Documentos de Trabajo N.º 1944 - Bank of Spain...Documentos de Trabajo. N.º 1944 2019 (*) We thank...

DYNAMIC EFFECTS OF PERSISTENT SHOCKS

Mario Alloza, Jesús Gonzalo and Carlos Sanz

Documentos de Trabajo N.º 1944

2019

DYNAMIC EFFECTS OF PERSISTENT SHOCKS

Documentos de Trabajo. N.º 1944

2019

(*) We thank Fabio Canova, Jesús Fernández-Villaverde, Alessandro Galesi, Gergely Gánics, Juan F. Jimeno, Mikkel Plagborg-Møller, Juan Rubio-Ramírez, Enrique Sentana, and seminar participants at the I Workshop of the Spanish Macroeconomics Network (Universidad Pública de Navarra), Banco de España, CFE 2018 (University of Pisa), II Workshop in Structural VAR models (Queen Mary University of London), VII Workshop on Empirical Macroeconomics (Ghent University), 2019 American Meeting of the Econometric Society (University of Washington), and 2019 edition of the Padova Macro Talks for insightful comments. Alloza: [email protected]. Gonzalo: [email protected]. Sanz: [email protected].

Mario Alloza and Carlos Sanz

BANCO DE ESPAÑA

Jesús Gonzalo

UNIVERSIDAD CARLOS III DE MADRID

DYNAMIC EFFECTS OF PERSISTENT SHOCKS (*)

The Working Paper Series seeks to disseminate original research in economics and fi nance. All papers have been anonymously refereed. By publishing these papers, the Banco de España aims to contribute to economic analysis and, in particular, to knowledge of the Spanish economy and its international environment.

The opinions and analyses in the Working Paper Series are the responsibility of the authors and, therefore, do not necessarily coincide with those of the Banco de España or the Eurosystem.

The Banco de España disseminates its main reports and most of its publications via the Internet at the following website: http://www.bde.es.

Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.

© BANCO DE ESPAÑA, Madrid, 2019

ISSN: 1579-8666 (on line)

Abstract

We show that several shocks identifi ed without restrictions from a model, and frequently

used in the empirical literature, display some persistence. We demonstrate that the two

leading methods to recover impulse responses to shocks (moving average representations

and local projections) treat persistence differently, hence identifying different objects.

In particular, standard local projections identify responses that include an effect due to

the persistence of the shock, while moving average representations implicitly account

for it. We propose methods to re-establish the equivalence between local projections and

moving average representations. In particular, the inclusion of leads of the shock in local

projections allows to control for its persistence and renders the resulting responses

equivalent to those associated to counterfactual non-serially correlated shocks. We apply

this method to well-known empirical work on fi scal and monetary policy and fi nd that

accounting for persistence has a sizable impact on the estimates of dynamic effects.

Keywords: impulse response function, local projection, shock, fi scal policy, monetary policy.

JEL classifi cation: C32, E32, E52, E62.

Resumen

En este documento mostramos que varios shocks identifi cados sin restricciones de un

modelo, y usados frecuentemente en la literatura empírica, son persistentes. Demostramos

que los dos principales métodos para recuperar respuestas a impulsos de shocks

(representaciones de media móvil y proyecciones locales) tratan la persistencia de distinta

manera y, por tanto, identifi can objetos diferentes. En particular, las proyecciones locales

estándar identifi can respuestas que incluyen un efecto debido a la persistencia del

shock, mientras que las representaciones de media móvil implícitamente controlan por

la persistencia. Proponemos métodos para restablecer la equivalencia entre proyecciones

locales y representaciones de media móvil. En particular, la inclusión de adelantos del

shock en las proyecciones locales permite controlar por su persistencia y hace que las

respuestas resultantes sean equivalentes a las asociadas a shocks contrafactuales no

autocorrelacionados. Aplicamos este método a trabajos empíricos sobre política fi scal y

monetaria y encontramos que controlar por la persistencia tiene un impacto considerable

sobre las estimaciones de efectos dinámicos.

Palabras clave: función de respuesta a un impulso, proyecciones locales, shock, política

fi scal, política monetaria.

Códigos JEL: C32, E32, E52, E62.

