Documents de treball


  • Cointegrated TFP Processes and International Business Cycles

    Working Paper Series No. 03/08

    Juan Francisco Rubio-Ramírez, Pau Rabanal, Vicente Tuesta
    • A central puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard International Real Business Cycle (IRBC) models cannot reproduce this fact when calibrated using conventional parameterizations, and can only generate one fourth of the real exchange rate volatility observed in the data. Typically, IRBC models are solved assuming that total factor productivity (TFP) processes are stationary. In this paper, we …rst show that TFP processes for the U.S. and the "rest of the world" have a unit root, are cointegrated, and can be jointly characterized with a Vector Error Correction Model (VECM). Then, we explore the implications of extending an otherwise standard international real business cycle model that allows for cointegrated technology shocks. We show that the model can account for the high real exchange rate volatility observed in the data without having to rely on any particular nominal or real friction. Also, we show that the increase of relative volatility of the real exchange rate with respect to output in the last 20 years can be explained by changes in the parameter estimates of the VECM.

  • The Effects of Housing Prices and Monetary Policy in a Currency Union

    Documento de trabajo 02/08

    Oriol Aspachs, Pau Rabanal

    Many developed countries have seen housing prices and residential invest- ment soar in the last decade. This fact has refreshed the debate on the drivers of housing cycles as well as the appropriate policy response. We analyze these issues for the case of Spain, who has seen the interest rates at historical lows since it joined the EMU, and increasing housing demand pressures from im- migration and the baby boom generation. First, we present evidence based on a VAR model that suggests that both monetary and demand shocks are be- hind Spain's housing boom. Second, we calibrate a New Keynesian dynamic general equilibrium model of a small open economy in a currency area with durable goods. We study the effects of a housing demand shock, a monetary policy shock and a risk premium shock in the model. This allows us to bet- ter understand the factors amplifying a housing boom, the role played by the ECB and the recessionary effects of a housing bust. Our results are as follows. First, the model confirms that a combination of these shocks is indeed behind Spain's housing boom. Second, labor market rigidities provide strong ampli- fication effects to all type of shocks, while financial frictions play a secondary role. Third, monetary policy autonomy is of first order importance to cushion risk premium shocks, while this is not the case for housing demand shocks.

  • Offshoring and wage inequality in the UK, 1992-2004

    Documentos de Trabajo

    Clàudia Canals

    This paper considers whether offshoring has been a contributing factor to the increase in the wage gap between lower and higher skilled workers. It shows that offshoring was not a driver of the increasing skills premium in the United Kingdom between 1992 and 2004. On the contrary, the wage gap would actually have been bigger in the absence of offshoring. Offshoring reduced the wage gap between the most skilled and the least skilled workers in the UK relative to what it would otherwise have been.

  • Broadband Regulation: An Empirical Assessment

    Working Paper Series No. 05/07

    Jordi Gual, Sandra Jódar-Rosell
    • This paper provides an empirical assessment of the broadband policy of the European Union. In particular, we assess in more detail the effects of mandatory local loop unbundling on several market dimensions. We find that it has benefited broadband adoption through significant quality improvements. However, we also find that other regulatory features outside the scope of the new regulatory framework hinder broadband development in a significant manner.

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