Fabio Canova

Canova, Fabio & Matthes, Christian (2021)

Dealing with misspecification in structural macroeconometric models

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

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

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 - Full text in research archive

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.