Person:
Pérez Sánchez, Rafaela María

First Name

Rafaela María

Last Name

Pérez Sánchez

Affiliation

Universidad Complutense de Madrid

Faculty / Institute

Ciencias Económicas y Empresariales

Department

Análisis Económico y economía cuantitativa

Area

Fundamentos del Análisis Económico

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Now showing 1 - 10 of 13

Efectos macroeconómicos de la composición del gasto público
(Universidad Complutense de Madrid, Servicio de Publicaciones, 2004) Pérez Sánchez, Rafaela María; González-Páramo, José Manuel
El objetivo de la Tesis es el análisis de los efectos macroeconómicos de los gastos públicos de consumo corriente destinados a la explotación y mantenimiento del capital público físico. Este objetivo se abarca desde una doble vertiente, empírica y teórica. Desde el punto de vista empírica se analizan los efectos dinámicos de ciertas partidas de consumo público sobre el crecimiento del producto interior bruto, con datos estadounidenses. Desde la perspectiva teórica se elabora un modelo de equilibrio general de agente representativo, dinámico y estocástico, con expectativas racionales. Este modelo es consistente con la evidencia empírica encontrada; y se utiliza par ejercicios de simulación con valores paramétricos calibrados para estados unidos
Exploring the sources of Spanish macroeconomic fluctuations: An estimation of a small open economy DSGE model
(Elsevier, 2016) Martín Moreno, José M; Pérez Sánchez, Rafaela María; Ruiz Andújar, Jesús
This paper analyzes the role of a variety of shocks as determinants of Spanish macroeconomic fluctuations before the international financial and economic crisis (1970–2008). To do this we estimate a small open economy stochastic model using Kalman Filter techniques. The set of estimated parameters allows the replication with remarkable accuracy of the time path for the major macroeconomic aggregates. In particular, the model reproduces the so-called dual inflation phenomenon which burdens the competitiveness of the Spanish economy.
Fossil Fuel Price Shocks and CO2 Emissions: The Case of Spain
(International Association for Energy Economics, 2017) Blázquez, Jorge; Martín Moreno, José María; Pérez Sánchez, Rafaela María; Ruiz Andújar, Jesús
This paper focuses on the impact of oil, natural gas and coal price shocks on the Spanish business cycle from 1969 to 2013. It uses Bayesian procedures to estimate a Dynamic Stochastic General Equilibrium (DSGE) model for a small open economy. The paper shows that natural gas and coal shocks are relevant sources of macroeconomic disruption in addition to oil price shocks. The three fossil fuel prices have an impact on the economic activity and explain the evolution of the energy mix. However, we find that oil price shocks have a significantly larger impact on economic volatility. Finally, we assess the impact of hydrocarbon price shocks on carbon emissions given that different price shocks result in a different fossil fuel mix and, thus, in different CO2 emissions.
Monetary policy regimes and the forward bias for foreign exchange
(ELSEVIER, 2016) Lafuente, Juan A; Pérez Sánchez, Rafaela María; Ruiz Andújar, Jesús
This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the well-known Lucas (1982) model by allowing for the existence ofmonetarypolicy regimes. The monetary supply is viewed as having two stochastic components: (a) a persistent component that reflects the preferences of the central bank regarding the long-run money supply or inflation target, and (b) a transitory component that represents short-lived interventions. To generate agents’ forecasts, we consider two scenarios: (a) consumers can distinguish the permanent and the transitory components of the money supply (complete information), and (b) consumers face a signal-extraction problem to disentangle permanent and transitory components of the money supply (incomplete information). We simulate the model from a careful estimate of the parameters involved in the model. Numerical simulations reveal that, under complete information, forward unbiasedness cannot be rejected at conventionally significant levels. However, when learning about monetary policy is incorporated, the forward bias can be reproduced without artificially assuming an unreasonable degree of risk aversion.
Un modelo de Uso Eficiente de las Infraestructuras Públicas
(Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid, 2002) Pérez Sánchez, Rafaela María
Se formula un modelo teórico de equilibrio general con un sector público que acumula infraestructuras, en el que se incorpora un papel productivo para cierto consumo público que contribuye a un uso eficiente del capital público físico. Este modelo, de Uso Eficiente de las Infraestructuras, permite obtener conclusiones radicalmente distintas a las del modelo estándar de consumo público no productivo: bajo la hipótesis de consumo público eficiente, el Ratio de Composición del Gasto Público óptimo (la proporción de gasto público que debe destinarse a consumo) es estrictamente positiva. Este Ratio de Composición óptimo viene determinado por el equilibrio entre dos tipos de efectos que genera el consumo público sobre las infraestructuras nominativas: un efecto eficiencia positivo y un efecto desplazamiento negativo. ABSTRACT:This paper designs a general equilibrium model with a public sector which builds up public infrastructure. Public consumption expenditure is necessary for an efficient use of public physical capital, so there exists a productive effect for such type of public spending. The normative results derived from this framework are then confronted to the standard non-productive public consumption model. Under the assumption of efficient public consumption, the percentage of total public expenditure that must be allocated to consumption is strictly positive. This optimal percentage is obtained from the equilibrium between two opposite effects led by public consumption on public physical capital: a positive efficiency effect and a negative crowding-out effect.
Characterizing the optimal composition of government expenditures
(Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid, 2004) Pérez Sánchez, Rafaela María
