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Oil and the Great Moderation
Nakov, Anton; Pescatori, Andrea - Banco de España - 2007
We assess the extent to which the great US macroeconomic stability since the mid-1980s can be accounted for by changes in oil shocks and the oil share in GDP. To do this we estimate a DSGE model with an oil-producing sector before and after 1984 and perform counterfactual simulations. We nest...
Persistent link: https://www.econbiz.de/10005022243
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The stabilizing role of government size
Andrés, Javier; Doménech, Rafael; Fatás, Antonio - Banco de España - 2007
This paper presents an analysis of how alternative models of the business cycle can replicate the stylized fact that large governments are associated with less volatile economies. Our analysis shows that adding nominal rigidities and costs of capital adjustment to an otherwise standard RBC model...
Persistent link: https://www.econbiz.de/10005155216
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Inflation-output gap trade-off with a dominant oil supplier
Nakov, Anton; Pescatori, Andrea - Banco de España - 2007
An exogenous oil price shock raises inflation and contracts output, similar to a negative productivity shock. In the standard New Keynesian model, however, this does not generate a tradeoff between inflation and output gap volatility: under a strict inflation targeting policy, the output decline...
Persistent link: https://www.econbiz.de/10005155274
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Monetary Policy Rules and Business Cycles
Kim, Soyoung - Banco de España - 1998
Business cycle properties under different monetary policy rules are examined in a variety of dynamic stochastic general equilibrium models (the real business cycle models, the nominal wage contract models with different length of contracts, and the monopolistic competition models with different...
Persistent link: https://www.econbiz.de/10005155288
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Fixed and variable-rate mortgages, business cycles and monetary policy
Rubio, Margarita - Banco de España - 2009
welfare implications of this proportion. I develop and solve a New Keynesian dynamic stochastic general equilibrium model that … of collateral constraints, the optimal Taylor rule is less aggressive against inflation than in the standard sticky …-price model. Furthermore, for given monetary policy, a high proportion of fixed-rate mortgages is welfare enhancing. …
Persistent link: https://www.econbiz.de/10004969770
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Expectations-driven cycles in the housing market
Lambertini, Luisa; Mendicino, Caterina; Punzi, Maria Teresa - Banco de España - 2010
This paper analyzes housing market boom-bust cycles driven by changes in households’ expectations. We explore the role of expectations not only on productivity but on several other shocks that originate in the housing market, the credit market and the conduct of monetary policy. We f nd that,...
Persistent link: https://www.econbiz.de/10008520566
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Banking competition, collateral constraints and optimal monetary policy
Andrés, Javier; Arce, Óscar; Thomas, Carlos - Banco de España - 2010
endogenous lending spreads. We show that, up to a second order approximation, welfare maximization is equivalent to stabilization …
Persistent link: https://www.econbiz.de/10008521844
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Optimal and Simple Monetary Policy Rules with Zero Floor on the Nominal Interest Rate
Nakov, Anton - Banco de España - 2006
uncertainty in the presence of the zero lower bound. Commitment to the optimal rule reduces unconditional welfare losses to around …
Persistent link: https://www.econbiz.de/10005590731
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Rule-of-thumb consumers and the design of interest rate rules
Galí, Jordi; Salido, J. David López; Vallés, Javier - Banco de España - 2003
equilibrium is no longer guaranteed by an interest rate rule that satisfies the so called Taylor principle. Our findings call for …
Persistent link: https://www.econbiz.de/10004965260
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Automatic stabilizers, fiscal rules and macroeconomic stability
Andrés, Javier; Doménech, Rafael - Banco de España - 2003
This paper analyzes the effect of the fiscal structure upon the trade-off between inflation and output stabilization in the presence of technological shocks in a DGE model with nominal and real rigidities. The model reproduces the main features of European economies and it integrates a rich menu...
Persistent link: https://www.econbiz.de/10004965262