Central bank research hub - Papers by João Valle e Azevedo
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Research hub papers by author João Valle e AzevedoenHow can the government spending multiplier be small at the zero lower bound?
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2018/2018-1174/en_tema_1174.pdf
Bank of Italy Working Papers by Valerio Ercolani and João Valle e AzevedoHow can the government spending multiplier be small at the zero lower bound?2018-04-01T00:17:04ZSome recent empirical evidence questions the typically large size of government spending multipliers when the nominal interest rate is stuck at zero, finding output multipliers of around 1 or even lower, with an upper bound of around 1.5 in some circumstances. In this paper, we use a recent estimate of the degree of substitutability between private and government consumption in an otherwise standard New Keynesian model to show that this channel significantly reduces the size of government spending multipliers obtained when the nominal interest rate is at zero. All else being equal, the relationship of substitutability makes a government spending shock crowd out private consumption while being less inflationary, thus limiting the typically expansionary effect of the fall in the real interest rate. Subject to the nominal interest rate being constrained at zero, the model generates output multipliers ranging from 0.8 to 1.6.How can the government spending multiplier be small at the zero lower bound?Full texthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2018/2018-1174/en_tema_1174.pdfValerio ErcolaniJoão Valle e AzevedoValerio Ercolani and João Valle e Azevedo2018-04Bank of Italy Working PapersE32E62Macroeconomic Forecasting Starting from Survey Nowcasts
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP201502.pdf
Bank of Portugal Working papers by João Valle e AzevedoMacroeconomic Forecasting Starting from Survey Nowcasts2015-04-02T17:32:59ZWe explore the use of nowcasts from the Philadelphia Survey of Professional Forecasters as a starting point for macroeconomic forecasting. Speciﬁcally, survey nowcasts are treated as an additional observation of the time series of interest. This simple approach delivers enhanced model performance through the straightforward use of timely information. Important gains in forecast accuracy are observed for multiple methods/models, especially at shorter horizons. Still, given that survey nowcasts are very hard to beat, this approach proves most useful as a means of developing a sharper forecasting routine for longer-term predictions.Macroeconomic Forecasting Starting from Survey NowcastsAbstracthttp://www.bportugal.pt/en-US/EstudosEconomicos/Publicacoes/Pages/BdPPublicationsResearchDetail.aspx?PublicationId=861Full texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP201502.pdfJoão Valle e AzevedoJoão Valle e Azevedo2015-04Bank of Portugal Working PapersC14C32C51C53The Output Effects of (Non-Separable) Government Consumption at the Zero Lower Bound
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201310.pdf
Bank of Portugal Working papers by João Valle e AzevedoThe Output Effects of (Non-Separable) Government Consumption at the Zero Lower Bound2014-01-21T06:19:00ZWe investigate the reaction of output to government spending shocks at the zero lower bound (ZLB) on the nominal interest rate when government and private consumption are non-separable in preferences. In particular, substitutability between private and government consumption significantly reduces the otherwise large output multipliers obtained at the ZLB. Additionally, the coupling of substitutability with a debt-stabilizing fiscal rule can generate negative output multipliers on impact.The Output Effects of (Non-Separable) Government Consumption at the Zero Lower BoundAbstracthttp://www.bportugal.pt/en-US/EstudosEconomicos/Publicacoes/Pages/BdPPublicationsResearchDetail.aspx?PublicationId=770Full texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201310.pdfJoão Valle e AzevedoJoão Valle e Azevedo2013-01Bank of Portugal Working PapersMacroeconomic Forecasting Using Low-Frequency Filters
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201301.pdf
Bank of Portugal Working papers by João Valle e Azevedo and Ana PereiraMacroeconomic Forecasting Using Low-Frequency Filters2013-02-26T12:41:59ZMacroeconomic Forecasting Using Low-Frequency FiltersAbstracthttp://www.bportugal.pt/en-US/EstudosEconomicos/Publicacoes/Pages/BdPPublicationsResearchDetail.aspx?PublicationId=719Full texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201301.pdfJoão Valle e AzevedoAna PereiraJoão Valle e Azevedo and Ana Pereira2013-02Bank of Portugal Working PapersC14C32C51C53Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200902.pdf
Bank of Portugal Working papers by Paulo M.M. Rodrigues, Antonio Rubia, João Valle e AzevedoFinite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration2009-01-22T12:41:59ZFinite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional IntegrationFull texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200902.pdfPaulo M.M. RodriguesJoão Valle e AzevedoAntonio RubiaPaulo M.M. Rodrigues, Antonio Rubia, João Valle e Azevedo2009-01Bank of Portugal Working PapersC20C22Approximating and Forecasting Macroeconomic Signals in Real-Time
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200819.pdf
Bank of Portugal Working papers by João Valle e Azevedo, Ana PereiraApproximating and Forecasting Macroeconomic Signals in Real-Time2008-11-25T17:38:00ZApproximating and Forecasting Macroeconomic Signals in Real-TimeFull texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200819.pdfJoão Valle e AzevedoAna PereiraJoão Valle e Azevedo, Ana Pereira2008-11Bank of Portugal Working PapersC14C32E32A Multivariate Band-Pass Filter
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200717.pdf
Bank of Portugal Working papers by João Valle e AzevedoA Multivariate Band-Pass Filter2007-10-25T17:38:00ZA Multivariate Band-Pass FilterFull texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200717.pdfJoão Valle e AzevedoJoão Valle e Azevedo2007-10Bank of Portugal Working PapersExact Limit of the Expected Periodogram in the Unit-Root case
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200713.pdf
Bank of Portugal Working papers by João Valle e AzevedoExact Limit of the Expected Periodogram in the Unit-Root case2007-09-28T17:36:59ZExact Limit of the Expected Periodogram in the Unit-Root caseFull texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200713.pdfJoão Valle e AzevedoJoão Valle e Azevedo2007-09Bank of Portugal Working PapersC22Interpretation of the Effects of Filtering Integrated Time Series
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200712.pdf
Bank of Portugal Working papers by João Valle e AzevedoInterpretation of the Effects of Filtering Integrated Time Series2007-09-28T17:36:59ZInterpretation of the Effects of Filtering Integrated Time SeriesFull texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200712.pdfJoão Valle e AzevedoJoão Valle e Azevedo2007-09Bank of Portugal Working PapersC22E32Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200205.pdf
Bank of Portugal Working papers by João Valle e AzevedoBusiness Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach2004-05-05T08:52:59ZBusiness Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain ApproachFull texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200205.pdfJoão Valle e AzevedoJoão Valle e Azevedo2002-05Bank of Portugal Working PapersTracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200316.pdf
Bank of Portugal Working papers by João Valle e Azevedo, Siem Jan Koopman, António RuaTracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area2004-05-05T08:52:59ZTracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro AreaFull texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/WP200316.pdfAntónio RuaJoão Valle e AzevedoSiem Jan KoopmanJoão Valle e Azevedo, Siem Jan Koopman, António Rua2003-05Bank of Portugal Working PapersC13C32E32