Fabio Canova

BI Norwegian Business School
Department of Economics
Nydalsveien 37
0402 Oslo Norway

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Universitat Pompeu Fabra

NBER Working Papers and Publications

September 2006Does it Cost to be Virtuous? The Macroeconomic Effects of Fiscal Constraints
with Evi Pappa
in NBER International Seminar on Macroeconomics 2004, Richard H. Clarida, Jeffrey Frankel, Francesco Giavazzi and Kenneth D. West, editors
January 2005Does it Cost to be Virtuous? The Macroeconomic Effects of Fiscal Constraints
with Evi Pappa: w11065
We study whether and how fiscal restrictions alter the business cycle features of macrovariables for a sample of 48 US states. We also examine the "typical" transmission properties of fiscal disturbances and the implied fiscal rules of states with different fiscal restrictions. Fiscal constraints are characterized with a number of indicators. There are similarities in second moments of macrovariables and in the transmission properties of fiscal shocks across states with different fiscal constraints. The cyclical response of expenditure differs in size and sometimes in sign, but heterogeneity within groups makes point estimates statistically insignificant. Creative budget accounting is responsible for the pattern. Implications for the design of fiscal rules and the reform of the Stability a...

Published: Canova, Fabio and Evi Pappa. "The Elusive Costs And The Immaterial Gains Of Fiscal Constraints," Journal of Public Economics, 2006, v90(8-9,Sep), 1391-1414.

August 1988On Time-Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market
with Takatoshi Ito: w2678
The purpose of this paper is to characterize the changes in risk premium in the 1980s. A five-variable vector autoregressive model (VAR) is constructed to calculate a risk premium series in the foreign exchange market. The risk premium series is volatile and time-varying. The hypothesis of no risk premium is strongly rejected for the entire sample and each of the two subsamples considered. Various tests using the constructed risk premium series suggest that a risk premium existed but it was neither constant nor stable over subsamples and that its volatility was considerably reduced after October 1982.

Published: "The Time-Series Properties of the Risk Premium in the Yen/Dollar Exchange Market." From Journal of Applied Econometrics, Vol. 6, pp. 125-142, (1991) .

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