Carlo Favero

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Carlo Favero
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D.Phil. from Oxford University, member of the Oxford Econometrics Research Centre. 
Professor of econometrics at Bocconi University from 1994 to 2001, and professor of economics since 2002. Teaching econometrics at Bocconi's Department of Finance since 2009.
Research fellow of CEPR in the International Macroeconomics programme. 
Fellow of the Innocenzo Gasparini Institute for the Economic Research at Bocconi University, and a member of the scientific committee of the Centro Interuniversitario Italiano di Econometria (CIDE).
Advisor to the Italian Ministry of Treasury for the construction of an econometric model of the Italian economy. 
Consultant to the European Commission, the World Bank and the European Central Bank, on monetary policy and the monetary transmission mechanism and bond markets.

Monetary Policy

How to Interpret Sovereign Bond Market Reaction to France Snap Elections
2024

The European Sovereign Bond market gyrations erupted in the wake of President Emmanuel Macron’s call for a snap parliamentary vote after his party’s defeat to Marine Le Pen’s National Rally in the European elections have sparked a debate on the opportunity of an activation of the Transmission Protection Mechanism (TPI). 
 

Monetary Policy in the COVID Era and Beyond: the FED vs the ECB
2023

Federal Reserve monetary policy has been more expansionary than the one predicted by the rule until the second quarter of 2022, then this tendency was reversed.  The evidence is very different for the case of the Euro area, where the observed policy rates are consistently below those predicted by the model and fluctuate outside the range compatible with the model-related uncertainty.

Term Premia for the Euro Area and the Transmission Mechanism of Monetary Policy
2023

Given the common monetary policy in Europe, term premia on bonds issued by different countries are an immediate gauge of the heterogeneity in the transmission mechanism of monetary policy in Europe and of the need for intervention to protect the Euro area against it.

Measuring Term Premia for the Euro Area - Updated Version
2023

The dynamics of nominal government bond yields at different maturities play a central role in shaping the response of the real economy to monetary and fiscal policy interventions. Yields can be decomposed into two unobservable components: the sequence of expected one-period rates and the term-premia.

The ECB and the TPI: How to Measure the Fragmentation Risk in the Eurozone Sovereign Bond Market
2023

We use the pricing mechanism of perpetual loans by our proposed European Debt Agency to determine a dynamic yield corridor that captures idiosyncratic risk and filters liquidity risk.

European Policies

Monetary Policy in the COVID Era and Beyond: the FED vs the ECB
2023

Federal Reserve monetary policy has been more expansionary than the one predicted by the rule until the second quarter of 2022, then this tendency was reversed.  The evidence is very different for the case of the Euro area, where the observed policy rates are consistently below those predicted by the model and fluctuate outside the range compatible with the model-related uncertainty.

Italy&Europe

Term Premia for the Euro Area and the Transmission Mechanism of Monetary Policy
2023

Given the common monetary policy in Europe, term premia on bonds issued by different countries are an immediate gauge of the heterogeneity in the transmission mechanism of monetary policy in Europe and of the need for intervention to protect the Euro area against it.

Public presentations

Monetary Policy and Financial Stability
23/02/2024 - 23/02/2024
Aula Manfredini

A lecture by Isabel Schnabel, Member of the Executive Board, European Central Bank, who will speak about "Has the fight against inflation been won?"

wEUbinars

Fragmentation in the European Government Bond Market: The Risk of Mis-Pricing
30/01/2024 - 30/01/2024
WEBINAR

The TPI is de facto a commitment of the ECB to intervene in markets to curb yields that are not justified by the fundamentals or countries’ fiscal profligacy. However, the TPI lacks of precision in determining which yields are justified and which are not. 

With Maria Cannata (Mts Chairwoman), Carlo Favero (IEP@BU Fellow), and Stefano Feltri (IEP@BU communication advisor)