Blar i Scientific articles på forfatter "Canova, Fabio"

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    • A Composite Likelihood Approach for Dynamic Structural Models 

      Canova, Fabio; Matthes, Christian (Peer reviewed; Journal article, 2021)
      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 ...

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

      Canova, Fabio; Ferroni, Filippo; Matthes, Christian (Journal article; Peer reviewed, 2020)
      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 ...

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

      Altavilla, Carlo; Canova, Fabio; Ciccarelli, Matteo (Journal article; Peer reviewed, 2019)
      We analyse the pass-through of monetary policy measures to lending rates to households and firms in the euro area using novel bank-level datasets. Banks’ characteristics such as the capital ratio, exposure to domestic ...

    • Mind the gap: stylized dynamic facts and structrual models 

      Canova, Fabio; Ferroni, Filippo (Research report, 2022)
      We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but q1 < q variables are used in an empirical model. Identified shocks are linear combinations ...

    • Mind the gap: Stylized dynamic facts and structural models 

      Canova, Fabio; Ferroni, Filippo (Peer reviewed; Journal article, 2022)
      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 ...