BANCO DE ESPAÑA 7 DOCUMENTO DE TRABAJO N.º 1944

h

t + h t


t t + h

t

t + h


yt = δxt + ut

xt = γxt−1 + εt,


xt

yt xt

E(xtut) = 0 ut εt

ut ∼ (μu, σ2u) εt ∼ (με, σ

2ε)

γ δ

xt yt

yt xt

t

R(h) h

R(h) = E [yt+h|xt = 1,Ωt−1]− E [yt+h|xt = 0,Ωt−1] ,

Ωt−1 εt xt

t − 1

xt γ �= 0 xt xt+j = 0

xt

R(0) =∂yt∂xt

= δ

R(1) =∂yt+1

∂xt

= δγ

R(2) =∂yt+2

∂xt

= δγ2

. . .

R(h)∗

R(h)∗ = E [yt+h|xt = 1, xt+1, ..., xt+h,Ωt−1]− E [yt+h|xt = 0, xt+1, ..., xt+h,Ωt−1] .

xt

γ

xt

R(h) = E [yt+h|εt = 1, εt+1 = 0, ..., εt+h = 0,Ωt−1] −E [yt+h|εt = 0, εt+1 = 0, ..., εt+h = 0,Ωt−1]


h = 0, 1, . . . , H

ξt+h

γ = 0 R(h) = R(h)∗ ∀ h

γ �= 0 R(h) �= R(h)∗ ∀ h > 0

R(h)MA

yt = θ0xt + θ1xt−1 + θ2xt−2 + θ3xt−3 + θ4xt−4 + . . .+ et,

R(h)MA = ∂yt+h

∂xt= θh ∀ h

h = 0, 1, . . . , H

yt+h = δhxt + ξt+h,

{δh}Hh=0

R(h)LP = δh h

xt

γ = 0 R(h)MA = R(h)LP = R(h)∗ = R(h) ∀h

γ = 0

R(0)∗ =∂yt∂xt

= δ

R(1)∗ =∂yt+1

∂xt

∣∣∣xt+1

= 0

R(2)∗ =∂yt+2

∂xt

∣∣∣xt+1,xt+2

= 0

. . .


yt yt = ρyt−1+ δxt+ut

δ1 = δρ+ δγ

h > 0

γ �= 0 h = 0 R(h)MA = R(h)LP = R(h)∗ = R(h)

γ �= 0 h ≥ 1 R(h)MA = R(h)∗ �= R(h)LP = R(h)

γ �= 0

xt yt+h

xt yt

xt yt+h xt+h cov(xt, xt+h) �= 0 γ �= 0

γ

xt R(h)MA R(h)LP

R(h)LP = R(h) = δγh R(h)MA = R(h)∗ = 0 h ≥ 1

xt h = 1

yt+1 = δ1xt + ξt+1,

δ1 = R(1)LP xt yt+1 xt δ1

γ �= 0 yt+1 xt

yt+1 = δxt+1 + ut+1

= δ (γxt + εt+1) + ut+1

= δγxt + u∗t+1,

u∗t+1 = δεt+1+ut+1 δ1

xt δ1 = δγ t

t+1 xt xt+1 γ �= 0 xt+1

δ1

xt

t+ 1

yt+1 = θ0xt+1 + θ1xt + θ2xt−1 + θ3xt−2 + θ4xt−3 + . . .+ et+1.

θh

h = 1 R(1)MA = θ1


yt xt = 1t xt = 0

γ

( )∂yt+1

∂xt= δγ θ1

∂yt+1

∂xt

∣∣∣xt+1

= 0

xt+1 xt

R(h)MA = E [yt+h|xt = 1,Ωt−1, xt+h−1, ..., xt+1]− E [yt+h|xt = 0,Ωt−1, xt+h−1, ..., xt+1] ,

R(h)LP = E [yt+h|εt = 1,Ωt−1]− E [yt+h|εt = 0,Ωt−1] .

RLP RMA γ > 0 γ < 0

γ

RLP (h) �= RMA(h) γ �= 0 h ≥ 1

xt

xt

εt = xt − γxt−1.

R∗(h) xt εt

t t + h

xt+h


yt+h = δh,0xt + δh,1xt+1 + ξt+h,

δh,0 h xt

RF (h)

xt

R(h)F = R(h)∗ = R(h)MA ∀ γ h

xt

δh,0∂xt+1

∂xt�= 0 γ �= 0

h

h

R(h)MA = R(h)∗ γ

R(h)

εt xt

xt

yt = δγtx0 + δt∑

i=0

γiεt−i + ut.

yt εt R(h)MA−per

θ̃h

yt = θ̃0εt + θ̃1εt−1 + θ̃2εt−2 + θ̃3εt−3 + θ̃4εt−4 + . . .+ et.

yt εt


E(εt−sut−r) = 0 ∀s, r ≥ 0 ut εt N (0, 1)

B0 = 1.5 B1 = 1 ρ = 0.9 σ2ε = σ2

u

ρ xt yt

B1

yt xt

yt+h = ρyt−1 + βh,0xt + βh,1xt−1 + βh,fxt+1 + ξt+h.

