Born January 5th, 1962. Degree in Economics and Social Sciences from Universita Bocconi. MSc in Economics from the London School of Economics. DPhil in Economics from the University of Oxford.
Deutsche Bank Chair in Quantitative Finance and Asset Pricing
The Deutsche Bank Chair in Quantitative Finance and Asset Pricing has been formally launched at Bocconi University in September 2010. Its purpose is to support research dedicated to econometric modeling of asset prices.The view informing our research program is thatfinancial returns are determined by a permanent "information" component and by a temporary "noise" component. The noise component dominates the data over the short-run, while the information component emerges in long-horizon returns. As a consequence, over the short-run there is no predictability of returns and quantitative modeling concentrates on concepts like volatility, contagion, non-normality. In the long-run predictability emerges as a reflection of the role of fundamentals. Econometric modeling when information matters and predictability emerges is naturally implemented within a multidisciplinary approach. In fact, interdisciplinary research carried out at the interface between finance, economics, and demography generates the relevant empirical models to study returns predictability, long-run risk, longevity risk.
The Chair is also committed to excellence in teaching and to bring new developments to the classroom (the MATLAB project at the Department of Finance has developed a local MATLAB library of routines for the use of graduate students and researchers and introduced a new framework for teaching applied quantitative finance), in particular in the framework of the BocconiMaster program in Finance and the PhD program in Economics and Finance.
The Chair will organize a regular annual conference with the purpose of bringing together researchers, practitioners and institutions playing a leading role in the topics of our main focus.
Carlo Favero holds a D.Phil. from Oxford University, where he was a member of the Oxford Econometrics Research Centre. He has been professor of Econometrics at Bocconi University from 1994 to 2001 and professor of Economics since 2002. In 2009 he joined the newly formed Dept of Finance at Bocconi University, where he teaches Financial Econometrics. He has published in scholarly journals on the econometric modelling of bond and stock prices, applied econometrics, monetary policy and time-series models for macroeconomics and finance. He is a research fellow of CEPR in the International Macroeconomics programme. He is director of the Innocenzo Gasparini Institutte for the Economic Research at Bocconi University and a member of the scientific committee of the Centro Interuniversitario Italiano di Econometria (CIDE). He has been advisor to the Italian Ministry of Treasury for the construction of an econometric model of the Italian economy. He has been consulting the European Commission, the World Bank and the European Central Bank, on monetary policy and the monetary transmission mechanism and bond markets.
econometric modelling of bond and stock prices, applied econometrics, monetary policy and time-series models for macroeconomics and finance.
FAVERO C.A., A.GOZLUKLU and A.TAMONI (forthcoming) Demographic Trends, the Dividend/Price Ratio and the Predictability of Long-Run Stock Market Returns, JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
FAVERO C.A., N.LIU and L.SALA (forthcoming) Term Structure Forecasting: No-Arbitrage Restrictions vs. Large Information Set, JOURNAL OF FORECASTING
FAVERO C.A., M.PAGANO and E.L. VON THADDEN (2010) How Does Liquidity affect Bond Yields?, JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, forthcoming,
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., A. PACCAGNINI (2009).The Statistical Identification of DSGE Models. JOURNAL OF ECONOMETRICS pp.99- 115
FAVERO C.A., F.GIAVAZZI(2008).Should the euro area be run as a closed economy ?, THE AMERICAN ECONOMIC REVIEW, Papers and Proceedings pp.1- 8.Vol.98,
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- 358Vol.127,
C. FAVERO(2006).Taylor Rules and the Term Structure.JOURNAL OF MONETARY ECONOMICS,pp.1377- 1393 Vol.53,
AIOLFI M., C.A. FAVERO (2005)Model Uncertainty, Thick Modelling and the Predictability of Stock Returns, JOURNAL OF FORECASTING
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- 1316Vol.78,
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; 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- 557Vol.35,
CODOGNO L.; C. FAVERO; A.MISSALE(2003).Yield Spreads on EMU government Bonds.ECONOMIC POLICY,pp.503- 533Vol.37,