Gabriel Perez-Quiros

Banco de España

Madrid 28014

Spain

SCHOLARLY PAPERS

37

DOWNLOADS
Rank 15,388

SSRN RANKINGS

Top 15,388

in Total Papers Downloads

6,739

TOTAL CITATIONS
Rank 1,119

SSRN RANKINGS

Top 1,119

in Total Papers Citations

1,153

Scholarly Papers (37)

Actions:
Email selected abstracts
1.

The Rise and Fall of the Natural Interest Rate

Downloads 478 (56,382)
Citation 44

The Rise and Fall of the Natural Interest Rate

Banco de Espana Working Paper No. 1822
Number of pages: 69 Posted: 19 Jul 2018
Gabriele Fiorentini, Alessandro Galesi, Gabriel Perez-Quiros and Enrique Sentana
Universita di Firenze - Dipartimento di Statistica, idealista, Banco de España and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 478 (124,678)
Citation 44

Abstract:

Loading...

natural rate of interest, Kalman fi lter, observability, demographics.

2.

Real-time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis

Downloads 262 (85,836)

Real-Time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis

ECB Working Paper No. 2381
Number of pages: 60 Posted: 25 Mar 2020
Danilo Leiva-Leon, Gabriel Perez-Quiros and Eyno Rots
Banco de España, Banco de España and Magyar Nemzeti Bank
Downloads 262 (243,086)

Abstract:

Loading...

business cycles, factor model, international, nonlinear

3.

A Decomposition of the Increased Stability of GDP Growth

Current Issues in Economics and Finance, Vol. 5, No. 13, September 1999
Number of pages: 6 Posted: 26 Jun 2007
Margaret Mary McConnell, Patricia C. Mosser and Gabriel Perez-Quiros
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Banco de España
Downloads 623 (90,876)
Citation 1

Abstract:

Loading...

output volatility, inventory investment, structural change, consumption, investment, government spending, exports, imports

4.

Interest Rate Determination in the Interbank Market

Downloads 435 (141,230)
Citation 9

Interest Rate Determination in the Interbank Market

Number of pages: 50 Posted: 14 Oct 2004
Vitor Gaspar, Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal
European Commission, Banco de España and Institut d'Anàlisi Econòmica (CSIC)
Downloads 416 (147,200)
Citation 9

Abstract:

Loading...

Overnight interest rate, Monetary policy instruments, Eonia panel

Interest Rate Determination in the Interbank Market

Number of pages: 35 Posted: 14 Sep 2004
Vitor Gaspar, Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal
European Commission, Banco de España and Institut d'Anàlisi Econòmica (CSIC)
Downloads 19 (1,153,790)
  • Add to Cart

Abstract:

Loading...

Overnight interest rate, monetary policy instruments, Eonia panel

5.

Real and Financial Cycles in EU Countries: Stylised Facts and Modelling Implications

Downloads 373 (168,140)
Citation 12

Real and Financial Cycles in EU Countries: Stylised Facts and Modelling Implications

ECB Occasional Paper No. 205, ISBN: 978-92-899-3364-3
Number of pages: 68 Posted: 11 Jan 2018
Gerhard Rünstler, Hiona Balfoussia, Lorenzo Burlon, Ginters Buss, Mariarosaria Comunale, Bruno De Backer, Hans Dewachter, Paolo Guarda, Markus Haavio, Irma Hindrayanto, Nikolay I. Iskrev, Ivan Jaccard, Dmitry Kulikov, Davor Kunovac, Črt Lenarčič, Matthieu Lequien, Matija Lozej, Martin Mandler, Dimitris Papageorgiou, Jesper Pedersen, Gabriel Perez-Quiros, Ansgar Rannenberg, Eyno Rots, Michael Scharnagl and Peter Welz
European Central Bank, Bank of Greece, European Central Bank (ECB), Bank of Latvia, Bank of Lithuania - Economics Department, National Bank of Belgium, Catholic University of Leuven (KUL) - Department of Economics, Banque Centrale du Luxembourg, Bank of Finland - Research, De Nederlandsche Bank, Bank of Portugal - Economic Research Department, European Central Bank (ECB) - Directorate General Research, Bank of Estonia, Croatian National Bank, Bank of Slovenia, Banque de France, Central Bank of Ireland, Deutsche Bundesbank - Economics Department, Bank of Greece, National Bank of Denmark, Banco de España, Hans-Boeckler-Stiftung - Macroeconomic Policy Institute (IMK), Magyar Nemzeti Bank, Deutsche Bundesbank and European Central Bank (ECB)
Downloads 258 (246,876)
Citation 10

