Rafaela Pérez | Universidad Complutense de Madrid (original) (raw)

Papers by Rafaela Pérez

This paper proposes an estimation method for persistent and transitory monetary shocks using the ... more This paper proposes an estimation method for persistent and transitory monetary shocks using the monetary policy modeling proposed in Andolfatto et al, [Journal of Monetary Economics, 55 (2008), pp.: 406-422]. The contribution of the paper is threefold: a) to deal with non-Gaussian innovations, we consider a convenient reformulation of the state-space representation that enables us to use the Kalman filter as an optimal estimation algorithm. Now the state equation allows expectations play a significant role in explaining the future time evolution of monetary shocks; b) it offers the possibility to perform maximum likelihood estimation for all the parameters involved in the monetary policy, and c) as a consequence, we can estimate the conditional probability that a regime change has occurred in the current period given an observed monetary shock. Empirical evidence on US monetary policy making is provided through the lens of a Taylor rule, suggesting that the Fed’s policy was impleme...

This paper discusses the effects of a green tax reform in an AK growth model without abatement ac... more This paper discusses the effects of a green tax reform in an AK growth model without abatement activities and with a negative environmental externality in utility function. There is also a non-optimal level of public spending. The results depend on the financing source of public spending. When there is not public debt, a revenue-neutral green tax reform has not any effect on pollution, growth and welfare. On the contrary, when short-run deficits are financed by debt issuing, a variety of green tax reforms increase welfare. Nevertheless, in this framework, non-green tax reforms are also welfare improving.

Este articulo extiende el modelo neoclasico de crecimiento con capital publico productivo mediant... more Este articulo extiende el modelo neoclasico de crecimiento con capital publico productivo mediante la incorporacion de un indice de eficiencia de las infraestructuras. Este indice se supone dependiente de una variable de eleccion del gobierno, en concreto, el porcentaje del gasto publico destinado a consumo publico productivo. Se propone una regla de oro para la distribucion del gasto publico entre consumo productivo e inversion. Bajo este contexto, las sendas temporales observadas en los ultimos cincuenta anos en la economia estadounidense para el stock de infraestructuras y el indice de eficiencia propuesto ha sido cercana a las sendas optimas: se ha acumulado un menor stock de infraestructuras, pero tambien se ha utilizado de forma mas eficiente.

Proceedings of the 43rd International Academic Conference, Lisbon, 2018

The environmental objectives of the Paris Agreement imply that all policy levers will be eventual... more The environmental objectives of the Paris Agreement imply that all policy levers will be eventually used to curb carbon emissions, including a carbon tax and specific taxes on fossil fuels. In this context, we identify the optimal tax-mix for oil, natural gas and coal in order to achieve a specific carbon emissions target for Spain, a competitive and small open economy. In a second step, we compare the optimal tax-mix to a standard carbon tax. This analysis is conducted in a general equilibrium framework. The results of the model suggest that: first, a carbon tax is suboptimal from a second-best point of view. In particular, carbon taxes are an unsatisfactory policy tool for mild environmental targets. Second, governments must always tax coal heavily to reduce CO2 emissions. In addition, subsidizing oil and natural gas could be part of an optimal strategy. This is a counterintuitive and innovative result. Third, we also find that the tax on oil should always be lower than both the tax on natural gas as well as the tax on coal. Fourth, marginal abatement costs of CO2 in terms of social welfare increases as the environmental policy becomes more ambitious. Finally, revenues from a carbon tax are higher than those arising from an optimal tax-mix, which could create a dilemma for policymakers.

International Review of Economics & Finance

This paper analyzes the role of a variety of shocks as determinants of Spanish macroeconomic fluc... more This paper analyzes the role of a variety of shocks as determinants of Spanish macroeconomic fluctuations before the international financial and economic crisis (1970-2008). To do this we estimate a small open economy stochastic model using Kalman Filter techniques. The set of estimated parameters allows the replication with remarkable accuracy of the time path for the major macroeconomic aggregates. In particular, the model reproduces the so-called dual inflation phenomenon which burdens the competitiveness of the Spanish economy.

