As Bernard commented, you may use BibLaTeX.
For the use of BibLaTeX with LyX see here.
I've taken an article from the journal you cited to see which part of the reference should be in italic, unfortunately I haven't found books cited in that article, so I've based my answer only on your question for that.
This is the .bib file (since you didn't post yours, I've taken the citation from Google Scholar exporting them in BibTeX with little changes):
@article{gray1976wage,
title={Wage indexation: a macroeconomic approach.},
author={Gray, Jo Anna},
journal={Journal of Monetary Economics},
volume={2},
pages={221--235},
year={1976},
publisher={Elsevier}
}
@book{blanchard1989lectures,
title={Lectures on macroeconomics},
author={Blanchard, Olivier J. and Fischer, Stanley},
year={1989},
publisher={MIT press},
address={Cambridge, MA.}
}
This is the code (you have to put the lines between the two %--- in your LaTeX Preamble under the LyX menu option Document > Settings > LaTeX Preamble):
\documentclass[11pt,openright]{book}
\usepackage[T1]{fontenc}
\usepackage[latin9]{inputenc}
\usepackage[english]{babel}
%---
% BibLaTeX
\usepackage[style=authoryear, natbib=true, backend=biber]{biblatex}
\usepackage{csquotes}
\usepackage{xpatch}
% Dot after author
\xpretobibmacro{date+extrayear}{\setunit{\addperiod\space}}{}{}
% No in: before journal title
\renewbibmacro{in:}{}
% Comma after journal title
\DeclareFieldFormat{journaltitle}{\mkbibemph{#1}\isdot}
\renewbibmacro*{journal+issuetitle}{%
\usebibmacro{journal}%
\setunit*{\addcomma\space}%
\iffieldundef{series}
{}
{\newunit
\printfield{series}%
\setunit{\addspace}}%
\usebibmacro{volume+number+eid}%
\setunit{\addspace}%
\usebibmacro{issue+date}%
\setunit{\addcolon\space}%
\usebibmacro{issue}%
\newunit}
% Non-italic book title (if it must be in italic, comment this line)
\DeclareFieldFormat[book]{title}{#1}
% No pp. before pages
\DeclareFieldFormat[article]{pages}{#1}
% Add bibliography database
\addbibresource{your-bib-file.bib}
%---
\begin{document}
Article:\\
Citation of the type Author (year): \citet{gray1976wage} \\
Citation of the type (Author, year): \citep{gray1976wage}
Book:\\
Citation of the type Author (year): \citet{blanchard1989lectures} \\
Citation of the type (Author, year): \citep{blanchard1989lectures}
\printbibliography
\end{document}
The code for the dot after the author is taken from the comment to this answer.
The code for the comma after the journal title comes from here.
The rest more or less could be found in the link of Elad Den's answer.
Result:

biblatex, it will be easier to customise, starting from this basis. – Bernard Jan 24 '16 at 01:48