This paper extends the neoclassical growth model with productive public capital by including an infrastructure efficiency index, which is assumed to depend on a public choice variable, in particular, the share of public spending allocated to productive public consumption. A golden rule for the allocation of public expenditure between productive consumption and investment is specified. Under this framework, the observed path for the stock of infrastructures and the proposed efficiency index in the US economy during the last fifty years have been close to optimal: a lower stock of infrastructures has been accumulated, but it has been used more efficiently. Este artículo extiende el modelo neoclásico de crecimiento con capital público productivo mediante la incorporación de un índice de eficiencia de las infraestructuras. Este índice se supone dependiente de una variable de elección del gobierno, en concreto, el porcentaje del gasto público destinado a consumo público productivo. Se propone una regla de oro para la distribución del gasto público entre consumo productivo e inversión. Bajo este contexto, las sendas temporales observadas en los últimos cincuenta años en la economía estadounidense para el stock de infraestructuras y el índice de eficiencia propuesto han sido cercanas a las sendas óptimas: se ha acumulado un menor stock de infraestructuras, pero también se ha utilizado de forma más eficiente.
Optimal time-consistent fiscal policy in an endogenous growth economy with public consumption and capital
(2013-06) Novales Cinca, Alfonso; Pérez Sánchez, Rafaela María; Ruiz Andújar, Jesús
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 policy, the economy lacks any transitional dynamics and also that there is local and global determinacy of equilibrium. We compare the Markovian optimal policy with the Ramsey policy as well as with the solution to the planner’s problem under lump-sum taxation. For empirically plausible parameter values we find that the Markov-perfect policy implies a higher tax rate and a larger proportion of government spending allocated to consumption than those chosen under a commitment constraint. As a result, economic growth is slightly lower under the Markov-perfect policy than under the Ramsey policy, with growth under lump-sum taxes being highest.
Dynamic laffer curve in an endogenous growth model with pollution
(Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid, 2002-09) Fernández Casillas, Mª Esther; Pérez Sánchez, Rafaela María; Ruiz Andújar, Jesús
En este artículo se estudian los efectos de una reforma impositiva caracterizada por un incremento en el impuesto medioambiental, en un modelo de crecimiento endógeno AK en el que ningún agente dedica recursos a reducir la contaminación y en el que ésta aparece como una externalidad negativa en la función de utilidad del consumidor representativo. Hay un nivel no óptimo de gasto público. Los resultados dependen de la fuente de financiación de dicho gasto. Si el gobierno no puede endeudarse, una reforma impositiva “verde” que mantiene constante el nivel de ingresos no tiene ningún efecto sobre contaminación, crecimiento y bienestar. Sin embargo, cuando se permite que el gobierno incurra en déficits a corto plazo, existe un amplio conjunto de reformas impositivas “verdes” que generan aumentos del bienestar. No obstante, en este nuevo escenario una reducción del impuesto medioambiental también permite obtener mejoras del bienestar. ABSTRACT: This paper discusses the effects of a green tax reform in an AK growth model without abatement activities and with a negative environmental externality in utility function. There is also a non-optimal level of public spending. The results depend on the financing source of public spending. When there is not public debt, a revenue-neutral green tax reform has not any effect on pollution, growth and welfare. On the contrary, when short-run deficits are financed by debt issuing, a variety of green tax reforms increase welfare. Nevertheless, in this framework, non-green tax reforms are also welfare improving.
Global and local indeterminacy and optimal environmental public policies in an economy with public abatement activities
(Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid, 2004) Pérez Sánchez, Rafaela María; Ruiz Andújar, Jesús
We study the dynamic properties of an endogenous growth model with pollution in which the government can control the pollution through distorting taxes on the pollutant firms and through public abatement activities. First, we characterize the conditions for indeterminacy of equilibria when the government is benevolent and chooses its tax policy by taking into account the decentralized competitive equilibrium. Under this second best setup we show that two balanced growth paths can be found (one with a low level of pollution and the other with a high level) both of which can be locally indeterminate. Therefore, under indeterminacy, the optimal public policies do not guarantee that the economy will converge towards the steady state characterized by a low level of pollution and neither guarantee that the economy will display, along the transition, low levels of pollution. Second, we show that the central planner solution might also display indeterminacy; in particular, two Pigouvian taxes can be found. Estudiamos las propiedades dinámicas de un modelo de crecimiento endógeno con contaminación en el que el gobierno puede controlar la contaminación mediante impuestos distorsionantes sobre las empresas que contaminan y mediante actividades públicas encaminadas a reducir la contaminación. Primero, caracterizamos las condiciones para que se produzca indeterminación de equilibrios cuando el gobierno es benevolente y elige su política fiscal teniendo en cuenta el equilibrio descentralizado. Demostramos que, en este contexto de second-best, puede encontrarse indeterminación global (puede haber dos sendas de crecimiento equilibrado) y local. Por tanto, bajo indeterminación, la politica económica óptima no garantiza que la economía convergerá hacia el estado estacionario caracterizado por un nivel de contaminación bajo y tampoco garantiza que, durante la transición, la economía mostrará bajos niveles de emisiones. Segundo, demostramos que la solución del planificador también puede estar indeterminada, en particular, pueden existir dos impuestos Pigouvianos.
Optimal time-consistent fiscal policy under endogenous growth with elastic labour supply
(2013-06) Novales Cinca, Alfonso; Pérez Sánchez, Rafaela María; Ruiz Andújar, Jesús
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 optimal policy with the Ramsey policy, extending previous works that characterized optimal fiscal policy either in an exogenous growth framework, assuming an exogenously given split of income between consumption and investment, or an inelastic supply of labour. The Markov-perfect policy implies a higher income tax rate. To compensate for the lower disposable income, a larger proportion of government spending is allocated to consumption than those chosen under a commitment constraint on the part of the government. As a result, economic growth is slightly lower under the Markov-perfect policy than under the Ramsey policy. The welfare loss relative to the benevolent planner’s solution is mainly due to the difference in growth rates.