¿Cuánto importa el canal de toma de riesgos (risk-taking channel) para la política monetaria? Para responder a esta pregunta, desarrollamos y estimamos un modelo cuantitativo macroeconómico DSGE, en el que los bancos eligen inversiones excesivamente arriesgadas, debido a un problema de...

This paper provides a synthesis and further development of a global modelling approach introduced in Pesaran, Schuermann and Weiner (2004), where country specific models in the form of VARX* structures are estimated relating a vector of domestic variables to their foreign counterparts and then...

Die vorliegende Dissertation zu makroökonomischen Themen beinhaltet einen einleitenden Literaturüberblick, drei eigenständige und voneinander unabhängige Kapitel sowie einen technischen Anhang. In Kapitel zwei wird ein Zwei-Länder Modell einer Währungsunion betrachtet, in dem die...

This dissertation is the collection of three essays aimed to evaluate the empirical performance of dynamic stochastic general equilibrium (DSGE) models in explaining the behavior of macroeconomic dynamics in emerging countries. Chapter 1, which is joint work with M. Uribe and R. Pancrazzi,...

The estimation of dynamic stochastic general equilibrium (DSGE) models is the subject of a rapidly growing literature. This dissertation contributes to the existing body of work by focusing on issues related to parameter identification.In the first essay I show that DSGE models are characterized...

Incluye referencias bibliográficas ; 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...

This paper proposes the use of dynamic factor models as an alternative to the VAR-based tools for the empirical validation of dynamic stochastic general equilibrium (DSGE) theories. Along the lines of Giannone et al. (2006), we use the state-space parameterisation of the factor models proposed...

In the time domain, the observed cyclical behavior of the real wage hides a range of economic influences that give rise to cycles of differing lengths and strengths. This may serve to produce a distorted picture of wage cyclicality. Here, we deploy frequency domain methods that allow us to asses...

This paper investigates the response of hours worked and real wages to fiscal policy shocks in the U.S. during the post World War II era. We identify these shocks with exogenous changes in military purchases and argue that they lead to a persistent increase in government purchases and tax rates...

Full-text of this article is not available in this e-prints service. This article was originally published [following peer-review] in Review of Political Economy, published by and copyright Routledge.