θ̃h = δh ∀ h

xt

θ0 = θ̃0 = δ θ1 = θ̃1 − γθ̃0, . . . , θh = θ̃h − γθ̃h−1 yt+1

xt δ1 = θ̃1 xt yt+1

yt+1 xt γδ

xt

xt

R(h)MA−per = R(h) = R(h)LP ∀ γ h

yt = ρyt−1 +B0xt +B1xt−1 + ut


γ = 0yt


γ = 0.2ρ

γ = 0

βh,f = 0 γ = 0.2 βh,f = 0

γ = 0.2 βh,f �= 0

xt

B1 xt

β̂1,0 = 1.5

ρ B1

R̂(h)LP → R(h)∗

xt

yt

βh,f = 0

0 2 4 6 8 10 12 14 16 18 200

0.5

1

1.5

2

2.5

3

= 0 0 0 & leads

γ = 0γ = 0.2

γ = 0.2

R̂(h)LP > R(h)∗

h > 0 xt

γ ρ


xt

R̂(h)F → R(h)∗

xt

xt

R̂MA(h) → R∗(h) γ

ρ < 1

yt = (1− ρL)−1 (B0 +B1L) xt + (1− ρL)−1 ut,

L

ut xt

yt xt ϑh

yt = ϑ0xt + ϑ1xt−1 + ϑ2xt−2 + ϑ3xt−3 + . . .+ ϑHxt−H + ξt,

H

0 2 4 6 8 10 12 14 16 18 200

0.5

1

1.5

2

2.5

3

γ = 0γ = 0.2

xt ε̂t εt


γ = 0

γ = 0.2

xt ε̂t

xt ϑh

xt γ

R̂(h)MA → R(h)∗ γ

R̂(h)LP γ = 0 R̂(h)F

εt

xt

xt εt

xt

γ �= 0 R̂(h)MA−per = R̂(h)LP → R(h)

zt

zt

yt = βgt + ut

ut = mt + at

gt = λxt + (1− λ)mt

zt = xt + νt


at νt εt N (0, 1)

gt yt


gt

mt zt

λ �= 0

xt γ �= 0

β = 2

λ γ gt yt

γ = 0 γ = 0.2

1 2 3 4 50

0.5

1

1.5

2

2.5

3

No endogeneityOLSIV

1 2 3 4 50

0.5

1

1.5

2

2.5

3

No endogeneity, =0OLS, =0.2IV, =0.2IV with leads, =0.2

γ = 0 γ = 0.2

γ = 0 λ = 1

gt yt

λ = 0.5

γ = 0

gt

zt

gt

xt γ = 0

γ = 0.2


γ = λ = 1

gt

zt

β = 2


R(h)∗

R(h)∗

R(h) xt εt

γ �= 0

R(h)∗

R(h)

R(h)∗

R(h)∗

R(h)


18.4%

yt gt

yt,h = βyhshockt +

P∑j=1

ρzj,hzt−j +h∑

f=1

γf,hshockt+f + ξt

gt,h = βghshockt +

P∑j=1

ρzj,hzt−j +h∑

f=1

γf,hshockt+f + εt,


h

zt P yt gt shockt

h shockt

h h

γf,h = 0 ∀ f, h

γf,h �= 0

Mt,h =

∑hi=1 β

yh∑h

i=1 βgh

.


0 5 10 15 20

quarter

-0.05

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35GDP

0 5 10 15 20

quarter

-0.05

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35

0.4

0.45GOV

h

xt+h = St−1

[αA,h +

P∑j=1

ρA,j,hzt−j + βA,hshockt +h∑

f=1

δA,f,hshockt+f

]+

(1− St−1)