Abstract:

Loading...

financial cycles, synchronicity, real-time estimates, DSGE models

Real and Financial Cycles in EU Countries - Stylised Facts and Modelling Implications

ECB Occasional Paper No. 2018/205
Number of pages: 68 Posted: 09 Oct 2021
Gerhard Rünstler, Hiona Balfoussia, Lorenzo Burlon, Ginters Buss, Mariarosaria Comunale, Bruno De Backer, Hans Dewachter, Paolo Guarda, Markus Haavio, Irma Hindrayanto, Nikolay I. Iskrev, Ivan Jaccard, Dmitry Kulikov, Davor Kunovac, Črt Lenarčič, Matthieu Lequien, Matija Lozej, Martin Mandler, Dimitris Papageorgiou, Jesper Pedersen, Gabriel Perez-Quiros, Ansgar Rannenberg, Eyno Rots, Michael Scharnagl and Peter Welz
European Central Bank, Bank of Greece, European Central Bank (ECB), Bank of Latvia, Bank of Lithuania - Economics Department, National Bank of Belgium, National Bank of Belgium, Banque Centrale du Luxembourg, Bank of Finland - Research, De Nederlandsche Bank, Bank of Portugal - Economic Research Department, European Central Bank (ECB) - Directorate General Research, Bank of Estonia, Croatian National Bank, Bank of Slovenia, Banque de France, Central Bank of Ireland, Deutsche Bundesbank - Economics Department, Bank of Greece, National Bank of Denmark, Banco de España, Central Bank of Ireland, Magyar Nemzeti Bank, Deutsche Bundesbank and European Central Bank (ECB)
Downloads 115 (507,177)
Citation 2

Abstract:

Loading...

DSGE models, financial cycles, real-time estimates, synchronicity

6.

Output Fluctuations in the United States: What Has Changed Since the Early 1980s?

FRB of New York Staff Report No. 41
Number of pages: 34 Posted: 20 Oct 2006
Margaret Mary McConnell and Gabriel Perez-Quiros
Federal Reserve Bank of New York and Banco de España
Downloads 372 (168,681)
Citation 288

Abstract:

Loading...

7.

The ECB Monetary Policy Strategy and the Money Market

Number of pages: 38 Posted: 24 Feb 2003
Vitor Gaspar, Gabriel Perez-Quiros and Jorge Sicilia
European Commission, Banco de España and European Central Bank (ECB)
Downloads 334 (189,767)
Citation 18

Abstract:

Loading...

money market; martingale behaviour; operational framework; predictability

8.

Is the European Central Bank (and the United States Federal Reserve) Predictable?

Number of pages: 62 Posted: 09 Apr 2003
Gabriel Perez-Quiros and Jorge Sicilia
Banco de España and European Central Bank (ECB)
Downloads 323 (196,595)

Abstract:

Loading...

Predictability, monetary policy shocks, principal components, transmission of monetary policy

9.

International Capital Flows: Do Short-Term Investment and Direct Investment Differ?

Number of pages: 36 Posted: 20 Apr 2016
Helen Popper, Gabriel Perez-Quiros and Punam Chuhan
Santa Clara University - Leavey School of Business - Economics Department, Banco de España and Independent
Downloads 313 (203,341)
Citation 1

Abstract:

Loading...

