fabio Canova Universitat Pompeu Fabra; Universita' di Modena; University of Southampton and CEPR Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 109, Issue 452, 1 January 1999, Pages 126–150, https://doi.org/10.1111/1468-0297.00395 Published: 25 Decem…
Inequality and convergence in Europe's regions
Europe's regions Income disparities and regional policies In this paper we take a critical look at current European regional policies. First, we document the motivation for such policies, that is, the large income disparities across the regions of the EU15. Large disparities are certainly present. Second, we illustrate the various instruments adopted and discuss their underpinnings in established economic theories. Next, we look at available data…
The Structural Dynamics of Output Growth and Inflation
We examine the dynamics of output growth and inflation in the US, Euro area and UK using a structural time varying coefficient VAR. There are important similarities in structural inflation dynamics across countries; output growth dynamics differ. Swings in the magnitude of inflation and output growth volatilities and persistences are accounted for by a combination of three structural shocks. Changes over time in the structure of the economy are l…
Price Differentials in Monetary Unions
We study the effect of regional expenditure and revenue shocks on price differentials for 47 US states and 9 EU countries. We identify shocks using sign restrictions on the dynamics of expenditures, revenues, deficits and output and construct two estimates for structural price differentials dynamics, one for the average and one for each unit, which optimally weight information contained in the data for all units. On average, expansionary fiscal d…
The Ins and Outs of Unemployment
Article first published online on October 10, 2012
A Composite Likelihood Approach for Dynamic Structural Models
We explain how to use the composite likelihood function to ameliorate estimation, computational and inferential problems in dynamic stochastic general equilibrium models. We combine the information present in different models or data sets to estimate the parameters common across models. We provide intuition for why the methodology works and alternative interpretations of the estimators we construct and of the statistics we employ. We present a nu…
Should we trust cross‐sectional multiplier estimates
I examine the properties of cross‐sectional estimators of multipliers, elasticities, or pass‐throughs when a conventional spatial macroeconomic specification generates the data. A number of important biases plague standard estimates; the most relevant one occurs when the units display heterogeneous dynamics. Methods that work well in this situation are suggested. An experimental setting shows the magnitude of the biases cross‐sectional estimators…
Faq
I investigate the properties of output gaps in New Keynesian dynamic stochastic general equilibrium models and study the relationship between theory-based quantities and the estimates obtained with standard approaches. Theoretical gaps display low-frequency variations, have similar frequency domain representations as potentials and are generally correlated with them. Potentials have important business cycle variability. Existing statistical appro…
Economics (10 works) · Monetary Policy and Economic Impact (8 works) · Mathematics (7 works) · Computer Science (6 works) · Econometrics (6 works) · Financial Risk and Volatility Modeling (5 works) · Macroeconomics (5 works) · Statistics (4 works) · Monetary economics (3 works) · Complex Systems and Time Series Analysis (2 works)