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Cyclical Features of Uzawa-Lucas Endogenous Growth Model
(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 ...
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 ...
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 ...
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 ...
Is there a Phillips Curve in the US and the EU15 Countries? An empirical investigation
(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 ...