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- 저자 : João Tovar Jalles (검색결과 2 건)
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Monetary Aggregates and Macroeconomic Performance: The Portuguese Escudo, 1911–1999
João Tovar Jalles 한국국제경제학회 2019 International Economic Journal Vol.33 No.4
This paper provided a full characterization of several monetary aggregates over Portuguese’s historical economic business cycles. By focusing on the 1911–1999 period, the paper also revisits the issue of the role of money on real macroeconomic outcomes, inspired from the monetarists versus Keynesians debate on quest for validity of money (non-)neutrality. By means of descriptive statistics we first uncover that money changes were associated with changes in real economic activity. Most monetary aggregates are more volatile than GDP, display high serial autocorrelation, are generally countercyclical and lead the economic cycle. Then, through econometric analysis, our results show that our monetary series were characterized by unit roots and were cointegrated with real GDP. Evidence also suggested that money supply Granger-caused real GDP. Finally, both variance decomposition and impulse response function analyses from an estimated BVAR, uncovered a persistent and mutual effect running from a shock in real GDP to monetary aggregates and vice versa, therefore supporting the money non-neutrality hypothesis in the case of Portugal.
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The Price Relevance of Fiscal Developments
António Afonso,João Tovar Jalles 한국국제경제학회 2017 International Economic Journal Vol.31 No.1
We use Seemingly Unrelated Regressions Estimation methods to assess the link between prices, bond yields and the fiscal behavior. A first equation determines the country-specific cost of government financing via the long-term government bond yield, as a function of budget balance positions. A second equation links the price level to the cost of government financing. Our results for 15 EU countries in the period 1980Q1–2013Q4 show that improvements in the fiscal stance lead to persistent falls in sovereign yields; higher sovereign yields are reflected in upward price movements; improvements in the fiscal stance in recession times lead to short-term decreases in yields and better fiscal stance in expansions induce downward movement in bond yields only after 8 quarters.
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