This paper assesses the impact of oil price changes on Spanish and euro area consumer price inflation. We find, consistently with recent international evidence, that the inflationary effect of oil price changes is limited, even though crude oil price fluctuations are a major driver of inflation...

The paper presents a theory of nominal asset prices for competitively owned oil. Focusing on monetary effects, with flexible oil prices the US dollar oil price should follow the aggregate US price level. But with rigid nominal oil prices, the nominal oil price jumps proportionally to nominal...

This paper develops a dynamic general equilibrium model in which the public and the private sector interact in the labor market. Previous studies that analyze the labor market effects of public sector employment and wages have mostly assumed exogenous rules for public wage and public employment....

Do public sector wages exert presures on private sector wages, or has private sector a leadership role in wage setting?. This paper tries to isolate the pure signalling effect that one sector might exert on the other by controlling for other determinants of wages (prices, productivity,...

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...

The main focus of this paper is to model the daily series of banknotes in circulation in the context of the liquidity management of the Eurosystem. The series of banknotes in circulation displays very marked seasonal patterns. T o the best of our knowledge the empirical performance of tw o...

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...

In a monetary union, inflation rate differentials may be substantial over the business cycle. This paper parameterizes a two-country monetary union in which different economic structures in the two countries generate temporary inflation differentials. Cross-country differences are introduced in...

A simple method to estimate multilateral equilibrium real exchange rates in a cointegration framework is used to compute the equilibrium real exchange rate for the peseta. The stock of foreign assets and the evolution of sectoral prices have been considered to be the fundamentals for the real...