Bulletin of Economic Research

In this paper we analyse the potential asymmetric response of retail prices for gasoline and dies... more In this paper we analyse the potential asymmetric response of retail prices for gasoline and diesel‐fuel to changes in oil prices for the Spanish economy and its relation with the so‐called ‘rockets and feathers’ behaviour. We show that the assumption made by previous studies, which use as the key explanatory variable the sign –positive or negative‐ of the change in international oil prices, is inadequate for the Spanish case and the magnitude of the change in international oil prices is also relevant. For small changes in international oil prices there is neither price asymmetry nor rockets and feathers behavior in the retail markets. However, price asymmetries in line with rockets and feathers behavior in retail gasoline and gasoil markets are present when these changes exceed a certain threshold. Following Martín‐Moreno et al. (2018) we first apply an Auto‐regressive Error Correction Model and endogenously estimate the threshold triggering the rockets and feathers behaviour. A time‐varying nature for the dynamic response of retail prices to oil price shocks is revealed when we estimate the TAR‐ECM model using rolling windows. Hence, in a second stage, we use a Markov‐switching estimation of the model to test the robustness of the results given its suitability to changing environments. This study could have relevant policy implications for the Spanish gasoline and gasoil retail markets due to the ongoing debate on the existence of a rockets and feathers behavior in gasoline and gasoil retail markets between the Spanish regulatory body and the oil companies.

Empirical Economics

This paper presents new evidence on the existence of asymmetries in the transmission of shocks in... more This paper presents new evidence on the existence of asymmetries in the transmission of shocks in oil prices in the main European fuel markets and their relation to the so-called rockets and feathers effect. Our approach differs from the existing literature in two ways: (1) the data used: we use forward prices rather than spot prices because fuel leaders use forward contracts to buy crude oil. (2) The methodological approach is different. We adopt a more sophisticated econometric model, the Markov-switching model, and use it to contrast the robustness of the results obtained with the TAR-ECM methodology with an endogenous threshold (nonzero threshold). In general, the results show evidence of an asymmetric response of gasoline and diesel prices to changes in the price of crude oil, both in the short-run and with respect to the adjustment towards long-run equilibrium. These price asymmetries fall in line with the “rockets and feathers” hypothesis.

This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the w... more This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the well-known Lucas (1982) model by allowing for the existence of monetary policy regimes. The monetary supply is viewed as having two stochastic components: a) a persistent component that reflects the preferences of the central bank regarding the long-run money supply or inflation target, and b) a transitory component that represents short-lived interventions. To generate agents forecasts, we consider two scenarios: a) consumers can distinguish the permanent and the transitory components of the money supply, and b) consumers can observe only historical series of the aggregate monetary supply and face a signal-extraction problem. We simulate the model from a carefully estimation for the parameters involved in the model. Numerical simulations reveal that, under complete information, forward unbiasedness cannot be rejected at conventionally significant levels. However, when learning about monetary policy is incorporated, the forward bias can be reproduced without artificially assuming an unreasonable degree of risk aversion.

In a one sector growth model with pollution in the utility function, the competitive equilibrium ... more In a one sector growth model with pollution in the utility function, the competitive equilibrium can be indeterminate for plausible values of the intertemporal substitution elasticity of consumption and under constant returns to scale. The tax rate on pollution does not enter the condition characterizing indeterminacy. This means that the government is not able to control emissions in the economy by using environmental policies. Non-separability between private consumption and pollution in the utility function is crucial for this result.

En este artículo se formula un modelo teórico de equilibrio general con un sector público que acu... more En este artículo se formula un modelo teórico de equilibrio general con un sector público que acumula infraestructuras, en el que se incorpora un papel productivo para cierto consumo público que contribuye a un uso eficiente del capital público físico. Este modelo, de Uso Eficiente de las Infraestructuras, permite obtener conclusiones radicalmente distintas a las del modelo estándar de consumo público no productivo: bajo la hipótesis de consumo público eficiente, el Ratio de Composición del Gasto Público óptimo (la proporción de gasto público que debe destinarse a consumo) es estrictamente positiva. Este Ratio de Composición óptimo viene determinado por el equilibrio entre dos tipos de efectos que genera el consumo público sobre las infraestructuras nominativas: un efecto eficiencia positivo y un efecto desplazamiento negativo. ABSTRACT: This paper designs a general equilibrium model with a public sector which builds up public infrastructure. Public consumption expenditure is necess...

