Realized volatilities, when observed over time, share the following stylised facts: comovements, clustering, long-memory, dynamic volatility, skewness and heavy-tails. We propose a dynamic factor model that captures these stylised facts and that can be applied to vast panels of volatilities as...

We introduce TailCoR, a new measure for tail correlation that is a function of linear and non-linear correlations, the latter characterized by the tail index. TailCoR can be exploited in a number of financial applications, such as portfolio selection where the investor faces risks of a linear...

During the last years, a number of countries have adopted formal inflation targeting (IT) monetary policy frameworks in a context of global inflation moderation. This paper studies inflation dynamics in eight Latin American countries, some of which have adopted formal targets. We analyze...

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,...

The term spread may play a major role in a monetary policy rule whenever data revisions of output and inflation are not well behaved. In this paper we use a structural approach based on the indirect inference principle to estimate a standard version of the New Keynesian Monetary (NKM) model...

After almost six years with official interest rates at close to zero and with numerous unconventional measures still in place, 2014 is witnessing the beginning of the process of monetary normalisation in those economies, such as the United States and the United Kingdom, in which the recovery...

We assess the impact on the credit supply to non-financial corporations of the two verylong-term refinancing operations (VLTROs) conducted by the Eurosystem in December 2011 and February 2012 for the case of Spain. To do so we use bank-firm level information from a sample of more than one...

This document contains the text of the 1998 Central Banking Lecture delivered at the London School of Economics and Political Science on June 4th. It starts by asking what factors have been behind the remarkable retreat of inflation that has taken place internationally since the mid-eighties,...

One of the most striking macroeconomic phenomena in recent decades has been the achievement of rather low and more stable rates inflation in many countries in the nineties. Consequently, the main goal of this paper is to offer an overview of the main policy issues arising in a low inflation...

During the 1970s and early 1980s, Spain suffered high rates of inflation but inflation declined and by 1997 inflation had fallen to approximately 2 percent. To fight inflation, Spain implemented austere monetary programs, joined the EMS in 1989, enacted central bank autonomy in 1994, and...