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.

Does the Term Spread play a role in the FED's reaction function? An Empirical Investigation

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of a Fed’s reaction function (FRF) 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 three switching regimes, two characterized by low volatility and the remaining regime by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the rate of inflation and the economic activity index depends on the regime. The estimation results also show robust empirical evidence that the importance of the term spread in the FRF has increased over the sample period and the FRF has been more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period.

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.

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.

Long-Term Growth and Persistence with Endogenous Depreciation: Theory and Evidence

Previous research has shown a strong positive correlation between short-term persistence and long-term output growth as well as between depreciation rates and long-term output growth. This evidence, therefore, contradicts the standard predictions from traditional neoclassical or AK-type growth models with exogenous depreciation. In this paper, we first confirm these findings for a larger sample of 101 countries. We then study the dynamics of growth and persistence in a model where both the depreciation rate and growth are endogenous and procyclical. We find that the model s predictions become consistent with the empirical evidence on persistence, long-term growth and depreciation rates.

A factor model of seasonality in stock returns

Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.

¿Cómo influye la infraestructura de producción en el rendimiento de las empresas manufactureras?

[ES] Este artículo contribuye a adquirir un mayor conocimiento acerca del impacto estratégico de la infraestructura de producción en las empresas manufactureras españolas. La influencia de la infraestructura de producción en el rendimiento empresarial puede ser analizada desde dos perspectivas: la contingente y la proactiva. La perspectiva contingente sostiene que tal influencia depende de la postura estratégica de la empresa. Según el enfoque proactivo, el rendimiento empresarial viene determinado por la implantación de prácticas y políticas prometedoras por su contribución a crear capacidades de producción.

Estudio de la relación entre el compromiso organizativo y la intención de abandonar la organización: Modelo de dos componentes de compromiso de continuidad

[ES] El objetivo de este artículo es presentar evidencias empíricas sobre dos cuestiones aún abiertas en la investigación sobre el compromiso organizativo: la existencia de varios tipos de compromiso de continuidad, y la existencia de relaciones no lineales entre el compromiso, ciertos comportamientos organizativos y algunos indicadores clásicos de éstos como la intención de abandonar la organización. Para ello, se ha llevado a cabo un estudio empírico en el que participaron 241 informantes, que permitió testear las hipótesis mediante el uso de regresión lineal jerárquica.

Patrones de innovación en las empresas hosteleras: el caso español

[ES] El objetivo de este trabajo es contribuir a la mejora del conocimiento existente sobre los patrones de innovación en las empresas hosteleras. Para ello, se ha utilizado una muestra representativa de 443 empresas hosteleras españolas pertenecientes al CNAE-55, que forman parte de la Tercera Encuesta de Innovación Tecnológica elaborada por la Comisión Europea (CIS-3) la cual se basa en una versión revisada del Manual de Oslo.

Earnings Benchmarks en las empresas hoteleras internacionalizadas

[ES] Este trabajo se centra en la gestión del resultado en torno a la hipótesis de evitar pérdidas y descensos en resultados en una muestra de empresas hoteleras internacionalizadas y no internacionalizadas. En primer lugar, se plantean los histogramas de frecuencias para ambas submuestras con el objetivo de comprobar la existencia de una discontinuidad en el resultado neto. En segundo lugar, se analiza la incidencia de los ajustes por devengo en los intervalos críticos de pequeñas pérdidas (pequeños descensos en resultados) frente a pequeños beneficios (incrementos en resultados) en los dos conjuntos de empresas.

The Effect of Data Revisions on the Basic New Keynesian Model

This paper proposes an extended version of the basic New Keynesian monetary (NKM) model which contemplates revision processes of output and inflation data in order to assess the importance of data revisions on the estimated monetary policy rule parameters and the transmission of policy shocks. Our empirical evidence based on a structural econometric approach suggests that although the initial announcements of output and inflation are not rational forecasts of revised output and inflation data, ignoring the presence of non well-behaved revision processes may not be a serious drawback in the analysis of monetary policy in this framework. However, the transmission of inflation-push shocks is largely affected by considering data revisions. The latter being especially true when the nominal stickiness parameter is estimated taking into account data revision processes.

Prosocial norms and degree heterogeneity in social networks

We provide empirical evidence to support the claims that social diversity promotes prosocial behavior. We elicit a real-life social network and its members’ adherence to a social norm, namely inequity aversion. The data reveal a positive relationship between subjects’ prosociality and several measures of centrality. This result is in line with the theoretical literature that relates the evolution of social norms to the structure of social interactions and argues that central individuals are crucial for the emergence of prosocial behavior.

PPs without Disguises: Reply to Bruening

[EN]Bresnan and Nikitina (2009) and Rappaport Hovav and Levin (2008) show that, contrary to standard assumptions, fixed-theme idioms may appear in to-constructions under certain pragmatic circumstances. Bruening (2010a) contends that the cases they present are in fact R(ightward)-dative shifts, double object constructions with the object projected to the right. In this article, we argue that Bruening’s proposed theoretical apparatus is unnecessarily complex and ad hoc and falls short of explaining the main facts it is supposed to deal with, massively overgenerating. A regular PP structure is argued to be empirically more adequate and conceptually simpler, avoiding the main problems of the R-dative shift analysis. New empirical evidence concerning pairlist readings and scope freezing also suggests that the empirical facts about idioms should be reconsidered in completely different terms.

Optimal Monetary Policy with Asymmetric Preferences for Output

Using a model of an optimizing monetary authority which has preferences that weigh inflation and unemployment, Ruge-Murcia (2003, 2004) finds empirical evidence that the authority has asymmetric preferences for unemployment. We extend this model to weigh inflation and output and show that the empirical evidence using these series also supports an asymmetric preference hypothesis, only in our case, preferences are asymmetric for output. We also find evidence that the monetary authority targets potential output rather than some higher output level as would be the case in an extended Barro and Gordon (1983) model.

Does training policy help to attract, retain and develop valuable human resources? Analysis from the Mondragon case

This is an electronic version of the accepted paper in the journal:Advances in the Economic Analysis of Participatory and Labor-Managed Firms. Volumen. 12