Publications

Articles in Peer-Reviewed Journals

Abstract

The economic implications of oil price shocks have been extensively studied since the 1970s. Despite this huge literature, no dynamic stochastic general equilibrium model was available that captures two well- known stylized facts: (1) the stagflationary impact of an oil price shock, together with (2) the influence of the energy efficiency of capital on the depth and length of this impact. We build, estimate and simulate a New-Keynesian model with capital accumulation, which takes the case of an economy where oil is imported from abroad, and where these stylized facts can be accounted for. Moreover, the Bayesian estimation of the model on the US economy (1984–2007) suggests that the output elasticity of oil might have been above 10%, stressing the role of oil use in US growth at this time. Finally, our simulations confirm that an increase in energy efficiency significantly attenuates the effects of an oil shock—a pos- sible explanation of why the third oil shock (1999–2008) did not have the same macro-economic impact as the first two ones. These results suggest that oil consumption and energy efficiency have been two major engines for US growth in the last three decades.


Working Papers

Abstract

Despite the fact that the current covid-19 pandemic was neither the first nor the last disease to threaten a pandemic, only recently have studies incorporated epidemiology into macroeconomic theory. In our paper, we use a dynamic stochastic general equilibrium (DSGE) model with a financial sector to study the economic impacts of epidemics and the potential for unconventional monetary policy to remedy those effects. By coupling a macroeconomic model to a traditional epidemiological model, we are able to evaluate the pathways by which an epidemic affects a national economy. We find that no unconventional monetary policy can completely remove the negative effects of an epidemic crisis, save perhaps an exogenous increase in the shares of claims coming from the Central Bank (“epi loans”). To the best of our knowledge, our paper is the first to incorporate disease dynamics into a DSGE-SIR model with a financial sector and examine the effects of unconventional monetary policy.



Abstract

The consequences of oil price shocks in the real economy have preoccupied economists since the 1970s and the absence of a reaction has stunned them in the 2000s. However, despite the huge literature devoted to the subject, no Dynamic Stochastic General Equilibrium (DSGE) model has captured, all at the same time, four of the stylized effects observed after the oil price increase of the 2000s: the absence of a contemporaneous recession, coupled with a low increase in the inflation rate, a decrease in real wages and low price elasticity of oil demand in the short run. One of the reasons for this is that theoretical papers assume a high degree of substitutability between oil and other factors (capital and labor in production, other goods in consumption), an assumption that is not backed-up empirically. This paper introduces imperfect substitutability between oil and other factors and estimates the model parameters using empirical data from 1984:Q1 to 2007:Q3. The results of the Bayesian estimation suggests that the elasticities of substitution of oil are 0.086 in production and 0.014 in consumption. Furthermore, a sensitivity analysis of the estimated model points towards two main policy conclusions: (a) a stronger anti-inflationary Taylor rule can lead to a recession after an oil shock and; (b) wage flexibility could create a stronger increase in inflation and provoke a decrease in domestic consumption.

Abstract

The effects of oil shocks in inflation and growth have been widely discussed in the literature, however few have focused on the impact of oil price increases on unemploy- ment. In order to shed some light on this problem, this paper develops a medium scale Dynamic Stochastic General Equilibrium model (dsge) that allows for oil utilization in production and consumption as in Acurio-Vásconez (2015); unemployment as in Mortensen & Pissarides (1994); and staggered nominal wage contracting as in Gertler & Trigari (2009). It then analyzes the effects of oil price increases on the economy. The model recovers most of the well-known stylized facts observed after the oil shock in the 2000s’. A sensitivity analysis shows that the reduction of the bargaining power of households to negotiate wage contracts reduces the impact of an oil shock in unem- ployment, without affecting negatively gdp. However, it also shows that the reduction of bargaining power, together with wage flexibility strongly reduces the increase in unemployment after an oil shock, but causes a decrease in real wages, which reduces household income and affects GDP.


Work in Progress:

  • "Covid, Macroeconomics and Monetary Policy: What about Recession Depth and Recovery Paths?"

  • "Pollution, Capital Depreciation and Growth"

  • "How can the Government Incentive the Energy Transition?"

  • "Oil Dependence and Oil Shocks Impacts: Europe vs United States "

  • "The Effects of the Energy Transition on Unemployment"

  • "A DSGE Model for a Energy Producer Country"

  • "Could Structural Change Explain the Dynamics of Worked Hours?"