[αB,h +

P∑j=1

ρA,j,hzt−j + βB,hshockt +h∑

f=1

δB,f,hshockt+f

]+ ξt+h,

xt St

St = 1 St = 0

δA,f,h = δB,f,h = 0 ∀f, h


0 5 10 15 20

quarter

-0.1

0

0.1

0.2

0.3GDP - EXPANSION

0 5 10 15 20

quarter

-0.1

0

0.1

0.2

0.3

0.4GOV - EXPANSION

0 5 10 15 20

quarter

-0.4

-0.2

0

0.2

0.4

0.6

0.8GDP - RECESSION

0 5 10 15 20

quarter

-0.5

0

0.5

1GOV - RECESSION

h


St

St

St

0 2 4 6 8 10 12 14 16 18 20

quarter

-2

-1.5

-1

-0.5

0

0.5

1

cum

ulat

ive

mul

tiplie

r

EXP, no leadsEXP, with leadsREC, no leadsREC, with leads


yi,t μh,i

λh,t Xt

βh,0

h

βh,f = 0 ∀h, f

βh,f �= 0

yi,t+h = μh,i + λh,t + βh,0shocki,t +h∑

f=1

βh,fshocki,t+f + βh,sXi,t + ξi,t+h,


βh,f = 0 ∀h, f

βh,f �= 0 h

yt+h − yt−1yt−1

= βh,0shockt +h∑

f=1

βh,fshockt+f + ξt+h.

0 1 2 3 4 5 6 7 8

year

-2

-1.5

-1

-0.5

0

0.5

perc

ent

GDP


βh,f = 0 ∀h, f

βh,f �= 0

0 2 4 6 8 10 12

quarter

-5

-4

-3

-2

-1

0

1

2

3

perc

ent

GDP

βh,f = 0

βh,f �= 0h


yt+h = δhxt + ξt+h,

δh = R(h)LP xt yt+h

δh

δh =cov(yt+h, xt)

var(xt).

xt yt+h

yt = θ0xt + θ1xt−1 + θ2xt−2 + θ3xt−3 + θ4xt−4 . . .+ ut.

∀t

yt+h = θ0xt+h + θ1xt+h−1 + θ2xt+h−2 + θ3xt+h−3 + . . .+ θhxt + ut,

θh = R(h)MA h

θh =cov(yt+h, xt)

var(xt)

∣∣∣xt+1,...,xt+h

.

γ = 0 xt = εt ∼ (με, σ2ε)

θh =cov(yt+h, xt)

var(xt)

∣∣∣xt+1,...,xt+h

=cov(yt+h, xt)

var(xt).

δh = θh R(h)LP = R(h)MA ∀hR(h)MA = R(h)∗ ∀h, γ

R(h)∗ =∂yt+h

∂xt

∣∣∣xt+1,...,xt+h

=cov(yt+h, xt)

var(xt)

∣∣∣xt+1,...,xt+h

.

γ �= 0

δh =cov(yt+h, xt)

var(xt)=

cov(δxt+h + ut+h, xt)

var(xt)= δ

cov(xt+h, xt)

var(xt)= δγh,

xt+h = γhxt +h−1∑j=0

γjεt+h−j.


xt

θh =cov(yt+h, xt)

var(xt)

∣∣∣xt+1,...,xt+h

= δcov(xt+h, xt)

var(xt)

∣∣∣xt+1,...,xt+h

.

h = 0 θ0 = δ cov(xt,xt)var(xt)

= δ h > 0

θh = δ cov(xt+h,xt)

var(xt)

∣∣∣xt+1,...,xt+h

= 0 γ �= 0 R(h)LP =

R(h)MA h = 0 �

yt+h = δh,0xt + δh,1xt+1 + ξt+h,

δh,0 = R(h)F xt yt+h

δh,0

δh,0 =cov(yt+h, xt)

var(xt)

∣∣∣xt+1

= δcov(xt+h, xt)

var(xt)

∣∣∣xt+1

.

xt

xt+1

θh =cov(yt+h, xt)

var(xt)

∣∣∣xt+1,...,xt+h

= δcov(xt+h, xt)

var(xt)

∣∣∣xt+1

= δh,0.

h = 0

θ0 =cov(yt, xt)

var(xt)

∣∣∣xt+1,...,xt+h

=cov(yt, xt)

var(xt)= δ = δ0,0.

h > 0

δh,0 = δcov(xt+h, xt)

var(xt)

∣∣∣xt+1

= δγh−1 cov(xt+1, xt)

var(xt)

∣∣∣xt+1

= 0.

θh =cov(yt+h, xt)

var(xt)

∣∣∣xt+1,...,xt+h

= δγh−1 cov(xt+1, xt)

var(xt)

∣∣∣xt+1

= 0.