This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the w... more This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the well-known Lucas (1982) model by allowing for the existence of monetary policy regimes. The monetary supply is viewed as having two stochastic components: a) a persistent component that reflects the preferences of the central bank regarding the long-run money supply or inflation target, and b) a transitory component that represents short-lived interventions. To generate agents' forecasts, we consider two scenarios: a) consumers can distinguish the permanent and the transitory components of the money supply, and b) consumers can observe only historical series of the aggregate monetary supply and face a signal-extraction problem. We simulate the model from a carefully conducted calibration using quarterly data from the US and Canada for the period 1984:2 to 2004:1. Numerical simulations reveal that, under complete information, forward unbiasedness cannot be rejected at coventionally sig...

Procedia Economics and Finance, 2014

In this paper we use a small open economy Dynamic Stochastic General Equilibrium Model (DSGE) for... more In this paper we use a small open economy Dynamic Stochastic General Equilibrium Model (DSGE) for Spanish economy to search for a deeper characterization of the determinants of Spain's macroeconomic fluctuations throughout the period 1970-2008. In order to do this, we distinguish between tradable and non-tradable goods to take into account the fact that the presence of non-tradable goods in this economy is one of the largest in the world. We estimate a DSGE model with supply and demand shocks (sectorial productivity, public spending, international real interest rate and preferences) using Kalman Filter techniques. We find the following results. First of all, our variance decomposition analysis suggests that 1) the preference shock basically accounts for private consumption volatility 2) the idiosyncratic productivity shock accounts for non tradable output volatility; and 3) the sectorial productivity shock along with the international interest rate both greatly account for tradable output. Secondly, the model closely replicates the time path observed in the data for the Spanish economy and finally, the model captures the main cyclical qualitative features of this economy reasonably well.

Economic Modelling, 2014

We explore the implications of incorporating an elastic labor supply in an endogenous growth econ... more We explore the implications of incorporating an elastic labor supply in an endogenous growth economy when characterizing the time-consistent Markov policy. We consider two policy instruments: an income tax rate and the split of government spending between consumption and production services. The Markov-perfect policy implies a higher income tax rate and a larger proportion of government spending allocated to consumption than those chosen under a commitment constraint on the part of the government. As a consequence, economic growth is slightly lower under the Markov-perfect policy than under the Ramsey policy. Under the Markov and Ramsey optimal policies, a higher weight of leisure in households' preferences leads to a lower optimal income tax rate and a lower proportion of public resources devoted to consumption. We also show that the policy bias that would arise when imposing a Markov policy designed ignoring the presence of leisure in the utility function would lead to a significant welfare loss.

Documentos del Instituto Complutense de Análisis …, 2002

This paper designs a general equilibrium model with a public sector which builds up public infras... more This paper designs a general equilibrium model with a public sector which builds up public infrastructure. Public consumption expenditure is necessary for an efficient use of public physical capital, so there exists a productive effect for such type of public spending. The normative results derived from this framework are then confronted to the standard non-productive public consumption model. Under the assumption of efficient public consumption, the percentage of total public expenditure that must be allocated to consumption is strictly positive. This optimal percentage is obtained from the equilibrium between two opposite effects led by public consumption on public physical capital: a positive efficiency effect and a negative crowding-out effect. RESUMEN En este artículo se formula un modelo teórico de equilibrio general con un sector público que acumula infraestructuras, en el que se incorpora un papel productivo para cierto consumo público que contribuye a un uso eficiente del capital público físico. Este modelo, de Uso Eficiente de las Infraestructuras, permite obtener conclusiones radicalmente distintas a las del modelo estándar de consumo público no productivo: bajo la hipótesis de consumo público eficiente, el Ratio de Composición del Gasto Público óptimo (la proporción de gasto público que debe destinarse a consumo) es estrictamente positiva. Este Ratio de Composición óptimo viene determinado por el equilibrio entre dos tipos de efectos que genera el consumo público sobre las infraestructuras nominativas: un efecto eficiencia positivo y un efecto desplazamiento negativo.