10.

Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities

Number of pages: 56 Posted: 10 Feb 2003
Gabriel Perez-Quiros and Allan Timmermann
Banco de España and UCSD
Downloads 291 (219,713)
Citation 3

Abstract:

Loading...

Markov Switching; Density Modelling; Mixtures of Distributions; Business Cycle risk

11.

On the Effectiveness of Macroprudential Policy

ECB Working Paper No. 2021/2559
Number of pages: 42 Posted: 01 Jun 2021
Miguel Ampudia, Marco Lo Duca, Mátyás Farkas, Gabriel Perez-Quiros, Gerhard Rünstler and Eugen Tereanu
European Central Bank (ECB) - Directorate General Research, European Central Bank (ECB), European Central Bank (ECB), Banco de España, European Central Bank and European Central Bank (ECB)
Downloads 258 (248,460)
Citation 13

Abstract:

Loading...

12.

Markov-Switching Dynamic Factor Models in Real Time

Downloads 238 (267,030)
Citation 73

Markov-Switching Dynamic Factor Models in Real Time

Banco de Espana Working Paper No. 1205
Number of pages: 55 Posted: 12 Feb 2012
Maximo Camacho, Gabriel Perez-Quiros and Pilar Poncela
Autonomous University of Barcelona - Department of Economics, Banco de España and Universidad Autónoma de Madrid
Downloads 238 (267,638)
Citation 73

Abstract:

Loading...

business cycles, output growth, time series

13.

Short-Run Forecasting of the Euro-Dollar Exchange Rate with Economic Fundamentals

Banco de Espana Working Paper No. 1203
Number of pages: 41 Posted: 07 Feb 2012
Marcos Dal Bianco, Maximo Camacho and Gabriel Perez-Quiros
Independent, Autonomous University of Barcelona - Department of Economics and Banco de España
Downloads 200 (317,667)
Citation 60

Abstract:

Loading...

euro-dollar rate, exchange rate forecasting, State-space model, mixed frequencies

14.

Short-Term Forecasting for Empirical Economists. A Survey of the Recently Proposed Algorithms

Banco de Espana Working Paper No. 1318
Number of pages: 63 Posted: 13 Nov 2013
Maximo Camacho, Gabriel Perez-Quiros and Pilar Poncela
Autonomous University of Barcelona - Department of Economics, Banco de España and Universidad Autónoma de Madrid
Downloads 180 (349,868)
Citation 56

Abstract:

Loading...

Forecasting, GDP growth, time series

15.

This is What the Us Leading Indicators Lead

Number of pages: 38 Posted: 03 Dec 2002
Maximo Camacho and Gabriel Perez-Quiros
Autonomous University of Barcelona - Department of Economics and Banco de España
Downloads 179 (351,600)
Citation 1

Abstract:

Loading...

Leading Indicators, Turning Points, Optimal Forecasting Rule

16.

On the Causes of the Increased Stability of the U.S. Economy

Economic Policy Review, Vol. 8, No. 1, May 2002
Number of pages: 20 Posted: 26 Oct 2005
James A. Kahn, Margaret Mary McConnell and Gabriel Perez-Quiros
Yeshiva University, Federal Reserve Bank of New York and Banco de España
Downloads 170 (367,913)
Citation 3

Abstract:

Loading...

output volatility, inventory(ies), monetary policy, economic stability, information technology

17.

Introducing the Euro-Sting: Short Term Indicator of Euro Area Growth

Downloads 143 (425,196)
Citation 127

Introducing the Euro-Sting: Short Term Indicator of Euro Area Growth

Banco de España Working Paper No. 0807
Number of pages: 45 Posted: 30 Apr 2008
Maximo Camacho and Gabriel Perez-Quiros
Autonomous University of Barcelona - Department of Economics and Banco de España
Downloads 128 (465,899)
Citation 127

Abstract:

Loading...

business cycles, output growth, time series

Introducing the Euro-Sting: Short-Term Indicator of Euro Area Growth

CEPR Discussion Paper No. DP7343
Number of pages: 51 Posted: 26 Aug 2009
Maximo Camacho and Gabriel Perez-Quiros
Autonomous University of Barcelona - Department of Economics and Banco de España
Downloads 15 (1,209,253)
  • Add to Cart

Abstract:

Loading...

