Eva Ortega - Academia.edu (original) (raw)
Papers by Eva Ortega
Boletin Economico Banco De Espana, 2009
The B.E. Journal of Macroeconomics, 2016
This paper analyses welfare-improving monetary policy reaction functions in the context of a new-... more This paper analyses welfare-improving monetary policy reaction functions in the context of a new-Keynesian small open economy model with a tradables and a non-tradables sector. The model is estimated for the case of Canada and used to evaluate the welfare gains of alternative specifications of the feedback nominal interest rate rule, in particular when allowing for different coefficients on the sectorial inflation rates.
This paper provides some evidence on the effect of two crucial institutions of the European Monet... more This paper provides some evidence on the effect of two crucial institutions of the European Monetary Union, i.e. the Maastricht treaty and the creation of the ECB, on the dynamics of the European business cycles. With a panel VAR approach and 1970Q1-2007Q3 data for ten European countries, including the main Euroarea ones and the UK, Sweden and Denmark, the paper shows that: (i) an EU-wide cycle emerges clearly in the 1990s, common to EMU and non-EMU countries; (ii) the national cycles see their volatility decrease, their persistence change and their correlation with the common cycle increase over time, but not necessarily at the dates of the two institutional changes; (iii) in an out-of-sample forecasting sense, neither single event made a huge difference of European business cycles.
Economics Working Papers, Mar 1, 1996
This paper illustrates the philosophy w h i c h forms the basis of calibration exercises in gener... more This paper illustrates the philosophy w h i c h forms the basis of calibration exercises in general equilibrium macroeconomic models and the details of the procedure, the advantages and the disadvantages of the approach, with particular reference to the issue of testing \false" economic models. We p r o vide an overview of the most recent s i m ulation-based approaches to the testing problem and compare them to standard econometric methods used to test the t of non-linear dynamic general equilibrium models. We illustrate how simulation-based techniques can be used to formally evaluate the t of a calibrated model to the data and obtain ideas on how t o i m p r o ve the model design using a standard problem in the international real business cycle literature, i.e. whether a model with complete nancial markets and no restrictions to capital mobility is able to reproduce the second order properties of aggregate saving and aggregate investment in an open economy.
Banco De Espa a Working Papers, Feb 1, 1998
This paper provides some evidence on the e¤ect of the Maastricht treaty and the creation of the E... more This paper provides some evidence on the e¤ect of the Maastricht treaty and the creation of the ECB on the dynamics of the European business cycles. With a panel VAR approach and quarterly data for seven European countries over the sample 1980:1-2004:4, the paper shows that: (i) an areawide cycle emerges in the 1990s; (ii) volatility, persistence and correlation of national cycles change over time, but not necessarily at the dates of the two political events; (iii) in an out-of-sample forecasting sense, neither event made a huge di¤erence of European business cycles.
Documentos De Trabajo Del Banco De Espana, Apr 20, 2011
Banco De Espa a Working Papers, 1998
Economics Working Papers, 2003
This paper studies the relationship between the Spanish real aggregate uctuations and those of it... more This paper studies the relationship between the Spanish real aggregate uctuations and those of its European neighbors in the last decades. It studies the ability o f alternative I n ternational Real Business Cycle models based on Backus, Kehoe and Kydland 1994 with di erent degrees of international interdependencies, to capture the observed comovement b e t ween the Spanish and European business cycles and compares the t of those models using a probabilistic measure based on and Canova 1994. We nd that i common shocks are important and that ii mechanisms of international transmission of shocks other than trade in consumption goods and services and spillovers in total factor productivity shocks are required in order to explain the joint uctuations between Spain and its European neighbors. I w ant to thank Fabio Canova, Finn Kydland, Morten Ravn, V ctor R os-Rull, Angel Ubide and Javier Vall es for very useful suggestions. All remaining errors are mine.
