Dr Vasco Gabriel

Research Interests

Vasco's main field of specialization is Macroeconometrics, focusing on the application of non-linear methods, as well as general inference issues in macro models. His recent grant from the ESRC for work on inference problems in micro-based Phillips curves and policy rules was graded "Outstanding". Vasco is Deputy Director of the Centre for International Macroeconomic Studies (CIMS) and a Research Fellow of the Economic Policies Research Unit (NIPE).

Research Collaborations

Luis Martins (ISCTE), Neil Rickman (Surrey), Ali Choudhary (Surrey & State Bank of Pakistan), Paul Levine (Surrey), Bo Yang (Surrey), Ioannis Lazopoulos (Surrey), Fernando Alexandre (Minho), Pedro Bação (Coimbra)


Time Series Econometrics (ECO3003), Econometrics 1 (ECOM047))


Deputy Director of the Centre for International Macroeconomic Studies (CIMS)

Research Fellow of the Economic Policies Research Unit (NIPE).

Contact Me

Phone: 01483 68 2769

Find me on campus
Room: 06 AD 00

My office hours

RePEc web page: download papers


Journal articles

  • Martins LF, Gabriel VJ. (2014) 'Modelling long run comovements in equity markets: A flexible approach'. Journal of Banking and Finance, 47, pp. 288-295.


    © 2014 Elsevier B.V.International equity markets linkages are characterized by nonlinear dependence and asymmetries. We investigate shifts in long run comovements in stock markets by means of an 'interrupted' Markov switching cointegration specification. This flexible approach allow us to study to what extent documented changes in global integration are permanent, or whether market linkages are subject to changes. Using an illustrative sample from 1980 to 2012 for USA, UK and Hong Kong stock price indices, we find evidence of interrupted cointegration across these markets between May 1997 and April 2002, which is consistent with the decoupling of stock prices from fundamentals during the dot-com bubble.

  • Martins LF, Gabriel VJ. (2014) 'Linear instrumental variables model averaging estimation'. Computational Statistics and Data Analysis, 71, pp. 709-724.
  • Martins LF, Gabriel VJ. (2013) 'Time-varying cointegration, identification, and cointegration spaces'. Studies in Nonlinear Dynamics and Econometrics, 17 (2), pp. 199-209.
  • Gabriel VJ, Sangduan P. (2011) 'Assessing fiscal sustainability subject to policy changes: A Markov switching cointegration approach'. Springer Empirical Economics, 41 (2), pp. 371-385.


    We propose a Markov switching cointegration approach to assess long run fiscal sustainability. This method allows us to simultaneously: (1) test for cointegration in the presence of significant fiscal policy changes; (2) assess the type of fiscal regime that a country experienced at a given period and (3) analyse the timing of the transition between the estimated regime types. Given its flexibility, our approach enable us to uncover a richer and more complex dynamics in the analysis of fiscal sustainability, which standard linear cointegration methods fail to capture.

  • Gabriel VJ, Martins LF. (2011) 'Cointegration tests under multiple regime shifts: An application to the stock price-dividend relationship'. Springer Empirical Economics, 41 (3), pp. 639-662.


    We examine the properties of several residual-based cointegration tests when long-run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier study, which considered one-off deterministic breaks, our approach has the advantage of allowing for an unspecified number of stochastic breaks. We illustrate this issue by exploring the possibility of Markov switching cointegration in the stock price-dividend relationship and showing that this case is empirically relevant. Our subsequent Monte Carlo analysis reveals that standard cointegration tests are generally reliable, their performance often being robust for a number of plausible regime shift parameterizations.

  • Alexandre F, Bacao P, Gabriel V. (2010) 'Soft landing in a Markov-switching economy'. ELSEVIER SCIENCE SA ECONOMICS LETTERS, 107 (2), pp. 169-172.
  • Gabriel VJ, Martins LF. (2010) 'The cost channel reconsidered: A comment using an identification-robust approach'. Journal of Money, Credit and Banking, 42 (8), pp. 1703-1712.


    We reexamine the empirical relevance of the cost channel of monetary policy (e.g., Ravenna and Walsh 2006), employing recently developed moment-conditions inference methods, including identification-robust procedures. Using U.S. data, our results suggest that the cost channel effect is poorly identified and we are thus unable to corroborate the previous results in the literature. © 2010 The Ohio State University.

  • Gabriel VJ, Sangduan P. (2010) 'An efficient test of fiscal sustainability'. Taylor and Francis Applied Economics Letters, 17 (18), pp. 1819-1822.


    We suggest using the efficient test with prespecified cointegration vectors of Horvath and Watson (19954. Horvath , M. and Watson , M. 1995 . Testing for cointegration when some of the cointegrating vectors are prespecified . Econometric Theory , 11 : 984 – 1014 . [CrossRef], [Web of Science ®] View all references) for the ‘strong’ fiscal sustainability hypothesis. Unlike this procedure, conventional methodologies tend to penalize the sustainability hypothesis.

  • Ali Choudhary M, Gabriel VJ. (2009) 'Is there really a gap between aggregate productivity and technology?'. Taylor and Francis Applied Economics, 41 (27), pp. 3499-3503.


