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The Comovement between Monetary and Fiscal Policy Instruments during the Post-War Period in the U.S.
Vázquez Pérez, Jesús 
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2008-04)
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2008-04)
This paper empirically studies the dynamic relationship between monetary and fiscal policies by analyzing the comovements between the Fed funds rate and the primary deficit/output ratio. Simple economic thinking establishes ...
The Effect of Data Revisions on the Basic New Keynesian Model
Vázquez Pérez, Jesús ; María-Dolores, Ramón; Londoño Yarce, Juan Miguel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2012)
; María-Dolores, Ramón; Londoño Yarce, Juan Miguel (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
Casares, Miguel; 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)
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
Casares, Miguel; Moreno, Antonio; 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)
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
Vázquez Pérez, Jesús ; María-Dolores, Ramón; Londoño Yarce, Juan Miguel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2010-01)
; María-Dolores, Ramón; Londoño Yarce, Juan Miguel (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. ...
Switching Equilibria: The Present Value Model for Stock Prices Revisited
Gutiérrez Huerta, María José; Vázquez Pérez, Jesús (2002-07)
(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 ...
The Importance of Stock Market Returns in Estimated Monetary Policy Rules: a Structural Approach
Vázquez Pérez, Jesús (University of the Basque Country, Department of Foundations of Economic Analysis II, 2006)
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2006)
This paper estimates a standard version of the New Keynesian Monetary (NKM) model augmented with financial variables in order to analyze the relative importance of stock market returns and term spread in the estimated U.S. ...
The role of the term spread in an augmented Taylor rule: An empirical investigation
Vázquez Pérez, Jesús (University of the Basque Country, Department of Foundations of Economic Analysis II, 2003-04)
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2003-04)
Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of an augmented version of the Taylor rule (ATR) that (i) allows for the presence of switching regimes, (ii) considers the ...
Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?
Vázquez Pérez, Jesús (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-08)
(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 ...
Term Structure and the Estimated Monetary Policy Rule in the Eurozone
María-Dolores, Ramón; Vázquez Pérez, Jesús (University of the Basque Country, Department of Foundations of Economic Analysis II, 2008)
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2008)
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 ...