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Now showing items 11-20 of 25
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 ...
On the Informational Role of Term Structure in the U.S. Monetary Policy Rule
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2010-01)
This paper uses a structural approach based on the indirect inference principle to estimate a standard version of the new Keynesian monetary (NKM) model augmented with term structure using both revised and real-time data. ...
Unions, Monetary Shocks and the Labour Market Cycle
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2010-02)
This paper provides a new growth model by considering strategic behaviour in the supply of labour. Workers form a labour union with the aim of manipulating wages in their own benefit. We analyse the implications on labor ...
Employment comovements at the sectoral level over the business cycle
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2009-12)
This paper extends the technique suggested by den Haan (2000) to investigate contemporaneous as well as lead and lag correlations among economic data for a range of forecast horizons. The technique provides a richer picture ...
Switching Equilibria: The Present Value Model for Stock Prices Revisited
(2002-07)
This paper analyzes the different dynamic features displayed by alternative RE equilibria and how these features change for small perturbations of the dividend process parameters. Using historical US data and structural ...
The Importance of Stock Market Returns in Estimated Monetary Policy Rules: a Structural Approach
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2006)
This paper estimates a standard version of the New Keynesian Monetary (NKM) model augmented with financial variables in order to analyze the relative importance of stock market returns and term spread in the estimated U.S. ...
The role of the term spread in an augmented Taylor rule: An empirical investigation
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2003-04)
Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of an augmented version of the Taylor rule (ATR) that (i) allows for the presence of switching regimes, (ii) considers the ...
Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-08)
Farmer (1991) suggests that in a model in which there are multiple rational expectations (RE) equilibria agents may find it useful to coordinate their expectations in a unique RE equilibrium which is
immune to the Lucas ...
Trend analysis in two standard growth models
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-07)
This paper analyzes the trend processes characterized by two standard growth models using simple econometrics. The first model is the basic neoclassical growth model that postulates a deterministic trend for output. The ...