La economía de los recursos naturales tradicional ha sido criticada por suponer elasticidades de ... more La economía de los recursos naturales tradicional ha sido criticada por suponer elasticidades de sustitución demasiado elevadas, por no tener en cuenta los principios del balance de materiales y por confiar demasiado en soluciones planificadas para obtener crecimiento a largo plazo. El presente artículo evalúa estas críticas por medio del análisis de un modelo multisectorial de crecimiento endógeno basado en la I+D y con recursos naturales agotables, trabajo, conocimiento y capital físico como inputs. Estudiamos la dinámica de transición y la senda de crecimiento a largo plazo e identificamos las condiciones bajo las que las empresas mantienen su gasto en investigación y desarrollo. Demostramos que el crecimiento a largo plazo puede sostenerse bajo condiciones de libre mercado incluso cuando las elasticidades de sustitución entre capital y recursos son bajas y la oferta de capital físico limitada. Esto parece ser crucial para el actual debate sobre la sostenibilidad.

Efectos macroeconómicos de la composición del gasto público. Pérez Sánchez, Rafaela María (2004) ... more Efectos macroeconómicos de la composición del gasto público. Pérez Sánchez, Rafaela María (2004) Efectos macroeconómicos de la composición del gasto público. Tesis Doctoral. ... González-Páramo, José Manuel, Palabras clave: Gasto público España Tesis En línea. ...

Documentos del Instituto …, 2002

By Esther Fernández, Rafaela Perez and Jesús Ruiz Andújar; Abstract: This paper discusses the eff... more By Esther Fernández, Rafaela Perez and Jesús Ruiz Andújar; Abstract: This paper discusses the effects of a green tax reform in an AK growth model without abatement activities and with a.

This paper provides an estimation method to decompose monetary policy innovations into persistent... more This paper provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the non-linear Taylor rule proposed in Andolfatto et al. [Journal of Monetary Economics 55 (2008) 406– 422]. In order to use the Kalman filter as the optimal signal extraction technique we use a convenient reformulation for the state equation by allowing expectations play in significant role in explaining the future time evolution of monetary shocks. This alternative formulation allows us to perform the maximum likelihood estimation for all the parameters involved in the monetary policy. Empirical evidence on US monetary policy making is provided for the period 1980-2011. We compare our empirical estimates with those obtained based on the particle filter. While both procedures lead to similar quantitative and qualitative findings, our approach has much less computational cost and is capable to obtain regime-switching probabilities.

This paper discusses wether by implementing an environmental tax reform, a government may achieve... more This paper discusses wether by implementing an environmental tax reform, a government may achieve a double dividend. We consider the simplest endogenous growth model (AK model) and include a negative environmental externality in the utility function. Pollution flow can be reduced by means of private abatenment activities. There is a predetermined non-optimal level of public spending financed by environmental taxes and pre-existing taxes on income and consumption. The major contribution of the paper is to show that, under this simple framework, a double dividend may arise if tax reform consists of substituing environmental tax for income tax, in such a way that the government budget constraint holds in a present value sense.

Journal of Macroeconomics

In an endogenous growth model where the fiscal authority cannot commit to policy decisions beyond... more In an endogenous growth model where the fiscal authority cannot commit to policy decisions beyond the current period, we explore the time-consistent optimal choice for two policy instruments: the income tax rate and the split of government spending between utility bearing consumption and productive services to firms. We show that under the time-consistent Markov policy the economy lacks any transitional dynamics and there is local and global determinacy of equilibrium. For empirically plausible parameter values we find that the Markov-perfect policy implies a higher tax rate and a larger proportion of government spending allocated to consumption than those chosen under a commitment constraint. As a result, economic growth is slightly lower under the Markov-perfect policy than under the Ramsey policy, with growth under lump-sum taxes being highest. The implication of our results is that if the private sector is aware of the government’s inability to pledge future policy decisions, th...

