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Now showing items 11-20 of 32
Does the Term Spread play a role in the FED's reaction function? An Empirical Investigation
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2004)
Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of a Fed’s reaction function (FRF) that (i) allows for the presence of switching regimes, (ii) considers the
long-short term ...
The Comovement between Monetary and Fiscal Policy Instruments during the Post-War Period in the U.S.
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2008-04)
This paper empirically studies the dynamic relationship between monetary and fiscal policies by analyzing the comovements between the Fed funds rate and the primary deficit/output ratio. Simple economic thinking establishes ...
Optimal Monetary Policy with Asymmetric Preferences for Output
(2012-11-15)
Using a model of an optimizing monetary authority which has preferences
that weigh inflation and unemployment, Ruge-Murcia (2003, 2004) finds empirical
evidence that the authority has asymmetric preferences for ...
The Effect of Data Revisions on the Basic New Keynesian Model
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2012)
This paper proposes an extended version of the basic New Keynesian monetary (NKM) model which contemplates revision processes of output and inflation data in order to assess the importance of data revisions on the estimated ...
Explosive Hyperinflation, Inflation Tax Laffer Curve and Modelling the use of Money
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-07)
This paper analyzes the existence of an inflation tax Laffer curve (ITLC) in the context of two standard optimizing monetary models: a cash-in-advance model and a money in the utility function model. Agents’ preferences ...
Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-04)
This paper considers the basic present value model of interest rates under rational expectations with two additional features. First, following McCallum (1994), the model assumes a policy reaction function where changes ...
The changing behaviour of the term structure of post-war US
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-07)
Using U.S. interest rate data covering the period 1950:1-1992:7, this paper tests the rational expectations model of the term structure of interest rates. We show evidence that the rational expectations model of the term ...
Data Revisions in the Estimation of DSGE Models
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2012)
Revisions of US macroeconomic data are not white-noise. They are persistent, correlated
with real-time data, and with high variability (around 80% of volatility observed in US real-time
data). Their business cycle effects ...
An Estimated New-Keynesian Model with Unemployment as Excess Supply of Labor
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2012)
Wage stickiness is incorporated to a New-Keynesian model with variable capital to drive endogenous unemployment uctuations de ned as the log di¤erence between aggregate labor supply and aggregate labor demand. We estimated ...
Time Variation in an Optimal Asymmetric Preference Monetary Policy Model
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2012)
This paper considers a time varying parameter extension of the Ruge-Murcia (2003, 2004) model to explore whether some of the variation in parameter estimates seen in the literature could arise from this source. A time ...