R(h)F = R(h)MA ∀ h γ R(h)MA = R(h)∗

�


yt = θ̃0εt + θ̃1εt−1 + θ̃2εt−2 + θ̃3εt−3 + θ̃4εt−4 . . .+ ut,

θ̃0 = R(h)MA−per εt yt+h εt

yt εt

εt ∼ (με, σ2ε)

θ̃h =cov(yt+h, εt)

var(εt)

∣∣∣εt+1,...,εt+h

=cov(yt+h, εt)

var(εt)= δ

cov(xt+h, εt)

var(εt).

θ̃h = δh R(h)MA−per =

R(h)LP xt+h

θ̃h = δγhcov(xt +

∑h−1j=0 γ

jεt+h−j, εt)

var(εt)= δγh cov(xt, εt)

var(εt)= δγh.

θ̃h = δh ∀ h �


xt xt

εt = xt −γxt−1 εt xt

B1 = 0

yt+h = ρhyt−1 + λhεt + ξt+h.

yt εt

εt

h = 0 h = 1

λ0 =∂yt+1

∂εt= B0

λ1 =∂yt+1

∂εt= ρ

∂yt∂εt

+B0∂xt+1

∂εt= ρB0 +B0γ = B0(γ + ρ).

xt

xt yt+1 yt+2

yt xt

B1 �= 0 ε̂t

εt

yt+h = ρyt−1 + λh,0ε̂t + λh,1ε̂t−1 + ξt+h.

ε̂t

γ = 0


ε̂t

0 2 4 6 8 10 12 14 16 18 200

0.5

1

1.5

2

2.5

3

γ = 0γ = 0.2

yt = ρyt−1 + δ0xt + δ1xt−1 + εyt

xt = γxt−1 + εxt .

A0Yt = B∗Yt−1 + εt

[1 0

−δ0 1

][xt

yt

]=

[γ 0

δ1 ρ

][xt−1yt−1

]+

[εxt

εyt

].


Yt = BYt−1 + ut,

B = A−10 B∗ ut = A−1

0 εt

xt

ut

γ �= 0 yt εxt

xt ρ = δ1 = 0

xt

yt R(h)V AR = δ0∑∞

k=0 γkεxt−k

xt γ �= 0

ρ = 0.9 δ0 = 1.5 δ1 = 1 γ = 0 γ = 0.2

yt xt εxt

yt

γ xt

xt xt

xt

xt

xt

yt xt

yt xt

xt xt

γ


0 2 4 6 8 10 12 14 16 18 200

0.5

1

1.5

2

2.5

3

VAR = 0VAR = 0.2VAR-X = 0VAR-X = 0.2

yt εxtγ

εxt

yt εxt xt εxt

0 2 4 6 8 10 12 14 16 18 200

0.5

1

1.5

2

2.5

3

LP = 0LP = 0.2VAR = 0VAR = 0.2

0 2 4 6 8 10 12 14 16 18 200

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1

VAR = 0VAR = 0.2

yt xt εxtγ

γ = 0 γ = 0.2γ = 0

γ = 0.2


yt xt

yt = ρyt−1 +B0xt +B1xt−1 + ut,

xt

ut ut ∼ N (0, 1) ρ = 0.9

B0 = 1.5 B0 = 1

497

0 2 4 6 8 10 12 14 16 18 200

0.5

1

1.5

2

2.5

3

3.5

True IRFLP - 0 forwardsLP - 1 forwardLP - 20 forwards


yt

shockt

xt

yt+h = βh,0shockt + θh(L)xt + βh,f

h∑f=1

shockt+f + ξt+h,


0 10 20 30 40 50

month

-3

-2

-1

0

1

2

3

perc

ent

FEDERAL FUNDS

0 10 20 30 40 50

month

-4

-3

-2

-1

0

1

2

perc

ent

INDUSTRIAL PRODUCTION

0 10 20 30 40 50

month

-0.5

0

0.5

1

perc

ent

UNEMPLOYMENT

0 10 20 30 40 50

month

-4

-3

-2

-1

0

1

perc

ent

CPI

h

βh,f = 0 ∀h, f

βh,f �= 0


xt βh,f = 0

βh,f �= 0

0 10 20 30 40 50

month

-3

-2

-1

0

1

2

3

perc

ent

FEDERAL FUNDS

0 10 20 30 40 50

month

-4

-3

-2

-1

0

1

2

perc

ent


0 10 20 30 40 50

month

-0.5

0

0.5

1

1.5

perc

ent

UNEMPLOYMENT

0 10 20 30 40 50

month

-4

-3

-2

-1

0

1

2

perc

ent

CPI

h


yt+h = βh,0shockt + θh(L)xt + βh,f

min{h,12}∑f=1

shockt+f + ξt+h,

yt

shockt

xt

h

h < 12 12

βh,f = 0

∀h, f βh,f �= 0


0 10 20 30 40 50

month

-2

0

2

4

6

8

perc

ent

ONE-YEAR RATE

0 10 20 30 40 50

month

-0.05

0

0.05

0.1

0.15

0.2

0.25

perc

ent


0 10 20 30 40 50

month

-4

-2

0

2

4

perc

ent

EXCESS BOND PREMIUM

0 10 20 30 40 50

month

-0.06

-0.04

-0.02

0

0.02

0.04

perc

ent

CPI

hh = 12 12


−0.

