Macroeconomics and Finance

Financial markets and the macroeconomy. We follow two types of empirical strategies. On the one hand, we use Markov-switching models to analyze the evolution of stock prices and interest rates over time in order to study the connections between financial and monetary market switches and macroeconomic events. On the other hand, we implement structural procedures to estimate alternative versions of the New Keynesian monetary model augmented with financial variables. Our goal is to study how the evolution of financial variables and the information available at the time of implementing policy may determine monetary policy.

Researchers: Marta Regúlez, Jesús Vázquez, Pablo Aguilar and Juan M. Londoño

Recent Papers related to this line of research:

Aguilar, P., and J. Vázquez (2017)  "Term Structure and Real-Time Learning". University of the Basque Country (UPV/EHU), mimeo.

Aguilar, P., and J. Vázquez (2017)  "An Estimated DSGE Model with Learning Based on Term Structure Information". University of the Basque Country (UPV/EHU), mimeo.

Londoño, J.A., M. Regúlez, and J. Vázquez (2015) "Another Look to the Price-Dividend ratio: A Markov Switching Approach." International Review of Economics and Finance 38, 291-307.

Vázquez, J., R. María-Dolores, and J.M. Londoño (2013) "On the informational role of term structure in the US monetary policy rule",  Journal of Economic Dynamics and Control 37, 1852-1871.

Vázquez, J. (2009) "Does the Term Spread Play a Role in the Fed Funds Rate Reaction Function? An Empirical Investigation." Empirical Economics 36, 175-199.

María-Dolores, R., and J. Vázquez (2008) "Term Structure and the Estimated Monetary Policy Rule in the Eurozone." Spanish Economic Review 10, 251-277.