Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates

This paper considers the basic present value model of interest rates under rational expectations with two additional features. First, following McCallum (1994), the model assumes a policy reaction function where changes in the short-term interest rate are determined by the long-short spread. Second, the short-term interest rate and the risk premium processes are characterized by a Markov regime-switching model. Using US post-war interest rate data, this paper finds evidence that a two-regime switching model fits the data better than the basic model. The estimation results also show the presence of two alternative states displaying quite different features.

The changing behaviour of the term structure of post-war US

Using U.S. interest rate data covering the period 1950:1-1992:7, this paper tests the rational expectations model of the term structure of interest rates. We show evidence that the rational expectations model of the term structure is supported by the data during the seventies and a period lasting from the mid-eighties to the end of the sample. However, during the …fties, sixties and a period that covers most of the Volcker’s office term (from September 1979 to April 1986) the term structure model is rejected by the data. Moreover, wefind evidence of regime changes in the short-term rate process and the term structure of interest rates. These regime switches roughly coincide with changes in the Federal Reserve chairman. The switches in monetary policy taking place when the chairmanship of the Federal Reserve changes therefore seem to play an important role in characterizing the term structure of interest rates.

Cyclical Features of Uzawa-Lucas Endogenous Growth Model

This paper analyzes the cyclical properties of a generalized version of Uzawa-Lucas endogenous growth model. We study the dynamic features of different cyclical components of this model characterized by a variety of decomposition methods. The decomposition methods considered can be classified in two groups. On the one hand, we consider three statistical filters: the Hodrick-Prescott filter, the Baxter-King filter and Gonzalo-Granger decomposition. On the other hand, we use four model-based decomposition methods. The latter decomposition procedures share the property that the cyclical components obtained by these methods preserve the log-linear approximation of the Euler-equation restrictions imposed by the agent’s intertemporal optimization problem. The paper shows that both model dynamics and model performance substantially vary across decomposition methods. A parallel exercise is carried out with a standard real business cycle model. The results should help researchers to better understand the performance of Uzawa-Lucas model in relation to standard business cycle models under alternative definitions of the business cycle.

Explosive Hyperinflation, Inflation Tax Laffer Curve and Modelling the use of Money

This paper analyzes the existence of an inflation tax Laffer curve (ITLC) in the context of two standard optimizing monetary models: a cash-in-advance model and a money in the utility function model. Agents’ preferences are characterized in the two models by a constant relative risk aversion utility function. Explosive hyperinflation rules out the presence of an ITLC. In the context of a cash-in-advance economy, this paper shows that explosive hyperinflation is feasible and thus an ITLC is ruled out whenever the relative risk aversion parameter is greater than one. In the context of an optimizing model with money in the utility function, this paper firstly shows that an ITLC is ruled out. Moreover, it is shown that explosive hyperinflations are more likely when the transactions role of money is more important. However, hyperinflationary paths are not feasible in this context unless certain restrictions are imposed.

Análisis de la capacitación del profesorado en formación inicial para resolver problemas de ciencias asociados con la vida cotidiana

[Es]En este trabajo se aborda la problemática detectada como consecuencia del fracaso que presenta gran mayoría del alumnado de la E. U. de Magisterio de Bilbao, futuro profesorado de Educación Primaria (EP), en la aplicación creativa de conocimientos transmitidos en el aula de ciencias, esto es, en la resolución de problemas y en la explicación de fenómenos cotidianos del mundo que nos rodea. Para ello se ha analizado, por un lado, su capacitación en relación a varios tópicos de ciencias incluidos en el Área de Conocimiento del Medio en la EP, presentados en un contexto de ciencia en la vida cotidiana y su autovaloración en relación a su capacitación didáctica para abordarlos en aulas de ciencias escolares y, por otro, la metodología didáctica utilizada en las clases de ciencias que han recibido en etapas educativas previas a la universitaria.

Trend analysis in two standard growth models

This paper analyzes the trend processes characterized by two standard growth models using simple econometrics. The first model is the basic neoclassical growth model that postulates a deterministic trend for output. The second model is the Uzawa-Lucas model that postulates a stochastic trend for output. The aim is to understand how the different trend processes for output assumed by these two standard growth models determine the ability of each model to explain the observed trend processes of other macroeconomic variables such as consumption and investment. The results show that the two models reproduce the output trend process. Moreover, the results show that the basic growth model captures properly the consumption trend process, but fails in characterizing the investment trend process. The reverse is true for the Uzawa-Lucas model.

Is there a Phillips Curve in the US and the EU15 Countries? An empirical investigation

This paper studies the comovement between output and inflation in the EU15 countries. Following den Haan (2000), I use the correlations of VAR forecast errors at different horizons in order to analyze the output-inflation relationship. The empirical results show that eight countries display a significant positive comovement between output and inflation. Moreover, the empirical evidence suggests that a Phillips curve phenomenom is more likely to be detected in countries where inflation is more stable.

Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 1, pages 5.

The role of the term spread in an augmented Taylor rule: An empirical investigation

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of an augmented version of the Taylor rule (ATR) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an alternative monthly indicator of general economic activity suggested by Stock and Watson (1999), and (iv) considers interest rate smoothing. The estimation results show the existence of switching regimes, one characterized by low volatility and the other by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the term spread, inflation and the economic activity index depend on the regime. The estimation results also show robust empirical evidence that the ATR has been more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period. However, a closer look at the Greenspan period shows the existence of two alternative regimes and that the response of the Fed funds rate to inflation has not been significant during this period once the term spread is considered.

Evaluation of the conventional surveying equipment applied to deformation analysis of heritage buildings. A case study: the bell tower of Santa María la Blanca church in Agoncillo (La Rioja, Spain)

Contributed to: "Measuring the Changes": 13th FIG International Symposium on Deformation Measurements and Analysis; 4th IAG Symposium on Geodesy for Geotechnical and Structural Enginering (Lisbon, Portugal, May 12-15, 2008).

Optimización del proyecto de auscultación, dirigido al estudio de las deformaciones de un elemento patrimonial, mediante técnicas topográficas clásicas

[ES] Para más información véase el trabajo LDGP_mem_003-2: "Estudio topográfico de las deformaciones del conjunto arquitectónico de la iglesia de Nuestra Señora de la Blanca (Agoncillo, La Rioja) [Julio 2007 – Octubre 2009]", http://hdl.handle.net/10810/7050

Detección del movimiento cíclico estacional en edificios históricos por métodos topográficos

[ES] Para más información véase el trabajo LDGP_mem_003-2: "Estudio topográfico de las deformaciones del conjunto arquitectónico de la iglesia de Nuestra Señora de la Blanca (Agoncillo, La Rioja) [Julio 2007 – Octubre 2009]", http://hdl.handle.net/10810/7050

[R_Agoncillo_SantaMaria] Estudio topográfico de las deformaciones del conjunto arquitectónico de la iglesia de Nuestra Señora de la Blanca (Agoncillo, La Rioja) [Julio 2007 – Octubre 2009]

[ES] La documentación contenida en este registro ha servido de base para las siguientes publicaciones:

[A_Laguardia_SanJuan] Levantamiento fotogramétrico de la portada Sur o “de los abuelos” de la iglesia de San Juan de Laguardia (Álava)

[ES] La documentación contenida en este registro ha servido de base para los siguientes documentos:

[R_Clavijo_SanPrudencio] Intensive Program ERASMUS: TOPCART. Geometric Documentation of the Heritage (report of activities 2010-2011)

[EN] Data contained in this record come from the following accademic activity (from which it is possible to locate additional records related with the Monastery):