This paper proposes an estimation method for persistent and transitory monetary shocks using the ... more This paper proposes an estimation method for persistent and transitory monetary shocks using the monetary policy modeling proposed in Andolfatto et al, [Journal of Monetary Economics, 55 (2008), pp.: 406-422]. The contribution of the paper is threefold: a) to deal with non-Gaussian innovations, we consider a convenient reformulation of the state-space representation that enables us to use the Kalman filter as an optimal estimation algorithm. Now the state equation allows expectations play a significant role in explaining the future time evolution of monetary shocks; b) it offers the possibility to perform maximum likelihood estimation for all the parameters involved in the monetary policy, and c) as a consequence, we can estimate the conditional probability that a regime change has occurred in the current period given an observed monetary shock. Empirical evidence on US monetary policy making is provided through the lens of a Taylor rule, suggesting that the Fed’s policy was impleme...

This paper discusses the effects of a green tax reform in an AK growth model without abatement ac... more This paper discusses the effects of a green tax reform in an AK growth model without abatement activities and with a negative environmental externality in utility function. There is also a non-optimal level of public spending. The results depend on the financing source of public spending. When there is not public debt, a revenue-neutral green tax reform has not any effect on pollution, growth and welfare. On the contrary, when short-run deficits are financed by debt issuing, a variety of green tax reforms increase welfare. Nevertheless, in this framework, non-green tax reforms are also welfare improving.

Este articulo extiende el modelo neoclasico de crecimiento con capital publico productivo mediant... more Este articulo extiende el modelo neoclasico de crecimiento con capital publico productivo mediante la incorporacion de un indice de eficiencia de las infraestructuras. Este indice se supone dependiente de una variable de eleccion del gobierno, en concreto, el porcentaje del gasto publico destinado a consumo publico productivo. Se propone una regla de oro para la distribucion del gasto publico entre consumo productivo e inversion. Bajo este contexto, las sendas temporales observadas en los ultimos cincuenta anos en la economia estadounidense para el stock de infraestructuras y el indice de eficiencia propuesto ha sido cercana a las sendas optimas: se ha acumulado un menor stock de infraestructuras, pero tambien se ha utilizado de forma mas eficiente.

Proceedings of the 43rd International Academic Conference, Lisbon, 2018

The environmental objectives of the Paris Agreement imply that all policy levers will be eventual... more The environmental objectives of the Paris Agreement imply that all policy levers will be eventually used to curb carbon emissions, including a carbon tax and specific taxes on fossil fuels. In this context, we identify the optimal tax-mix for oil, natural gas and coal in order to achieve a specific carbon emissions target for Spain, a competitive and small open economy. In a second step, we compare the optimal tax-mix to a standard carbon tax. This analysis is conducted in a general equilibrium framework. The results of the model suggest that: first, a carbon tax is suboptimal from a second-best point of view. In particular, carbon taxes are an unsatisfactory policy tool for mild environmental targets. Second, governments must always tax coal heavily to reduce CO2 emissions. In addition, subsidizing oil and natural gas could be part of an optimal strategy. This is a counterintuitive and innovative result. Third, we also find that the tax on oil should always be lower than both the tax on natural gas as well as the tax on coal. Fourth, marginal abatement costs of CO2 in terms of social welfare increases as the environmental policy becomes more ambitious. Finally, revenues from a carbon tax are higher than those arising from an optimal tax-mix, which could create a dilemma for policymakers.

International Review of Economics & Finance

This paper analyzes the role of a variety of shocks as determinants of Spanish macroeconomic fluc... more This paper analyzes the role of a variety of shocks as determinants of Spanish macroeconomic fluctuations before the international financial and economic crisis (1970-2008). To do this we estimate a small open economy stochastic model using Kalman Filter techniques. The set of estimated parameters allows the replication with remarkable accuracy of the time path for the major macroeconomic aggregates. In particular, the model reproduces the so-called dual inflation phenomenon which burdens the competitiveness of the Spanish economy.

