Now showing items 1-20 of 25

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      An Alternative View of the US Price-Dividend Ratio Dynamics 

      Londoño Yarce, Juan Miguel; Regúlez Castillo, Marta; Vázquez Pérez, Jesús (2014-12)
      As a necessary condition for the validity of the present value model, the price-dividend ratio must be stationary. However, significant market episodes seem to provide evidence of prices significantly drifting apart from ...
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      An Estimated New-Keynesian Model with Unemployment as Excess Supply of Labor 

      Casares, Miguel; Moreno, Antonio; Vázquez Pérez, Jesús (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 ...
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      Cyclical Features of Uzawa-Lucas Endogenous Growth Model 

      Restrepo Ochoa, Sergio I.; Vázquez Pérez, Jesús (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-07)
      This paper analyzes the cyclical properties of a generalized version of Uzawa-Lucas endogenous growth model. We study the dynamic features of different cyclical components of this model characterized by a variety of ...
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      Data Revisions in the Estimation of DSGE Models 

      Casares, Miguel; Vázquez Pérez, Jesús (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 ...
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      Does the Term Spread play a role in the FED's reaction function? An Empirical Investigation 

      Vázquez Pérez, Jesús (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 ...
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      Employment comovements at the sectoral level over the business cycle 

      Cassou, Steven P.; Vázquez Pérez, Jesús (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 ...
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      Explosive Hyperinflation, Inflation Tax Laffer Curve and Modelling the use of Money 

      Gutiérrez Huerta, María José; Vázquez Pérez, Jesús (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 ...
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      How Does the New Keynesian Monetary Model Fit in the U.S. and the Eurozone? an Indirect Inference Approach 

      María-Dolores, Ramón; Vázquez Pérez, Jesús (University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-05)
      This paper estimates a standard version of the New Keynesian monetary (NKM) model under alternative specifications of the monetary policy rule using U.S. and Eurozone data. The estimation procedure implemented is a classical ...
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      Is there a Phillips Curve in the US and the EU15 Countries? An empirical investigation 

      Vázquez Pérez, Jesús (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-08)
      This paper studies the comovement between output and inflation in the EU15 countries. Following den Haan (2000), I use the correlations of VAR forecast errors at different horizons in order to analyze the output-inflation ...
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      Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates 

      Gutiérrez Huerta, María José; Vázquez Pérez, Jesús (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 ...
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      New Keynesian Model Features that Can Reproduce Lead, Lag and Persistence Patterns 

      Cassou, Steven P.; Vázquez Pérez, Jesús (University of the Basque Country, Department of Foundations of Economic Analysis II, 2010-04)
      This paper uses a new method for describing dynamic comovement and persistence in economic time series which builds on the contemporaneous forecast error method developed in den Haan (2000). This data description method ...
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      On the Informational Role of Term Structure in the U.S. Monetary Policy Rule 

      Vázquez Pérez, Jesús; María-Dolores, Ramón; Londoño Yarce, Juan Miguel (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. ...
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      Optimal Monetary Policy with Asymmetric Preferences for Output 

      Cassou, Steven P.; Scott, Patrick; Vázquez Pérez, Jesús (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 ...
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      Switching Equilibria: The Present Value Model for Stock Prices Revisited 

      Gutiérrez Huerta, María José; Vázquez Pérez, Jesús (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 ...
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      Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium? 

      Vázquez Pérez, Jesús (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 ...
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      Term Structure and the Estimated Monetary Policy Rule in the Eurozone 

      María-Dolores, Ramón; Vázquez Pérez, Jesús (University of the Basque Country, Department of Foundations of Economic Analysis II, 2008)
      In this paper we estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure in order to analyze two issues. First, we analyze the effect of introducing an explicit term structure ...
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      The changing behaviour of the term structure of post-war US 

      Gutiérrez Huerta, María José; Vázquez Pérez, Jesús (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 ...
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      The Comovement between Monetary and Fiscal Policy Instruments during the Post-War Period in the U.S. 

      Vázquez Pérez, Jesús (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 ...
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      The Effect of Data Revisions on the Basic New Keynesian Model 

      Vázquez Pérez, Jesús; María-Dolores, Ramón; Londoño Yarce, Juan Miguel (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 ...
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      The Importance of Stock Market Returns in Estimated Monetary Policy Rules: a Structural Approach 

      Vázquez Pérez, Jesús (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. ...