One of the most salient features of the Spanish housing market, compared to other European econom... more One of the most salient features of the Spanish housing market, compared to other European economies, is its relatively low rental share. This may be partly attributed to the existence of …scal distortions in Spain favoring ownership. In this paper, we simulate the potential e¤ects of two measures aimed at homogenizing the …scal treatment of ownership and renting: eliminating the existing subsidy to housing purchases, and introducing a comparable subsidy to rental payments. We do so in the context of a DSGE model featuring a market for owner-occupied and rented housing, as well as collateral constraints in loan markets. We …nd that both measures raise the rental share by a similar amount. However, whereas eliminating the subsidy to housing purchases reduces real house prices and construction activity substantially, introducing a subsidy to rentals has small e¤ects in the opposite direction.
The authors analyze the welfare implications of simple monetary policy rules in the context of an... more The authors analyze the welfare implications of simple monetary policy rules in the context of an estimated model of a small open economy for Canada with traded and non-traded goods, and with sticky prices and wages. They find statistically significant heterogeneity in the degree of price rigidity across sectors. They also find welfare gains in targeting only the non-traded-goods inflation, since prices are found to be more sticky in this production sector, but those gains come at the cost of substantially increased aggregate volatility. The authors look for the welfare-maximizing specification of an interest rate reaction function that allows for a specific price-level target. They find, however, that, overall, the higher welfare is achieved, given the estimated model for the Canadian economy, with a strict inflation-targeting rule where the central bank reacts to the next period's expected deviation from the inflation target and does not target the output gap.
Los modelos macroeconométricos globales pueden ser un potente instrumento de análisis económico y... more Los modelos macroeconométricos globales pueden ser un potente instrumento de análisis económico y de previsión ante distintos escenarios que se quieran considerar. En este trabajo hemos realizado un análisis del modelo NiGEM y de su aplicación en el contexto de la Unión Monetaria, con especial énfasis en el estudio de la situación relativa de las economías de los países miembros. Los resultados del estudio muestran que NiGEM permite diferentes reacciones de las economías europeas ante variaciones comunes del tipo de cambio y el tipo de interés, debido a sus diferentes estructuras económicas. A pesar del interés que pueden revestir este tipo de resultados, se ha constatado que el diseño y evaluación de perturbaciones en NiGEM requieren un alto nivel de cautela para que pueda constituir un instrumento fiable y útil
Boletin Economico Banco De Espana, 2009
The B.E. Journal of Macroeconomics, 2016
This paper analyses welfare-improving monetary policy reaction functions in the context of a new-... more This paper analyses welfare-improving monetary policy reaction functions in the context of a new-Keynesian small open economy model with a tradables and a non-tradables sector. The model is estimated for the case of Canada and used to evaluate the welfare gains of alternative specifications of the feedback nominal interest rate rule, in particular when allowing for different coefficients on the sectorial inflation rates.
This paper provides some evidence on the effect of two crucial institutions of the European Monet... more This paper provides some evidence on the effect of two crucial institutions of the European Monetary Union, i.e. the Maastricht treaty and the creation of the ECB, on the dynamics of the European business cycles. With a panel VAR approach and 1970Q1-2007Q3 data for ten European countries, including the main Euroarea ones and the UK, Sweden and Denmark, the paper shows that: (i) an EU-wide cycle emerges clearly in the 1990s, common to EMU and non-EMU countries; (ii) the national cycles see their volatility decrease, their persistence change and their correlation with the common cycle increase over time, but not necessarily at the dates of the two institutional changes; (iii) in an out-of-sample forecasting sense, neither single event made a huge difference of European business cycles.
Economics Working Papers, Mar 1, 1996
This paper illustrates the philosophy w h i c h forms the basis of calibration exercises in gener... more This paper illustrates the philosophy w h i c h forms the basis of calibration exercises in general equilibrium macroeconomic models and the details of the procedure, the advantages and the disadvantages of the approach, with particular reference to the issue of testing \false" economic models. We p r o vide an overview of the most recent s i m ulation-based approaches to the testing problem and compare them to standard econometric methods used to test the t of non-linear dynamic general equilibrium models. We illustrate how simulation-based techniques can be used to formally evaluate the t of a calibrated model to the data and obtain ideas on how t o i m p r o ve the model design using a standard problem in the international real business cycle literature, i.e. whether a model with complete nancial markets and no restrictions to capital mobility is able to reproduce the second order properties of aggregate saving and aggregate investment in an open economy.