Bulletin of Economic Research

In this paper we analyse the potential asymmetric response of retail prices for gasoline and dies... more In this paper we analyse the potential asymmetric response of retail prices for gasoline and diesel‐fuel to changes in oil prices for the Spanish economy and its relation with the so‐called ‘rockets and feathers’ behaviour. We show that the assumption made by previous studies, which use as the key explanatory variable the sign –positive or negative‐ of the change in international oil prices, is inadequate for the Spanish case and the magnitude of the change in international oil prices is also relevant. For small changes in international oil prices there is neither price asymmetry nor rockets and feathers behavior in the retail markets. However, price asymmetries in line with rockets and feathers behavior in retail gasoline and gasoil markets are present when these changes exceed a certain threshold. Following Martín‐Moreno et al. (2018) we first apply an Auto‐regressive Error Correction Model and endogenously estimate the threshold triggering the rockets and feathers behaviour. A time‐varying nature for the dynamic response of retail prices to oil price shocks is revealed when we estimate the TAR‐ECM model using rolling windows. Hence, in a second stage, we use a Markov‐switching estimation of the model to test the robustness of the results given its suitability to changing environments. This study could have relevant policy implications for the Spanish gasoline and gasoil retail markets due to the ongoing debate on the existence of a rockets and feathers behavior in gasoline and gasoil retail markets between the Spanish regulatory body and the oil companies.

Empirical Economics

This paper presents new evidence on the existence of asymmetries in the transmission of shocks in... more This paper presents new evidence on the existence of asymmetries in the transmission of shocks in oil prices in the main European fuel markets and their relation to the so-called rockets and feathers effect. Our approach differs from the existing literature in two ways: (1) the data used: we use forward prices rather than spot prices because fuel leaders use forward contracts to buy crude oil. (2) The methodological approach is different. We adopt a more sophisticated econometric model, the Markov-switching model, and use it to contrast the robustness of the results obtained with the TAR-ECM methodology with an endogenous threshold (nonzero threshold). In general, the results show evidence of an asymmetric response of gasoline and diesel prices to changes in the price of crude oil, both in the short-run and with respect to the adjustment towards long-run equilibrium. These price asymmetries fall in line with the “rockets and feathers” hypothesis.

This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the w... more This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the well-known Lucas (1982) model by allowing for the existence of monetary policy regimes. The monetary supply is viewed as having two stochastic components: a) a persistent component that reflects the preferences of the central bank regarding the long-run money supply or inflation target, and b) a transitory component that represents short-lived interventions. To generate agents forecasts, we consider two scenarios: a) consumers can distinguish the permanent and the transitory components of the money supply, and b) consumers can observe only historical series of the aggregate monetary supply and face a signal-extraction problem. We simulate the model from a carefully estimation for the parameters involved in the model. Numerical simulations reveal that, under complete information, forward unbiasedness cannot be rejected at conventionally significant levels. However, when learning about monetary policy is incorporated, the forward bias can be reproduced without artificially assuming an unreasonable degree of risk aversion.

In a one sector growth model with pollution in the utility function, the competitive equilibrium ... more In a one sector growth model with pollution in the utility function, the competitive equilibrium can be indeterminate for plausible values of the intertemporal substitution elasticity of consumption and under constant returns to scale. The tax rate on pollution does not enter the condition characterizing indeterminacy. This means that the government is not able to control emissions in the economy by using environmental policies. Non-separability between private consumption and pollution in the utility function is crucial for this result.

En este artículo se formula un modelo teórico de equilibrio general con un sector público que acu... more En este artículo se formula un modelo teórico de equilibrio general con un sector público que acumula infraestructuras, en el que se incorpora un papel productivo para cierto consumo público que contribuye a un uso eficiente del capital público físico. Este modelo, de Uso Eficiente de las Infraestructuras, permite obtener conclusiones radicalmente distintas a las del modelo estándar de consumo público no productivo: bajo la hipótesis de consumo público eficiente, el Ratio de Composición del Gasto Público óptimo (la proporción de gasto público que debe destinarse a consumo) es estrictamente positiva. Este Ratio de Composición óptimo viene determinado por el equilibrio entre dos tipos de efectos que genera el consumo público sobre las infraestructuras nominativas: un efecto eficiencia positivo y un efecto desplazamiento negativo. ABSTRACT: This paper designs a general equilibrium model with a public sector which builds up public infrastructure. Public consumption expenditure is necess...