30−

0.20

−0.

100.

000.

100.

20A

utoc

orre

latio

ns o

f sho

ck

0 10 20 30 40Lag

−0.

20−

0.10

0.00

0.10

0.20

Aut

ocor

rela

tions

of s

hock

0 10 20 30 40Lag

−0.

20−

0.10

0.00

0.10

0.20

0.30

Aut

ocor

rela

tions

of s

hock

0 10 20 30 40Lag

−0.

100.

000.

100.

200.

30A

utoc

orre

latio

ns o

f sho

ck

0 10 20 30 40Lag

−0.

20−

0.10

0.00

0.10

0.20

Aut

ocor

rela

tions

of s

hock

0 10 20 30 40Lag

−0.

20−

0.10

0.00

0.10

0.20

Aut

ocor

rela

tions

of s

hock

0 10 20 30 40Lag


1955 1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010

date

-1.5

-1

-0.5

0

0.5

1

1.5

2

perc

ent

1975 1980 1985 1990 1995 2000 2005

date

-2

-1.5

-1

-0.5

0

0.5

1

1.5

2

2.5

3

perc

ent

1990 1995 2000 2005 2010

date

-0.3

-0.25

-0.2

-0.15

-0.1

-0.05

0

0.05

rate

1900 1920 1940 1960 1980 2000

date

-0.2

-0.1

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

perc

ent

1970 1975 1980 1985 1990 1995

date

-3.5

-3

-2.5

-2

-1.5

-1

-0.5

0

0.5

1

1.5

2

perc

enta

ge p

oint

s

1950 1960 1970 1980 1990 2000

date

-2

-1.5

-1

-0.5

0

0.5

1

perc

ent


0 5 10 15 20

quarter

-0.1

0

0.1

0.2

0.3

0.4

0.5GDP

0 5 10 15 20

quarter

-0.1

0

0.1

0.2

0.3

0.4

0.5

0.6

0.7GOV

h

0 2 4 6 8 10 12 14 16 18 20

quarter

0.5

0.6

0.7

0.8

0.9

1

1.1

1.2

1.3

cum

ulat

ive

mul

tiplie

r


0 2 4 6 8 10 12 14 16 18 20

quarter

-2

-1.5

-1

-0.5

0

0.5

1

cum

ulat

ive

mul

tiplie

r

EXP, no leadsEXP, with leadsEXP, with leads (fixed state)REC, no leadsREC, with leadsREC, with leads (fixed state)

0 1 2 3 4 5 6 7 8

year

-1.6

-1.4

-1.2

-1

-0.8

-0.6

-0.4

-0.2

0

0.2

perc

ent

CONSUMPTION

βh,f = 0

βh,f �= 0 h

BANCO DE ESPAÑA PUBLICATIONS

WORKING PAPERS

1840 ALESSIO MORO and OMAR RACHEDI: The changing structure of government consumption spending.

1841 GERGELY GANICS, ATSUSHI INOUE and BARBARA ROSSI: Confi dence intervals for bias and size distortion in IV

and local projections – IV models.

1842 MARÍA GIL, JAVIER J. PÉREZ, A. JESÚS SÁNCHEZ and ALBERTO URTASUN: Nowcasting private consumption:

traditional indicators, uncertainty measures, credit cards and some internet data.

1843 MATÍAS LAMAS and JAVIER MENCÍA: What drives sovereign debt portfolios of banks in a crisis context?

1844 MIGUEL ALMUNIA, POL ANTRÀS, DAVID LÓPEZ-RODRÍGUEZ and EDUARDO MORALES: Venting out: exports during

a domestic slump.

1845 LUCA FORNARO and FEDERICA ROMEI: The paradox of global thrift.

1846 JUAN S. MORA-SANGUINETTI and MARTA MARTÍNEZ-MATUTE: An economic analysis of court fees: evidence from

the Spanish civil jurisdiction.

