The New Keynesian Monetary Model: Does it Show the Comovement Between Output and Inflation in the U.S.?

Published as article in: Journal of Economic Dynamics and Control (2008), 32(May), pp. 1466-1488.

An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.

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.

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.

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.

Empirical Doppler Characterization of Signals Scattered by Wind Turbines in the UHF Band under Near Field Condition

Time variability of the scattering signals from wind turbines may lead to degradation problems on the communication systems provided in the UHF band, especially under near field condition. In order to analyze the variability due to the rotation of the blades, this paper characterizes empirical Doppler spectra obtained from real samples of signals scattered by wind turbines with rotating blades under near field condition. A new Doppler spectrum model is proposed to fit the spectral characteristics of these signals, providing notable goodness of fit. Finally, the effect of this kind of time variability on the degradation of OFDM signals is studied.

Viability Conditions for a Compartmentalized Protometabolic System: A Semi-Empirical Approach

In this work we attempt to find out the extent to which realistic prebiotic compartments, such as fatty acid vesicles, would constrain the chemical network dynamics that could have sustained a minimal form of metabolism. We combine experimental and simulation results to establish the conditions under which a reaction network with a catalytically closed organization (more specifically, an (M, R)-system) would overcome the potential problem of self-suffocation that arises from the limited accessibility of nutrients to its internal reaction domain. The relationship between the permeability of the membrane, the lifetime of the key catalysts and their efficiency (reaction rate enhancement) turns out to be critical. In particular, we show how permeability values constrain the characteristic time scale of the bounded protometabolic processes. From this concrete and illustrative example we finally extend the discussion to a wider evolutionary context.

Landscape Genetics for the Empirical Assessment of Resistance Surfaces: The European Pine Marten (Martes martes) as a Target-Species of a Regional Ecological Network

Coherent ecological networks (EN) composed of core areas linked by ecological corridors are being developed worldwide with the goal of promoting landscape connectivity and biodiversity conservation. However, empirical assessment of the performance of EN designs is critical to evaluate the utility of these networks to mitigate effects of habitat loss and fragmentation. Landscape genetics provides a particularly valuable framework to address the question of functional connectivity by providing a direct means to investigate the effects of landscape structure on gene flow. The goals of this study are (1) to evaluate the landscape features that drive gene flow of an EN target species (European pine marten), and (2) evaluate the optimality of a regional EN design in providing connectivity for this species within the Basque Country (North Spain). Using partial Mantel tests in a reciprocal causal modeling framework we competed 59 alternative models, including isolation by distance and the regional EN. Our analysis indicated that the regional EN was among the most supported resistance models for the pine marten, but was not the best supported model. Gene flow of pine marten in northern Spain is facilitated by natural vegetation, and is resisted by anthropogenic landcover types and roads. Our results suggest that the regional EN design being implemented in the Basque Country will effectively facilitate gene flow of forest dwelling species at regional scale.

Optimal Taxation and Indeterminacy in the Uzawa-Lucas Model with Sector-specific Externalities

Documento de trabajo