Business cycle, Forecasting, Time Series

18.

Fiscal Targets. A Guide to Forecasters?

Downloads 136 (434,811)
Citation 52

Fiscal Targets. A Guide to Forecasters?

Banco de Espana Working Paper No. 1508
Number of pages: 39 Posted: 26 Mar 2015
Joan Paredes, Javier J. Pérez and Gabriel Perez-Quiros
European Central Bank, Banco de España - Research Department and Banco de España
Downloads 85 (625,956)
Citation 52

Abstract:

Loading...

policy credibility, fiscal policy, forecasting

Fiscal Targets. A Guide to Forecasters?

ECB Working Paper No. 1834
Number of pages: 36 Posted: 09 Aug 2015
Joan Paredes, Gabriel Perez-Quiros and Javier J. Pérez
European Central Bank, Banco de España and Banco de España - Research Department
Downloads 51 (822,095)

Abstract:

Loading...

policy credibility; fiscal policy; forecasting; learning

19.

Green Shoots in the Euro Area: A Real Time Measure

Banco de Espana Working Paper No. 1026
Number of pages: 40 Posted: 23 Jul 2010
Maximo Camacho, Gabriel Perez-Quiros and Pilar Poncela
Autonomous University of Barcelona - Department of Economics, Banco de España and Universidad Autónoma de Madrid
Downloads 127 (467,061)
Citation 37

Abstract:

Loading...

Business Cycles, Output Growth, Time Series

20.

Disentangling Contagion Among Sovereign CDS Spreads During the European Debt Crisis

Banco de Espana Working Paper No. 1314
Number of pages: 38 Posted: 17 Oct 2013
Carmen Broto and Gabriel Perez-Quiros
Banco de España and Banco de España
Downloads 118 (494,273)
Citation 63

Abstract:

Loading...

sovereign Credit Default Swaps, contagion, dynamic factor models, credit risk

21.

The Daily Market for Funds in Europe: Has Something Changed with the Emu?

Number of pages: 34 Posted: 06 Nov 2000
Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal
Banco de España and Institut d'Anàlisi Econòmica (CSIC)
Downloads 110 (521,005)
Citation 2

Abstract:

Loading...

Overnight Rates; Reserve Demand; Martingale Hypothesis

22.

Spillover Effects in International Business Cycles

Downloads 107 (524,441)

Spillover Effects in International Business Cycles

Banco de Espana Working Paper No. 2034
Number of pages: 48 Posted: 17 Nov 2020
Maximo Camacho, Matias Pacce and Gabriel Perez-Quiros
Autonomous University of Barcelona - Department of Economics, Banco de España and Banco de España
Downloads 71 (694,572)

Abstract:

Loading...

international business cycles, mixed frequency data, bayesian estimation, spillover effects

Spillover Effects in International Business Cycles

ECB Working Paper No. 20202484
Number of pages: 47 Posted: 02 Nov 2020
Maximo Camacho, Gabriel Perez-Quiros and Matias Pacce
Autonomous University of Barcelona - Department of Economics, Banco de España and Banco de España
Downloads 36 (953,060)

Abstract:

Loading...

Bayesian estimation, international business cycles, mixed frequency data, spillover effects

23.

The Two Greatest. Great Recession vs. Great Moderation

Downloads 105 (535,336)
Citation 15

The Two Greatest. Great Recession vs. Great Moderation

Banco de Espana Working Paper No. 1423
Number of pages: 39 Posted: 18 Sep 2014
Maria Dolores Gadea Rivas, Ana Gómez-Loscos and Gabriel Perez-Quiros
University of Zaragoza, Banco de España and Banco de España
Downloads 105 (543,484)
Citation 15

Abstract:

Loading...

business cycle, volatility, recoveries

24.

