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New Keynesian Model Features that Can Reproduce Lead, Lag and Persistence Patterns
Cassou, Steven P.; Vázquez Pérez, Jesús 
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2010-04)
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2010-04)
This paper uses a new method for describing dynamic comovement and persistence in economic time series which builds on the contemporaneous forecast error method developed in den Haan (2000). This data description method ...
Optimal Monetary Policy with Asymmetric Preferences for Output
Cassou, Steven P.; Scott, Patrick; Vázquez Pérez, Jesús (2012-11-15)
(2012-11-15)
Using a model of an optimizing monetary authority which has preferences
that weigh inflation and unemployment, Ruge-Murcia (2003, 2004) finds empirical
evidence that the authority has asymmetric preferences for ...
Time Variation in an Optimal Asymmetric Preference Monetary Policy Model
Cassou, Steven P.; Vázquez Pérez, Jesús (University of the Basque Country, Department of Foundations of Economic Analysis II, 2012)
(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 ...
Employment comovements at the sectoral level over the business cycle
Cassou, Steven P.; Vázquez Pérez, Jesús (University of the Basque Country, Department of Foundations of Economic Analysis II, 2009-12)
(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 ...