Employment comovements at the sectoral level over the business cycle

This paper extends the technique suggested by den Haan (2000) to investigate contemporaneous as well as lead and lag correlations among economic data for a range of forecast horizons. The technique provides a richer picture of the economic dynamics generating the data and allows one to investigate which variables lead or lag others and whether the lead or lag pattern is short term or long term in nature. The technique is applied to monthly sectoral level employment data for the U.S. and shows that among the ten industrial sectors followed by the U.S. Bureau of Labor Statistics, six tend to lead the other four. These six have high correlations indicating that the structural shocks generating the data movements are mostly in common. Among the four lagging industries, some lag by longer intervals than others and some have low correlations with the leading industries indicating that these industries are partially influenced by structural shocks beyond those generating the six leading industries.

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.

The Comovement between Monetary and Fiscal Policy Instruments during the Post-War Period in the U.S.

This paper empirically studies the dynamic relationship between monetary and fiscal policies by analyzing the comovements between the Fed funds rate and the primary deficit/output ratio. Simple economic thinking establishes that a negative correlation between Fed rate and deficit arises whenever the two policy authorities share a common stabilization objective. However, when budget balancing concerns lead to a drastic deficit reduction the Fed may reduce the Fed rate in order to smooth the impact of fiscal policy, which results in a positive correlation between these two policy instruments. The empirical results show (i) a significant negative comovement between Fed rate and deficit and (ii) that deficit and output gap Granger-cause the Fed funds rate during the post-Volcker era, but the opposite is not true.

New Keynesian Model Features that Can Reproduce Lead, Lag and Persistence Patterns

This paper uses a new method for describing dynamic comovement and persistence in economic time series which builds on the contemporaneous forecast error method developed in den Haan (2000). This data description method is then used to address issues in New Keynesian model performance in two ways. First, well known data patterns, such as output and inflation leads and lags and inflation persistence, are decomposed into forecast horizon components to give a more complete description of the data patterns. These results show that the well known lead and lag patterns between output and inflation arise mostly in the medium term forecasts horizons. Second, the data summary method is used to investigate a rich New Keynesian model with many modeling features to see which of these features can reproduce lead, lag and persistence patterns seen in the data. Many studies have suggested that a backward looking component in the Phillips curve is needed to match the data, but our simulations show this is not necessary. We show that a simple general equilibrium model with persistent IS curve shocks and persistent supply shocks can reproduce the lead, lag and persistence patterns seen in the data.

Term Structure and the Estimated Monetary Policy Rule in the Eurozone

Published as an article in: Spanish Economic Review, 2008, vol. 10, issue 4, pages 251-277.

The effect of firm-level contracts on the structure of wages: evidence from matched employer-employee data

Revised: 2006-11

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.

La arqueología comercial en España: ¿un sistema sectorial de innovación?

[ES] La publicación de la Ley de Patrimonio Histórico Español en 1985 y el desarrollo de la construcción, especialmente de grandes infraestructuras, en la primera década del siglo XXI han sido los factores desencadenantes de la arqueología comercial en España.

Can the change in the composition of the US GDP explain the Great Moderation? A test via oil price shocks

The paper investigates whether the growing GDP share of the services sector can contribute to explain the great moderation in the US. We identify and analyze three oil price shocks and use a SVAR analysis to measure their economic impact on the US economy at both the aggregate and the sectoral level. We find mixed support for the explanation of the great moderation in terms of shrinking oil shock volatilities and observe that increases (decreases) in oil shock volatilities are contrasted by a weakening (strengthening) in their transmission mechanism. Across sectors, services are the least affected by any oil shock. As the contribution of services to the GDP volatility increases over time, we conclude that a composition effect contributed to moderate the conditional volatility to oil shocks of the US GDP.

Political Institutions, Technology and Growth: a dynamic panel approach

This paper investigates whether the effect of political institutions on sectoral economic performance is determined by the level of technological development of industries. Building on previous studies on the linkages among political institutions, technology and economic growth, we employ the dynamic panel Generalized Method of Moments (GMM) estimator for a sample of 4,134 country-industries from 61 industries and 89 countries over the 1990-2010 period. Our main findings suggest that changes of political institutions towards higher levels of democracy, political rights and civil liberties enhance economic growth in technologically developed industries. On the contrary, the same institutional changes might retard economic growth of those industries that are below a technological development threshold. Overall, these results give evidence of a technologically conditioned nature of political institutions to be growth-promoting.