Finite Sample Performance of Small Versus Large Scale Dynamic Factor Models

Downloads 100 (550,417)
Citation 66

Finite Sample Performance of Small Versus Large Scale Dynamic Factor Models

Banco de Espana Working Paper No. 1204
Number of pages: 53 Posted: 12 Feb 2012
Rocio Alvarez, Maximo Camacho and Gabriel Perez-Quiros
Universidad de Alicante, Autonomous University of Barcelona - Department of Economics and Banco de España
Downloads 100 (563,227)
Citation 66

Abstract:

Loading...

business cycles, output growth, time series

25.

Extracting Non-Linear Signals from Several Economic Indicators

Banco de Espana Working Paper No. 1202
Number of pages: 42 Posted: 07 Feb 2012
Maximo Camacho, Gabriel Perez-Quiros and Pilar Poncela
Autonomous University of Barcelona - Department of Economics, Banco de España and Universidad Autónoma de Madrid
Downloads 97 (569,471)
Citation 58

Abstract:

Loading...

Business cycles, output growth, time series

26.

Asymmetric Standing Facilities: An Unexploited Monetary Policy Tool

Downloads 87 (609,372)
Citation 4

Asymmetric Standing Facilities: An Unexploited Monetary Policy Tool

Banco de Espana Working Paper No. 1004
Number of pages: 36 Posted: 10 Mar 2010
Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal
Banco de España and Institut d'Anàlisi Econòmica (CSIC)
Downloads 84 (630,429)
Citation 4

Abstract:

Loading...

Monetary policy implementation, standing facilities, overnight interest rates, fine tuning operations

Asymmetric Standing Facilities: An Unexploited Monetary Policy Tool

CEPR Discussion Paper No. DP7789
Number of pages: 32 Posted: 19 May 2010
Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal
Banco de España and Institut d'Anàlisi Econòmica (CSIC)
Downloads 3 (1,344,009)
  • Add to Cart

Abstract:

Loading...

fine tuning operations, Monetary policy implementation, overnight interest rates, standing facilities

27.

The Great Moderation in Historical Perspective. Is it that Great?

Downloads 81 (635,525)
Citation 5

The Great Moderation in Historical Perspective. Is it that Great?

Banco de Espana Working Paper No. 1527
Number of pages: 42 Posted: 02 Oct 2015
Maria Dolores Gadea Rivas, Ana Gómez-Loscos and Gabriel Perez-Quiros
University of Zaragoza, Banco de España and Banco de España
Downloads 81 (644,266)
Citation 5

Abstract:

Loading...

business cycle, volatility, structural breaks, secular changes

28.

Growth-and-Risk Trade-Off

Downloads 72 (663,442)

Growth-and-Risk Trade-Off

ECB Working Paper No. 2397
Number of pages: 55 Posted: 22 Apr 2020
Maria Dolores Gadea Rivas, Luc Laeven and Gabriel Perez-Quiros
University of Zaragoza, European Central Bank (ECB) and Banco de España
Downloads 72 (689,207)

Abstract:

Loading...

business cycles, credit growth, financial crisis, GDP-at-risk, macroprudential policies

29.

Ñ-Sting: España Short Term Indicator of Growth

Banco de Espana Working Paper No. 0912
Number of pages: 28 Posted: 23 Jun 2009
Maximo Camacho and Gabriel Perez-Quiros
Autonomous University of Barcelona - Department of Economics and Banco de España
Downloads 69 (693,818)
Citation 47

Abstract:

Loading...

Business Cycles, Output Growth, Time Series

30.

The Daily Market for Funds in Europe: Mathematical Appendix

Universitat Pompeu Fabra Working Paper No. 496
Number of pages: 33 Posted: 25 Jan 2001
Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal
Banco de España and Institut d'Anàlisi Econòmica (CSIC)
Downloads 68 (699,104)

Abstract:

Loading...

