SDA Bocconi School of Management


SDA Bocconi School of Management

Curriculum Vitae

SDA Professor of Banking and Insurance

Degree in Economics and Social Disciplines, Bocconi University, 1985
Ph.D. in Economics, Oxford University, St. Antony''s College, 1989

Academic position and/or Professional activities

Full Professor of Economics, Financial Markets and Institutions, Bocconi University
Head of the Department of Finance, Bocconi University (2013)
President of the Innocenzo Gasparini Institute for Economic Research (2011)
Fellow of the Centre for Economic Policy Research, programme in International Macroeconomics (1997)


Research Interests

  • Econometric modelling of bond and stock prices
  • Applied econometrics
  • Monetary and fiscal policy 
  • Time-series models for macroeconomics and finance



  • The Econometrics of Monetary Policy. An overview” (forthcoming), T.C. Mills and K. Patterson Palgrave Handbook of Econometrics: Volume 2 Applied Econometrics
  • “Monetary Policy, Fiscal Policies and Labour Markets : Macroeconomic Policy Making in the EMU” with R. Beetsma, A. Missale, A. Muscatelli, P. Natale and P. Tirelli, Cambridge University Press (2003)
  • “Applied Macroeconometrics”, Oxford University Press, (2001)


  • ALESINA A., FAVERO C.A. and F.GIAVAZZI (forthcoming)  The Output Effect of Fiscal Stabilization Plans Journal of International Economics  
  • FAVERO C.A. and E.BISETTI(forthcoming) The Impact of Longevity Risk On Pensions Systems. The Case of Italy, North American Actuarial Journal
  • FAVERO C.A.( 2013) Modelling and forecasting government bond spreads in the euro area: a GVAR model, Journal of Econometrics, vol. 177, issue 2, pages 343-356 
  • DE SANTIS R., FAVERO C.A. and B. ROFFIA (2013) Euro Area Money Demand and International Portfolio Allocation (2013)  Journal of International Money and Finance 32, 377-404
  • FAVERO C.A., A.MISSALE (2012) Sovereign spreads in the Euro Area: Which Prospects for a Eurobond? Economic Policy, 70, 231-273, Blackwell
  • FAVERO C.A., J. LI and F.ORTU (2012) A Spectral Estimation of Tempered Stochastic Volatility Models and Option Pricing, Computational Statistics and Data Analysis, Vol 56, Issue 11, Pages 3645–3658
  • FAVERO C.A. and F.GIAVAZZI (2012) Reconciling VAR based and Narrative Measures of the Tax Multiplier, American Economic Journal: Economic Policy 4(2): 1–28,
  • FAVERO C.A., N.LIU and L.SALA (2012) Term Structure Forecasting: No-Arbitrage Restrictions vs. Large Information Set,  JOURNAL OF FORECASTING vol. 31(2), pages 124-156, J.Wiley and Sons
  • C.A. Favero, A.E. Gozluklu, A. Tamoni, (2011) Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns, Vol. 46, Issue 5, pp. 1493-1520
  • C.A. Favero, M.Pagano, E.L. Von Thadden (2010), How Does Liquidity Affect Government Bond Yields?, Journal of Financial and Quantitative Analysis, Vol. 45, No. 1, pp. 107-134
  • Consolo A., Favero C.A. (2009), Monetary Policy Inertia, More a fiction than a Fact ?, Journal of Monetary Economics, 56, 900-906
  • Consolo A., Favero C.A., Paccagnini A. (2009). The Statistical Identification of DSGE Models. JOURNAL OF ECONOMETRICS pp.99- 115
  • C.A. Favero, F.Giavazzi (2008). Should the euro area be run as a closed economy? THE AMERICAN ECONOMIC REVIEW, pp.1- 8 Vol.98
  • C. FAVERO (2007). Valuing Ecosystem Services as Productive Inputs: Discussion. ECONOMIC POLICY, pp.213- 215 Vol. 49
  • DIEBOLD F.X.; ENGLE R.F.; C. FAVERO; GALLO G.M (2006). "The econometrics of macroeconomics, finance, and the interface,". JOURNAL OF ECONOMETRICS, pp.1- 2 Vol.127
  • CARRIERO A; C. FAVERO; I.KAMINSKA (2006). Financial Factors Macroeconomic Information and the Expectations Theory of the Term Strucutre of Interest Rates. JOURNAL OF ECONOMETRICS, pp.339- 358 Vol.127
  • C. FAVERO (2006). Improving Fiscal Policy in the EU: The Case for Independent Forecasts: Discussion. ECONOMIC POLICY, pp.529- 531 Vol.47
  • C. FAVERO (2006). International Competition in Corporate Taxation: Evidence from OECD Time-Series. Discussion. ECONOMIC POLICY, pp.197- 199 Vol.45
  • C. FAVERO (2006). Taylor Rules and the Term Structure. JOURNAL OF MONETARY ECONOMICS, pp.1377- 1393 Vol.53
  • C. FAVERO (2005). Deflation and Monetary Policy in a Historical Perspective: remembering the past or being condemned to repeat it? Discussion. ECONOMIC POLICY, pp.838- 839 Vol.44
  • BONFIGLIOLI A., C. FAVERO (2005). Explaining Co-movements Between Stock Markets: the case of US and Germany. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, pp.1299- 1316 Vol.78
  • AIOLFI M., C. FAVERO (2005). Model Uncertainty, Thick Modelling and the Predictability of Stock Returns. JOURNAL OF FORECASTING, pp.233- 254 Vol.24
  • FAVERO C., MARCELLINO M.2005).Modelling and Forecasting Fiscal Variables for the Euro Area. OXFORD BULLETIN OF ECONOMICS AND STATISTICS, pp.755- 783 Vol.67
  • C. FAVERO; MILANI F. (2005). Parameter Instability, Model Uncertainty and the Choice of Monetary Policy. TOPICS IN MACROECONOMICS, Vol. 5
  • FAVERO C.; MARCELLINO M., NEGLIA F. (2005). Principal components at work: the empirical analysis of monetary policy with large datasets. JOURNAL OF APPLIED ECONOMETRICS, pp.603- 620 Vol.20
  • C. FAVERO (2004). Comments on ‘‘Fiscal and monetary policy interactions: Empirical evidence on optimal policy using a structural new-Keynesian model’’. JOURNAL OF MACROECONOMICS, pp.2001- 2005 Vol. 26
  • C. FAVERO; GIAVAZZI F. (2003). Is the International propagation of financial shocks non-linear?: Evidence from the ERM Crisis. JOURNAL OF INTERNATIONAL ECONOMICS, pp.231- 247 Vol.57
  • C. FAVERO; ROVELLI R (2003). Macroeconomic stability and the preferences of the Fed. A formal analysis, 1961-98. JOURNAL OF MONEY, CREDIT, AND BANKING, pp.545- 557 Vol. 35
  • CODOGNO L.; C. FAVERO; A.MISSALE (2003). Yield Spreads on EMU government Bonds. ECONOMIC POLICY, pp.503- 533 Vol.37
  • FAVERO C.A.; F. GIAVAZZI (2002). Is the International propagation of financial shocks non-linear?: Evidence from the ERM Crisis. JOURNAL OF INTERNATIONAL ECONOMICS, pp.231- 246 Vol. 57
  • C. FAVERO; MOSCA F. (2001). Uncertainty on monetary policy and the expectations model of the term structure of interes rates. ECONOMICS LETTERS, pp.369- 375 Vol. 71


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