1847 MIKEL BEDAYO, ÁNGEL ESTRADA and JESÚS SAURINA: Bank capital, lending booms, and busts. Evidence from

Spain in the last 150 years.

1848 DANIEL DEJUÁN and CORINNA GHIRELLI: Policy uncertainty and investment in Spain.

1849 CRISTINA BARCELÓ and ERNESTO VILLANUEVA: The risk of job loss, household formation and housing demand:

evidence from differences in severance payments.

1850 FEDERICO TAGLIATI: Welfare effects of an in-kind transfer program: evidence from Mexico.

1851 ÓSCAR ARCE, GALO NUÑO, DOMINIK THALER and CARLOS THOMAS: A large central bank balance sheet? Floor vs

corridor systems in a New Keynesian environment.

1901 EDUARDO GUTIÉRREZ and ENRIQUE MORAL-BENITO: Trade and credit: revisiting the evidence.

1902 LAURENT CAVENAILE and PAU ROLDAN: Advertising, innovation and economic growth.

1903 DESISLAVA C. ANDREEVA and MIGUEL GARCÍA-POSADA: The impact of the ECB’s targeted long-term refi nancing

operations on banks’ lending policies: the role of competition.

1904 ANDREA ALBANESE, CORINNA GHIRELLI and MATTEO PICCHIO: Timed to say goodbye: does unemployment

benefi t eligibility affect worker layoffs?

1905 CORINNA GHIRELLI, MARÍA GIL, JAVIER J. PÉREZ and ALBERTO URTASUN: Measuring economic and economic

policy uncertainty, and their macroeconomic effects: the case of Spain.

1906 CORINNA GHIRELLI, JAVIER J. PÉREZ and ALBERTO URTASUN: A new economic policy uncertainty index for Spain.

1907 ESTEBAN GARCÍA-MIRALLES, NEZIH GUNER and ROBERTO RAMOS: The Spanish personal income tax:

facts and parametric estimates.

1908 SERGIO MAYORDOMO and OMAR RACHEDI: The China syndrome affects banks: the credit supply channel of

foreign import competition.

1909 MÓNICA CORREA-LÓPEZ, MATÍAS PACCE and KATHI SCHLEPPER: Exploring trend infl ation dynamics in Euro Area

countries.

1910 JAMES COSTAIN, ANTON NAKOV and BORJA PETIT: Monetary policy implications of state-dependent prices and wages.

1911 JAMES CLOYNE, CLODOMIRO FERREIRA, MAREN FROEMEL and PAOLO SURICO: Monetary policy, corporate

fi nance and investment.

1912 CHRISTIAN CASTRO and JORGE E. GALÁN: Drivers of productivity in the Spanish banking sector: recent evidence.

1913 SUSANA PÁRRAGA RODRÍGUEZ: The effects of pension-related policies on household spending.

1914 MÁXIMO CAMACHO, MARÍA DOLORES GADEA and ANA GÓMEZ LOSCOS: A new approach to dating the reference

cycle.

1915 LAURA HOSPIDO, LUC LAEVEN and ANA LAMO: The gender promotion gap: evidence from Central Banking.

1916 PABLO AGUILAR, STEPHAN FAHR, EDDIE GERBA and SAMUEL HURTADO: Quest for robust optimal

macroprudential policy.

1917 CARMEN BROTO and MATÍAS LAMAS: Is market liquidity less resilient after the fi nancial crisis? Evidence for US

treasuries.

1918 LAURA HOSPIDO and CARLOS SANZ: Gender Gaps in the Evaluation of Research: Evidence from Submissions to

Economics Conferences.

1919 SAKI BIGIO, GALO NUÑO and JUAN PASSADORE: A framework for debt-maturity management.

1920 LUIS J. ÁLVAREZ, MARÍA DOLORES GADEA and ANA GÓMEZ-LOSCOS: Infl ation interdependence in advanced

economies.

1921 DIEGO BODAS, JUAN R. GARCÍA LÓPEZ, JUAN MURILLO ARIAS, MATÍAS J. PACCE, TOMASA RODRIGO LÓPEZ,

JUAN DE DIOS ROMERO PALOP, PEP RUIZ DE AGUIRRE, CAMILO A. ULLOA and HERIBERT VALERO LAPAZ:

Measuring retail trade using card transactional data.

