This paper integrates panel VARs and the index models into a unique framework where cross unit interdependencies and time variations in the coefficients are allowed for. The setup used is Bayesian and MCMC methods are used to estimate the posterior distribution of the features of interest and to...

The changes that had occurred in the Spanish debt market, the intemationalization of the Spanish Economy and the financial uncertainty, have influenced the level and the shape of the public debt yield curve. The purpose of this paper is to examine the determinants of the differential between...

This paper tries to precisely date the change of monetary policy regimeoccurred in Spain along the year 1984 moving away from controlling monetaryaggregates into interest rate targeting. The most likely date for the changeis estimated and, surprisingly, there is evidence that agents learn...

This paper studies a strategic model of growth in which firms' accumulation and technological decisions are subject to both friction and external effects. This gives rise to a wide multiplicity of equilibrium behavior, which is consistent with quite different performances of the economy (e.g.,...

This paper provides evidence that the expected real term structure contains information about the future real economic growth. We follow Harvey who uses the consumption-based asset-pricing model to derive a forecasting equation that links the stage of the yield curve to expected economic growth....

This paper analyses the term premia in the Spanish public debt market over the period from January of 1991 to December of 1995. The purpose is to determine the hypothesis that explains the relationship between short-term and long-term interest rates in the Spanish public debt market. We obtain...