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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 ...
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. ...
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 ...
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 ...