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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 ...
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 ...
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. ...
An Alternative View of the US Price-Dividend Ratio Dynamics
(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 ...