This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the w... more This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the well-known Lucas (1982) model by allowing for the existence of monetary policy regimes. The monetary supply is viewed as having two stochastic components: a) a persistent component that reflects the preferences of the central bank regarding the long-run money supply or inflation target, and b) a transitory component that represents short-lived interventions. To generate agents' forecasts, we consider two scenarios: a) consumers can distinguish the permanent and the transitory components of the money supply, and b) consumers can observe only historical series of the aggregate monetary supply and face a signal-extraction problem. We simulate the model from a carefully conducted calibration using quarterly data from the US and Canada for the period 1984:2 to 2004:1. Numerical simulations reveal that, under complete information, forward unbiasedness cannot be rejected at coventionally sig...

Procedia Economics and Finance, 2014

In this paper we use a small open economy Dynamic Stochastic General Equilibrium Model (DSGE) for... more In this paper we use a small open economy Dynamic Stochastic General Equilibrium Model (DSGE) for Spanish economy to search for a deeper characterization of the determinants of Spain's macroeconomic fluctuations throughout the period 1970-2008. In order to do this, we distinguish between tradable and non-tradable goods to take into account the fact that the presence of non-tradable goods in this economy is one of the largest in the world. We estimate a DSGE model with supply and demand shocks (sectorial productivity, public spending, international real interest rate and preferences) using Kalman Filter techniques. We find the following results. First of all, our variance decomposition analysis suggests that 1) the preference shock basically accounts for private consumption volatility 2) the idiosyncratic productivity shock accounts for non tradable output volatility; and 3) the sectorial productivity shock along with the international interest rate both greatly account for tradable output. Secondly, the model closely replicates the time path observed in the data for the Spanish economy and finally, the model captures the main cyclical qualitative features of this economy reasonably well.

Economic Modelling, 2014

We explore the implications of incorporating an elastic labor supply in an endogenous growth econ... more We explore the implications of incorporating an elastic labor supply in an endogenous growth economy when characterizing the time-consistent Markov policy. We consider two policy instruments: an income tax rate and the split of government spending between consumption and production services. The Markov-perfect policy implies a higher income tax rate and a larger proportion of government spending allocated to consumption than those chosen under a commitment constraint on the part of the government. As a consequence, economic growth is slightly lower under the Markov-perfect policy than under the Ramsey policy. Under the Markov and Ramsey optimal policies, a higher weight of leisure in households' preferences leads to a lower optimal income tax rate and a lower proportion of public resources devoted to consumption. We also show that the policy bias that would arise when imposing a Markov policy designed ignoring the presence of leisure in the utility function would lead to a significant welfare loss.

Documentos del Instituto Complutense de Análisis …, 2002

This paper designs a general equilibrium model with a public sector which builds up public infras... more This paper designs a general equilibrium model with a public sector which builds up public infrastructure. Public consumption expenditure is necessary for an efficient use of public physical capital, so there exists a productive effect for such type of public spending. The normative results derived from this framework are then confronted to the standard non-productive public consumption model. Under the assumption of efficient public consumption, the percentage of total public expenditure that must be allocated to consumption is strictly positive. This optimal percentage is obtained from the equilibrium between two opposite effects led by public consumption on public physical capital: a positive efficiency effect and a negative crowding-out effect. RESUMEN En este artículo se formula un modelo teórico de equilibrio general con un sector público que acumula infraestructuras, en el que se incorpora un papel productivo para cierto consumo público que contribuye a un uso eficiente del capital público físico. Este modelo, de Uso Eficiente de las Infraestructuras, permite obtener conclusiones radicalmente distintas a las del modelo estándar de consumo público no productivo: bajo la hipótesis de consumo público eficiente, el Ratio de Composición del Gasto Público óptimo (la proporción de gasto público que debe destinarse a consumo) es estrictamente positiva. Este Ratio de Composición óptimo viene determinado por el equilibrio entre dos tipos de efectos que genera el consumo público sobre las infraestructuras nominativas: un efecto eficiencia positivo y un efecto desplazamiento negativo.