    The important contribution by Basu and Fernald (20021. Basu , S and Fernald , JG . 2002 . Aggregate productivity and aggregate technology . European Economic Review , 46 : 963 – 91 . [CrossRef], [Web of Science ®] View all references) shows that, in practice, there is a statistically significant gap between aggregate productivity and technology that can be attributed to inefficient product and labour markets. This is important, as it implies that the Solow residual is an imperfect index for aggregate technology change. We take a related approach and find that when we control for capacity utilization, time varying markup and account for externalities between industries, by employing a superior system estimator, the gap between the aggregate productivity and technology is shown to narrow considerably.

  • Gabriel VJ, Levine P, Spencer C. (2009) 'How forward-looking is the Fed? Direct estimates from a 'Calvo-type' rule'. ELSEVIER SCIENCE SA ECONOMICS LETTERS, 104 (2), pp. 92-95.
  • Martins LF, Gabriel VJ. (2009) 'New Keynesian Phillips Curves and potential identification failures: A Generalized Empirical Likelihood analysis'. Journal of Macroeconomics, 31 (4), pp. 561-571.


    In this paper, we examine parameter identification in the hybrid specification of the New Keynesian Phillips Curve proposed by Gali and Gertler [Gali, J., Gertler, M., 1999. Inflation dynamics: a structural econometric analysis. Journal of Monetary Economics 44, 195-222]. We employ recently developed moment conditions inference procedures, which provide a more efficient and reliable econometric framework for the analysis of the NKPC. In particular, we address the issue of parameter identification, obtaining robust confidence sets for the model's parameters. Our results cast serious doubts on the empirical validity of the NKPC. © 2009 Elsevier Inc. All rights reserved.

  • Gabriel VJ, Alexandre F, Ba ão P. (2008) 'The consumption-wealth ratio under asymmetric adjustment'. Walter De Gruyter Studies in Nonlinear Dynamics and Econometrics, 12 (4)


    This paper argues that nonlinear adjustment may provide a better explanation of °uctuations in the consumption-wealth ratio. The nonlinearity is captured by a Markov-switching vector error-correction model that allows the dynamics of the relationship to di®er across regimes. Estimation of the system suggests that these states are related to the behaviour of ¯nancial markets. In fact, estimation of the system suggests that short-term deviations in the consumption-wealth ratio will forecast either asset returns or consumption growth: the ¯rst when changes in wealth are transitory; the second when changes in wealth are permanent. Our approach uncovers a richer and more complex dynamics in the consumption-wealth ratio than previous results in the literature, whilst being in accordance with theoretical predictions of a simple model of consumption under uncertainty.

  • Alexandre F, Bação P, Gabriel VJ. (2007) 'Volatility in asset prices and long-run wealth effect estimates'. Economic Modelling, 24 (6), pp. 1048-1064.


    We argue that the equation commonly used in the estimation of the wealth effect on consumption might be unsuitable for that purpose. In particular, if the usual assumptions are employed, the derivation of the equation implies that the wealth effect is indeterminate. Furthermore, it implies that the estimate of the wealth effect should decrease when asset wealth volatility increases. Estimation of a Markov-switching model of the usual long-run aggregate consumption equation provides evidence favourable to the indeterminacy hypothesis. © 2007 Elsevier B.V. All rights reserved.

Book chapters

  • Gabriel V, Levine P, Yang B. (2016) 'An Estimated DSGE Open Economy Model of the Indian Economy with Financial Frictions'. in Ghate C, Kletzer K (eds.) Monetary Policy in India A Modern Macroeconomic Perspective Springer , pp. 455-506.
  • Gabriel V, Cantore C, Levine P, Pearlman J, Yang B. (2013) 'The science and art of DSGE modelling: I – construction and Bayesian estimation'. in Hashimzade N, Thornton M (eds.) Handbook of Research Methods and Applications in Empirical Macroeconomics, Edward Elgar
  • Gabriel V, Cantore C, Levine P, Pearlman J, Yang B. (2013) 'The science and art of DSGE modeling: II – model comparisons, model validation, policy analysis and general discussion'. in Hashimzade N, Thornton M (eds.) Handbook of Research Methods and Applications in Empirical Macroeconomics, Edward Elgar
  • Gabriel V, Levine P, Pearlman J, Yang B. (2012) 'An estimated DSGE model of the Indian economy'. in Ghate C (ed.) Oxford Handbook of the Indian Economy, Oxford University Press

Scholarly editions

  • Batini N, Gabriel V, Levine P, Pearlman J. (2010) A Floating versus Managed Exchange Rate Regime in a DSGE Model of India.
  • Gabriel V, Levine P, Spencer C, Yang B. (2008) On the (ir)relevance of direct supply-side effects of monetary policy.

Working Papers

  • Lazopoulos I, Lima D, Gabriel V. (2016) THE EFFECT OF FINANCIAL REGULATION MANDATE ON INFLATION BIAS: A DYNAMIC PANEL APPROACH. University of Surrey Discussion Papers in Economics, 6

View more publications up to 2007

(See Vasco's Working Papers here)

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