Overnight rates, reserve demand, Martingale hypothesis

31.

Analysis of cyclical systemic risks in spain and of their mitigation through countercyclical bank capital requirements

Banco de Espana Occasional Paper No. 2414
Number of pages: 81 Posted: 19 Jul 2024
Ángel Estrada, Carlos Pérez Montes, Jorge Abad, Carmen Broto, Esther Cáceres García, Alejandro Ferrer, Jorge Galán, Gergely Ganics, Javier García Villasur, Samuel Hurtado, Nadia Lavín, Joël Marbet, Enric Martorell, David Martinez Miera, Ana Molina, Irene Pablos and Gabriel Perez-Quiros
Banco de España, Banco de España, Bank of Spain, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Banco de España, Charles III University of Madrid, Banco de España, European Central Bank (ECB) and Banco de España
Downloads 63 (727,052)

Abstract:

Loading...

cyclical systemic risk, bank capital requirements, countercyclical capital buffer, GDP, credit, indicator, stress tests, growth at risk, Bayesian analysis, general equilibrium

32.

Country Shocks, Monetary Policy Expectations and ECB Decisions. A Dynamic Non-Linear Approach

Downloads 60 (744,591)

Country Shocks, Monetary Policy Expectations and ECB Decisions. A Dynamic Non-Linear Approach

Banco de Espana Working Paper No. 1523
Number of pages: 43 Posted: 15 Sep 2015
Maximo Camacho, Danilo Leiva León and Gabriel Perez-Quiros
Autonomous University of Barcelona - Department of Economics, Central Bank of Chile and Banco de España
Downloads 60 (759,308)

Abstract:

Loading...

business cycles, inflation cycles, monetary policy

33.

Can We Use Seasonally Adjusted Indicators in Dynamic Factor Models?

Banco de Espana Working Paper No. 1235
Number of pages: 33 Posted: 11 Oct 2012
Maximo Camacho, Gabriel Perez-Quiros and Yuliya Yuliya Lovcha
Autonomous University of Barcelona - Department of Economics, Banco de España and University of Navarra
Downloads 60 (744,591)
Citation 47

Abstract:

Loading...

dynamic factor models, seasonal adjustment, short-term forecasting

34.

High-Growth Recoveries, Inventories and the Great Moderation

Banco de Espana Working Paper No. 0917
Number of pages: 44 Posted: 23 Aug 2009
Maximo Camacho, Gabriel Perez-Quiros and Hugo Rodríguez Mendizábal
Autonomous University of Barcelona - Department of Economics, Banco de España and Institut d'Anàlisi Econòmica (CSIC)
Downloads 55 (776,416)
Citation 42

Abstract:

Loading...

Business cycle features, Great Moderation, High-growth recovery

35.

Are European Business Cycles Close Enough to Be Just One?

Number of pages: 49 Posted: 13 Apr 2005
Maximo Camacho, Gabriel Perez-Quiros and Lorena Saiz
Autonomous University of Barcelona - Department of Economics, Banco de España and Banco de España
Downloads 37 (918,937)
Citation 6
  • Add to Cart

Abstract:

Loading...

Business cycle synchronization, economic integration, European union enlargement, cluster analysis, multidimensional scaling

36.

Jump-and-Rest Effects of Us Business Cycles

CEPR Discussion Paper No. 4975
Number of pages: 51 Posted: 28 Jul 2005
Maximo Camacho and Gabriel Perez-Quiros
Autonomous University of Barcelona - Department of Economics and Banco de España
Downloads 15 (1,169,626)
  • Add to Cart

Abstract:

Loading...

Business cycles, output growth, time series

37.

What Do the Leading Indicators Lead?

Journal of Business, Vol. 59, No 1, January 1996
Posted: 16 Jul 1998
James D. Hamilton and Gabriel Perez-Quiros
University of California at San Diego and Banco de España

Abstract:

Loading...