Banco De Espa a Working Papers, Feb 1, 1998
This paper provides some evidence on the e¤ect of the Maastricht treaty and the creation of the E... more This paper provides some evidence on the e¤ect of the Maastricht treaty and the creation of the ECB on the dynamics of the European business cycles. With a panel VAR approach and quarterly data for seven European countries over the sample 1980:1-2004:4, the paper shows that: (i) an areawide cycle emerges in the 1990s; (ii) volatility, persistence and correlation of national cycles change over time, but not necessarily at the dates of the two political events; (iii) in an out-of-sample forecasting sense, neither event made a huge di¤erence of European business cycles.
Documentos De Trabajo Del Banco De Espana, Apr 20, 2011
Banco De Espa a Working Papers, 1998
Economics Working Papers, 2003
This paper studies the relationship between the Spanish real aggregate uctuations and those of it... more This paper studies the relationship between the Spanish real aggregate uctuations and those of its European neighbors in the last decades. It studies the ability o f alternative I n ternational Real Business Cycle models based on Backus, Kehoe and Kydland 1994 with di erent degrees of international interdependencies, to capture the observed comovement b e t ween the Spanish and European business cycles and compares the t of those models using a probabilistic measure based on and Canova 1994. We nd that i common shocks are important and that ii mechanisms of international transmission of shocks other than trade in consumption goods and services and spillovers in total factor productivity shocks are required in order to explain the joint uctuations between Spain and its European neighbors. I w ant to thank Fabio Canova, Finn Kydland, Morten Ravn, V ctor R os-Rull, Angel Ubide and Javier Vall es for very useful suggestions. All remaining errors are mine.
One of the most salient features of the Spanish housing market, compared to other European econom... more One of the most salient features of the Spanish housing market, compared to other European economies, is its relatively low rental share. This may be partly attributed to the existence of …scal distortions in Spain favoring ownership. In this paper, we simulate the potential e¤ects of two measures aimed at homogenizing the …scal treatment of ownership and renting: eliminating the existing subsidy to housing purchases, and introducing a comparable subsidy to rental payments. We do so in the context of a DSGE model featuring a market for owner-occupied and rented housing, as well as collateral constraints in loan markets. We …nd that both measures raise the rental share by a similar amount. However, whereas eliminating the subsidy to housing purchases reduces real house prices and construction activity substantially, introducing a subsidy to rentals has small e¤ects in the opposite direction.
The authors analyze the welfare implications of simple monetary policy rules in the context of an... more The authors analyze the welfare implications of simple monetary policy rules in the context of an estimated model of a small open economy for Canada with traded and non-traded goods, and with sticky prices and wages. They find statistically significant heterogeneity in the degree of price rigidity across sectors. They also find welfare gains in targeting only the non-traded-goods inflation, since prices are found to be more sticky in this production sector, but those gains come at the cost of substantially increased aggregate volatility. The authors look for the welfare-maximizing specification of an interest rate reaction function that allows for a specific price-level target. They find, however, that, overall, the higher welfare is achieved, given the estimated model for the Canadian economy, with a strict inflation-targeting rule where the central bank reacts to the next period's expected deviation from the inflation target and does not target the output gap.
Los modelos macroeconométricos globales pueden ser un potente instrumento de análisis económico y... more Los modelos macroeconométricos globales pueden ser un potente instrumento de análisis económico y de previsión ante distintos escenarios que se quieran considerar. En este trabajo hemos realizado un análisis del modelo NiGEM y de su aplicación en el contexto de la Unión Monetaria, con especial énfasis en el estudio de la situación relativa de las economías de los países miembros. Los resultados del estudio muestran que NiGEM permite diferentes reacciones de las economías europeas ante variaciones comunes del tipo de cambio y el tipo de interés, debido a sus diferentes estructuras económicas. A pesar del interés que pueden revestir este tipo de resultados, se ha constatado que el diseño y evaluación de perturbaciones en NiGEM requieren un alto nivel de cautela para que pueda constituir un instrumento fiable y útil