Recently (April 2000), the New Market index began to be computed in the Spanish Stock Exchange as a relevant indicator of the new technological firms’ behavior in the Spanish economy. This paper provides empirical evidence about the relationships between the return and volatility of Spanish...

In an endogenous growth model with human capital acumulation,I discuss the feasibility of a reduction in a marginal tax rate on labor and capital income, given a predeterminated path for government expenditures. A permanent tax cut is feasible if it can be compensated by an increase in the tax...

In an AK endogenous growth setup with a time-to-build investment technology, the steadystate growth rate and the level of welfare are shown not to be independent ot the time distribution of the financing of an investment project. We emphasize that welfare effects in the AK model are of opposite...

Forward exchange rate unbiassedness is rejected for international exchange markets. This paper proposes a stochastic general equilibrium model which generates substantial variability in the magnitude of predictable excess returns. Simulation exercises suggest that high persistency in the...

This paper presents the state of art in optimal fiscal policy, focusing on the more promising research lines in this topic. In particular, we show the main results on how the government must implement optimal fiscal policy in different frameworks: from static to dynamic stochastic settings and,...

We show that in a simple growth model, where public consumption enters the utility function, and under constant returns to scale in production, the competitive equilibrium can be undetermined. Indeterminacy of equilibria arises for plausible values of the elasticity of intertemporal substitution...

This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatility that distinguishes the short-term dynamics from...

We propose a new approach to evaluating the usefulness of a set of forecasts, based on the use of a discrete loss function de…ned on the space of data and forecasts. Existing procedures for such an evaluation either do not allow for formal testing, or use tests statistics based just on the...

In an endogenous growth model with public consumption and public investment, we explore the time-consistent optimal choice for two policy instruments: an income tax rate and the split of government spending between consumption and investment. We show that under the time-consistent, Markov...

In an endogenous growth model with public consumption and investment and an elastic labour supply, we explore the time-consistent optimal choice for two policy instruments: an income tax rate and the split of government spending between consumption and investment. We compare the Markovian...