The New Keynesian Monetary Model: Does it Show the Comovement Between Output and Inflation in the U.S.?

Published as article in: Journal of Economic Dynamics and Control (2008), 32(May), pp. 1466-1488.comovement, VAR forecast errors, optimal policy, NKM model

Term Structure and the Estimated Monetary Policy Rule in the Eurozone

Published as an article in: Spanish Economic Review, 2008, vol. 10, issue 4, pages 251-277.NKM model, term structure, policy rule, indirect inference

Explosive Hyperinflation, Inflation Tax Laffer Curve and Modelling the use of Money

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 are characterized in the two models by a constant relative risk aversion utility function. Explosive hyperinflation rules out the presence of an ITLC. In the context of a cash-in-advance economy, this paper shows that explosive hyperinflation is feasible and thus an ITLC is ruled out whenever the relative risk aversion parameter is greater than one. In the context of an optimizing model with money in the utility function, this paper firstly shows that an ITLC is ruled out. Moreover, it is shown that explosive hyperinflations are more likely when the transactions role of money is more important. However, hyperinflationary paths are not feasible in this context unless certain restrictions are imposed.inflation tax, hyperinflation, Laffer curve

Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates

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 in the short-term interest rate are determined by the long-short spread. Second, the short-term interest rate and the risk premium processes are characterized by a Markov regime-switching model. Using US post-war interest rate data, this paper finds evidence that a two-regime switching model fits the data better than the basic model. The estimation results also show the presence of two alternative states displaying quite different features.term-structure, risk premium, Markov regime-switching

ELE para fines específicos: el español de la economía, el comercio y la empresa

En este trabajo se analizan y comparan cuatro estilos para enseñar y aprender español como lengua extranjera en el ámbito de la economía, la empresa y el comercio. Realizamos esta presentación a través de 5 manuales concretos, cada uno de ellos representativo de un estilo de aprendizaje diferente. Veremos cómo están estructurados, cómo presentan el vocabulario específico, cuáles técnicas se ponen en marcha para enseñar este léxico, las ventajas e inconvenientes de cada uno de ellos.G.I. HUM 767 (ayudas a Grupos de Investigación de la Junta de Andalucía) / Editorial Comares (colección interlingua

Oralidad en las bitácoras de viaje 2.0

El objetivo de este trabajo es el análisis de los rasgos típicos de la oralidad en un determinado tipo de texto escrito: el de los blogs turísticos, usando un corpus de 25 bitácoras digitales en español. En este estudio se tratará el estilo, el léxico, las características morfosintácticas propias del lenguaje oral y coloquial, así como estrategias comunicativas de las nuevas tecnologías para suplir la oralidad.The aim of this paper is to analyze the typical features of orality in a specific type of written text, that is digital travel blogs, by using a corpus of 25 weblogs written in Spanish. In this article, we will study the style, vocabulary and morphosyntactic characteristics of spoken and colloquial language, as well as the communication strategies employed to replace orality

On the Informational Role of Term Structure in the U.S. Monetary Policy Rule

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. The estimation results show that the term spread and policy inertia are both important determinants of the U.S. estimated monetary policy rule whereas the persistence of shocks plays a small but significant role when revised and real-time data of output and inflation are both considered. More importantly, the relative importance of term spread and persistent shocks in the policy rule and the shock transmission mechanism drastically change when it is taken into account that real-time data are not well behaved.NKM model, term structure, monetary policy rule, indirect inference, real-time

Term Structure and the Estimated Monetary Policy Rule in the Eurozone

Published as an article in: Spanish Economic Review, 2008, vol. 10, issue 4, pages 251-277.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 channel in the NKM model on the estimated parameter values of the model, with special emphasis on the interest rate smoothing parameter using data for the Eurozone. Second, we study the ability of the model to reproduce some stylized facts such as highly persistent dynamics, the weak comovement between economic activity and inflation, and the positive, strong comovement between interest rates observed in actual Eurozone data. The estimation procedure implemented is a classical structural method based on the indirect inference principle.Financial support from Ministerio de Ciencia y Tecnología and Universidad del País Vasco (Spain) and Fundación Séneca through projects SEJ2004-04811/ECON, 9/UPV00035.321-13511/2001 and I02937/PHCS/05, respectively, is gratefully acknowledged. The first author also thanks Fundación Ramón Areces for financial support

The New Keynesian Monetary Model: Does it Show the Comovement Between Output and Inflation in the U.S.?

Published as article in: Journal of Economic Dynamics and Control (2008), 32(May), pp. 1466-1488.This paper analyzes the performance of alternative versions of the New Keynesian monetary (NKM) model in order to replicate the comovement observed between output and inflation during the Greenspan era. Following Den Haan (2000), we analyze that comovement by computing the correlations of VAR forecast errors of the two variables at different forecast horizons. The empirical correlations obtained show a weak comovement. A simple NKM model under a standard parametrization provides a high negative comovement at any forecast horizon. However, a generalized version including habit formation and a forward-looking Taylor rule is able to mimic the observed weak comovement. The good performance of this generalized version also extends to the case in which the policymaker is committed to following an optimal contingent plan under certain parametrizations.Financial support from Fundación BBVA, Ministerio de Ciencia y Tecnología and Universidad del País Vasco (Spain) through projects 1/BBVA00044.321-15466, SEJ2004-04811/ECON and 9/UPV00035.321- 13511/2001, respectively, is gratefully acknowledged

How Does the New Keynesian Monetary Model Fit in the U.S. and the Eurozone? an Indirect Inference Approach

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 method based on the indirect inference principle. An unrestricted VAR is considered as the auxiliary model. On the one hand, the estimation method proposed overcomes some of the shortcomings of using a structural VAR as the auxiliary model in order to identify the impulse response that defines the minimum distance estimator implemented in the literature. On the other hand, by following a classical approach we can further assess the estimation results found in recent papers that follow a maximum-likelihood Bayesian approach. The estimation results show that some structural parameter estimates are quite sensitive to the specification of monetary policy. Moreover, the estimation results in the U.S. show that the fit of the NKM under an optimal monetary plan is much worse than the fit of the NKM model assuming a forward-looking Taylor rule. In contrast to the U.S. case, in the Eurozone the best fit is obtained assuming a backward-looking Taylor rule, but the improvement is rather small with respect to assuming either a forward-looking Taylor rule or an optimal plan.Financial support from Ministerio de Ciencia y Tecnología and Universidad del País Vasco (Spain) through projects SEJ2004-04811/ECON and 9/UPV00035.321-13511/2001, respectively, is gratefully acknowledged