Browsing BI Open by Author "Canova, Fabio"
Now showing items 1-13 of 13
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A composite likelihood approach for dynamic structural models
Canova, Fabio; Matthes, Christian (CAMP Working Paper Series Paper No. 10/2018;, Working paper, 2018-10-08)We describe how to use the composite likelihood to ameliorate estimation, computational, and inferential problems in dynamic stochastic general equilibrium models. We present a number of situations where the methodology ... -
Approximating time varying structural models with time invariant structures
Canova, Fabio; Ferroni, Filippo; Matthes, Christian (CAMP Working Paper Series;1/2016, Working paper, 2016)The paper studies how parameter variation affects the decision rules of a DSGE model and structural inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. ... -
Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Non-Fundamentalness
Canova, Fabio; Sahneh, Mehdi Hamidi (CAMP Working Paper Series;2/2016, Working paper, 2016)Non-fundamentalness arises when observables do not contain enough information to recover the vector of structural shocks. Using Granger causality tests, the literature suggested that many small scale VAR models are ... -
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 ... -
Dealing with misspecification in structural macroeconometric models
Canova, Fabio; Matthes, Christian (Journal article; Peer reviewed, 2021)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 ... -
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 ... -
FAQ: how do I estimate the output gap?
Canova, Fabio (Journal article; Peer reviewed, 2024)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. ... -
Mending the broken link: heterogeneous bank lending and monetary policy pass-through
Altavilla, Carlo; Canova, Fabio; Ciccarelli, Matteo (CAMP Working Paper Series;9/2016, Working paper, 2016)We analyze the pass-through of monetary policy measures to lending rates to fi rms and households in the euro area using a novel bank-level dataset. Banks characteristics such as the capital ratio, the exposure to sovereign ... -
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 structural models.
Canova, Fabio; Ferroni, Filippo (CAMP Working Paper Series;13/2018, Working paper, 2018-12-11)We study what happens to identified shocks and to dynamic responses when the structural model features q disturbances and m endogenous variables, q ≤ m, but only m1 < q variables are used in the empirical model. Identified ... -
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 ... -
Should we trust cross sectional multiplier estimates?
Canova, Fabio (Journal article; Peer reviewed, 2024)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 ...