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The authors analyze the welfare implications of simple monetary policy rules in the context of an estimated model of a small open economy for Canada with traded and non-traded goods, and with sticky prices and wages. They find... more
The authors analyze the welfare implications of simple monetary policy rules in the context of an estimated model of a small open economy for Canada with traded and non-traded goods, and with sticky prices and wages. They find statistically significant heterogeneity in the degree of price rigidity across sectors. They also find welfare gains in targeting only the non-traded-goods inflation, since prices are found to be more sticky in this production sector, but those gains come at the cost of substantially increased aggregate volatility. The authors look for the welfare-maximizing specification of an interest rate reaction function that allows for a specific price-level target. They find, however, that, overall, the higher welfare is achieved, given the estimated model for the Canadian economy, with a strict inflation-targeting rule where the central bank reacts to the next period's expected deviation from the inflation target and does not target the output gap.
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Los modelos macroeconométricos globales pueden ser un potente instrumento de análisis económico y de previsión ante distintos escenarios que se quieran considerar. En este trabajo hemos realizado un análisis del modelo NiGEM y de su... more
Los modelos macroeconométricos globales pueden ser un potente instrumento de análisis económico y de previsión ante distintos escenarios que se quieran considerar. En este trabajo hemos realizado un análisis del modelo NiGEM y de su aplicación en el contexto de la Unión Monetaria, con especial énfasis en el estudio de la situación relativa de las economías de los países miembros. Los resultados del estudio muestran que NiGEM permite diferentes reacciones de las economías europeas ante variaciones comunes del tipo de cambio y el tipo de interés, debido a sus diferentes estructuras económicas. A pesar del interés que pueden revestir este tipo de resultados, se ha constatado que el diseño y evaluación de perturbaciones en NiGEM requieren un alto nivel de cautela para que pueda constituir un instrumento fiable y útil
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ABSTRACT We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis in the most recent recession. A panel Bayesian VAR model including real and financial variables... more
ABSTRACT We investigate heterogeneity and spillovers in macro-financial linkages across developed economies, with a particular emphasis in the most recent recession. A panel Bayesian VAR model including real and financial variables identifies a statistically significant common component, which turns out to be very significant during the most recent recession. Nevertheless, countryspecific factors remain important, which explains the heterogeneous behaviour across countries observed over time. Moreover, spillovers across countries and between real and financial variables are found to matter: A shock to a variable in a given country affects all other countries, and the transmission seems to be faster and deeper between financial variables than between real variables. Finally, shocks spill over in a heterogeneous way across countries.
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This paper provides some evidence on the eect of the Maastricht treaty and the creation of the ECB on the dynamics of the European business cycles. With a panel VAR approach and quarterly data for seven European countries over the sample... more
This paper provides some evidence on the eect of the Maastricht treaty and the creation of the ECB on the dynamics of the European business cycles. With a panel VAR approach and quarterly data for seven European countries over the sample 1980:1-2004:4, the paper shows that: (i) an areawide cycle emerges in the 1990s; (ii) volatility, persistence and correlation of national cycles change over time, but not necessarily at the dates of the two political events; (iii) in an out-of-sample forecasting sense, neither event made a huge dierence of European business cycles.