La economía de los recursos naturales tradicional ha sido criticada por suponer elasticidades de ... more La economía de los recursos naturales tradicional ha sido criticada por suponer elasticidades de sustitución demasiado elevadas, por no tener en cuenta los principios del balance de materiales y por confiar demasiado en soluciones planificadas para obtener crecimiento a largo plazo. El presente artículo evalúa estas críticas por medio del análisis de un modelo multisectorial de crecimiento endógeno basado en la I+D y con recursos naturales agotables, trabajo, conocimiento y capital físico como inputs. Estudiamos la dinámica de transición y la senda de crecimiento a largo plazo e identificamos las condiciones bajo las que las empresas mantienen su gasto en investigación y desarrollo. Demostramos que el crecimiento a largo plazo puede sostenerse bajo condiciones de libre mercado incluso cuando las elasticidades de sustitución entre capital y recursos son bajas y la oferta de capital físico limitada. Esto parece ser crucial para el actual debate sobre la sostenibilidad.

Efectos macroeconómicos de la composición del gasto público. Pérez Sánchez, Rafaela María (2004) ... more Efectos macroeconómicos de la composición del gasto público. Pérez Sánchez, Rafaela María (2004) Efectos macroeconómicos de la composición del gasto público. Tesis Doctoral. ... González-Páramo, José Manuel, Palabras clave: Gasto público España Tesis En línea. ...

Documentos del Instituto …, 2002

By Esther Fernández, Rafaela Perez and Jesús Ruiz Andújar; Abstract: This paper discusses the eff... more By Esther Fernández, Rafaela Perez and Jesús Ruiz Andújar; Abstract: This paper discusses the effects of a green tax reform in an AK growth model without abatement activities and with a.

This paper provides an estimation method to decompose monetary policy innovations into persistent... more This paper provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the non-linear Taylor rule proposed in Andolfatto et al. [Journal of Monetary Economics 55 (2008) 406– 422]. In order to use the Kalman filter as the optimal signal extraction technique we use a convenient reformulation for the state equation by allowing expectations play in significant role in explaining the future time evolution of monetary shocks. This alternative formulation allows us to perform the maximum likelihood estimation for all the parameters involved in the monetary policy. Empirical evidence on US monetary policy making is provided for the period 1980-2011. We compare our empirical estimates with those obtained based on the particle filter. While both procedures lead to similar quantitative and qualitative findings, our approach has much less computational cost and is capable to obtain regime-switching probabilities.

This paper discusses wether by implementing an environmental tax reform, a government may achieve... more This paper discusses wether by implementing an environmental tax reform, a government may achieve a double dividend. We consider the simplest endogenous growth model (AK model) and include a negative environmental externality in the utility function. Pollution flow can be reduced by means of private abatenment activities. There is a predetermined non-optimal level of public spending financed by environmental taxes and pre-existing taxes on income and consumption. The major contribution of the paper is to show that, under this simple framework, a double dividend may arise if tax reform consists of substituing environmental tax for income tax, in such a way that the government budget constraint holds in a present value sense.

Journal of Macroeconomics

In an endogenous growth model where the fiscal authority cannot commit to policy decisions beyond... more In an endogenous growth model where the fiscal authority cannot commit to policy decisions beyond the current period, we explore the time-consistent optimal choice for two policy instruments: the income tax rate and the split of government spending between utility bearing consumption and productive services to firms. We show that under the time-consistent Markov policy the economy lacks any transitional dynamics and there is local and global determinacy of equilibrium. For empirically plausible parameter values we find that the Markov-perfect policy implies a higher tax rate and a larger proportion of government spending allocated to consumption than those chosen under a commitment constraint. As a result, economic growth is slightly lower under the Markov-perfect policy than under the Ramsey policy, with growth under lump-sum taxes being highest. The implication of our results is that if the private sector is aware of the government’s inability to pledge future policy decisions, th...