1922 MARIO ALLOZA and CARLOS SANZ: Jobs multipliers: evidence from a large fi scal stimulus in Spain.

1923 KATARZYNA BUDNIK, MASSIMILIANO AFFINITO, GAIA BARBIC, SAIFFEDINE BEN HADJ, ÉDOUARD CHRÉTIEN,

HANS DEWACHTER, CLARA ISABEL GONZÁLEZ, JENNY HU, LAURI JANTUNEN, RAMONA JIMBOREAN,

OTSO MANNINEN, RICARDO MARTINHO, JAVIER MENCÍA, ELENA MOUSARRI, LAURYNAS NARUŠEVIČIUS,

GIULIO NICOLETTI, MICHAEL O’GRADY, SELCUK OZSAHIN, ANA REGINA PEREIRA, JAIRO RIVERA-ROZO,

CONSTANTINOS TRIKOUPIS, FABRIZIO VENDITTI and SOFÍA VELASCO: The benefi ts and costs of adjusting bank

capitalisation: evidence from Euro Area countries.

1924 MIGUEL ALMUNIA and DAVID LÓPEZ-RODRÍGUEZ: The elasticity of taxable income in Spain: 1999-2014.

1925 DANILO LEIVA-LEON and LORENZO DUCTOR: Fluctuations in global macro volatility.

1926 JEF BOECKX, MAARTEN DOSSCHE, ALESSANDRO GALESI, BORIS HOFMANN and GERT PEERSMAN:

Do SVARs with sign restrictions not identify unconventional monetary policy shocks?

1927 DANIEL DEJUÁN and JUAN S. MORA-SANGUINETTI: Quality of enforcement and investment decisions. Firm-level

evidence from Spain.

1928 MARIO IZQUIERDO, ENRIQUE MORAL-BENITO and ELVIRA PRADES: Propagation of sector-specifi c shocks within

Spain and other countries.

1929 MIGUEL CASARES, LUCA DEIDDA and JOSÉ E. GALDÓN-SÁNCHEZ: On fi nancial frictions and fi rm market power.

1930 MICHAEL FUNKE, DANILO LEIVA-LEON and ANDREW TSANG: Mapping China’s time-varying house price landscape.

1931 JORGE E. GALÁN and MATÍAS LAMAS: Beyond the LTV ratio: new macroprudential lessons from Spain.

1932 JACOPO TIMINI: Staying dry on Spanish wine: the rejection of the 1905 Spanish-Italian trade agreement.

1933 TERESA SASTRE and LAURA HERAS RECUERO: Domestic and foreign investment in advanced economies. The role

of industry integration.

1934 DANILO LEIVA-LEON, JAIME MARTÍNEZ-MARTÍN and EVA ORTEGA: Exchange rate shocks and infl ation comovement

in the euro area.

1935 FEDERICO TAGLIATI: Child labor under cash and in-kind transfers: evidence from rural Mexico.

1936 ALBERTO FUERTES: External adjustment with a common currency: the case of the euro area.

1937 LAURA HERAS RECUERO and ROBERTO PASCUAL GONZÁLEZ: Economic growth, institutional quality and fi nancial

development in middle-income countries.

1938 SILVIA ALBRIZIO, SANGYUP CHOI, DAVIDE FURCERI and CHANSIK YOON: International Bank Lending Channel of

Monetary Policy.

1939 MAR DELGADO-TÉLLEZ, ENRIQUE MORAL-BENITO and JAVIER J. PÉREZ: Outsourcing and public expenditure: an

aggregate perspective with regional data.

1940 MYROSLAV PIDKUYKO: Heterogeneous spillovers of housing credit policy.

1941 LAURA ÁLVAREZ ROMÁN and MIGUEL GARCÍA-POSADA GÓMEZ: Modelling regional housing prices in Spain.

1942 STÉPHANE DÉES and ALESSANDRO GALESI: The Global Financial Cycle and US monetary policy

in an interconnected world.

1943 ANDRÉS EROSA and BEATRIZ GONZÁLEZ: Taxation and the life cycle of fi rms.

1944 MARIO ALLOZA, JESÚS GONZALO and CARLOS SANZ: Dynamic effects of persistent shocks.

Unidad de Servicios AuxiliaresAlcalá, 48 - 28014 Madrid

E-mail: [email protected]

Documentos de Trabajo N.º 1944 - Bank of Spain...Documentos de Trabajo. N.º 1944 2019 (*) We thank...

Documents

Transcript of Documentos de Trabajo N.º 1944 - Bank of Spain...Documentos de Trabajo. N.º 1944 2019 (*) We thank...