Revistas
Revista:
JOURNAL OF FORECASTING
ISSN:
0277-6693
Año:
2023
Vol.:
43
N°:
3
Págs.:
673 - 701
We show that the slope of the sovereign yield curve predicts future economic activity not only through its level but also through its changes (or differences) over time. Our results with US data show that the additional inclusion of the changes of the yield slope in the traditional regressions significantly increases the explanatory power of the yield curve. Through the yield slope decomposition, we find that positive changes in both the risk-neutral spread and the term premium increase the likelihood of recession in the next 3 or 12 months. Estimated linear equations that directly forecast economic activity confirm the predictive power of both components in the medium run. These predictive equations also identify the term premium as the relevant component of yield slope changes for medium-run (3-12 months) forecasts. Our out-of-sample exercises show that the empirical models including both the level and the differences of the slope perform better than the models including only the yield slope level.
Revista:
ECONOMICS LETTERS
ISSN:
1873-7374
Año:
2023
Vol.:
232
Págs.:
111363
How would the fiscal burden of Euro area (EA) countries have evolved without the issuance of inflation linked bonds (ILBs)? Could debt management through ILBs have decreased their sovereign debt-to-GDP ratio? By exploiting a new dataset on ILBs and the market value of debt in Germany, France, Italy and Spain in 2014¿2022, I calculate the holding period return for investors in both nominal and real debt. Based on the government budget constraint, I conduct simulations that demonstrate the significant first-order effects of debt structure choices. Without ILBs the fiscal burden of the largest EA economies would have decreased by around 1% of GDP but in the case of Italy, it would have increased. Timing was also a relevant factor. Germany effectively controlled the cost of funds by managing its share of real debt, while Spain increased it by issuing ILBs when it was expensive. Slight ILB share adjustments could have alleviated their fiscal burden: Germany by 0.9%, France by 3%, Italy by 7%, and Spain by 1.8%.
Revista:
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
ISSN:
0261-5606
Año:
2023
Vol.:
130
Págs.:
102747
We study the role of government debt maturity in currency unions to identify whether debt management can help governments to hedge their budgets against spending shocks. We first use a detailed dataset of debt portfolios of five Euro Area countries to run a battery of VARs, estimating the responses of holding period returns to fiscal shocks. We find that government portfolios, which in our sample comprise mainly of nominal assets, have not been effective in absorbing idiosyncratic fiscal risks, whereas they have been very effective in absorbing aggregate risks. We then setup a formal model of optimal debt management with two countries, distortionary taxes and aggregate and idiosyncratic shocks. The theo-retical model concludes that nominal bonds are not optimal to insure against idiosyncratic fiscal shocks in a currency area. In contrast, we find that long term inflation indexed debt allows governments to take full advantage of fiscal hedging.
Revista:
REVISTA ESPAÑOLA DE COMUNICACION EN SALUD
ISSN:
1989-9882
Año:
2022
Vol.:
13
N°:
1
Págs.:
78 - 86
Introducción: MoMo monitoriza y comunica diariamente la mortalidad en España, pero el retraso en la noti- ficación de defunciones sesga a la baja sus estimaciones. Objetivo: este estudio evaluó cinco métodos que corrigen el efecto del retraso en la notificación en las estimaciones de MoMo del exceso de mortalidad durante la segunda ola de la epidemia COVID-19. Metodología: 1) se obtuvieron las cifras de exceso de muertes acumuladas en España comunicadas diariamente por MoMo entre 01/09/2020-25/12/2020. 2) se corrigió en dichas cifras el efecto del retraso en la notificación aplicando cinco modelos. 3) se evaluaron estas correcciones mediante el error absoluto medio (MAE) y la raíz del error cuadrático medio (RMSE). Resultados: el retraso en la notificación supuso que las estimaciones de MoMo para el exceso de mortalidad acumulado durante la segunda ola fueran, de media, un 87% de sus valores definitivos. Las correcciones cuadráticas y cúbicas las acercaron hasta el 98%, de media. Las regresiones cuadráticas redujeron el RMSE y el MAE de las estimaciones de MoMo en un 6 y 13%, respectivamente. Conclusión: para mejorar las estimaciones diarias de MoMo del exceso de mortalidad parece recomendable usar regresiones cuadráticas para corregir los efectos del retraso en la notificación de defunciones.
Revista:
FRONTIERS IN PUBLIC HEALTH
ISSN:
2296-2565
Año:
2022
Vol.:
10
Págs.:
950469
ObjectivesDuring the COVID-19 pandemic, surveillance systems worldwide underestimated mortality in real time due to longer death reporting lags. In Spain, the mortality monitor "MoMo" published downward biased excess mortality estimates daily. I study the correction of such bias using polynomial regressions in data from January to March 2021 for Spain and the Comunitat Valenciana, the region with the highest excess mortality. MethodsThis adjustment for real-time statistics consisted of (1) estimating forthcoming revisions with polynomial regressions of past revisions, and (2) multiplying the daily-published excess mortality by these estimated revisions. The accuracy of the corrected estimates compared to the original was measured by contrasting their mean absolute errors (MAE) and root mean square errors (RMSE). ResultsApplying quadratic and cubic regressions improved the first communication of cumulative mortality in Spain by 2-3%, on average, and the flow in registered deaths by 20%. However, for the Comunitat Valenciana, those corrections improved the first publications of the cumulative mortality by 36-45%, on average; their second publication, by 23-30%; and the third, by 15-21%. The flow of deaths registered each day improved by 62-63% on their first publication, by 19-36% on the second, and by 12-17% on the third. ConclusionIt is recommended that MoMo's estimates for excess mortality be corrected from the effect of death reporting lags by using polynomial regressions. This holds for the flows in each date and their cumulative sum, as well as national and regional data. These adjustments can be applied by surveillance systems in other countries.
Revista:
REVISTA ESPAÑOLA DE SALUD PUBLICA
ISSN:
1135-5727
Año:
2021
Vol.:
95
Págs.:
e202104048
Background: MoMo is a mortality monitoring system that guides public health policy in Spain. The COVID-19 pandemic worsened death notification delays, thus biasing downwards the daily (cumulative) excess mortality estimates produced by MoMo. The goal of this study is to find the best model to correct these estimates for the effect of death notification delays.
Methods: The process followed was: 1) estimates for the excess mortality accumulated in Spain since the beginning of the COVID-19 pandemic are published daily by MoMo and gathered in this study for the period 15/04/2020-25/05/2020. 2) the intensity of daily revisions is computed as the ratio of the estimate published each day divided by the estimate published the day before. 3) Adjusted excess mortality estimates result from applying to these ratios five different correcting models (a simple arithmetic mean or a weighted average, as well as linear, quadratic and cubic regressions). 4) The performance of these corrected estimates is compared with the definite values using the root mean square error (RMSE).
Results: The intensity of daily revisions for the cumulative excess of deaths fell to 1 (no revision) as the publication date left behind the date of death. The correcting estimates based on polynomial regressions reduced the error with respect to the definite observed values by 18-25%.
Conclusions: To improve the validity of the daily estimates for the cumulative excess of deaths from MoMo, it is recommended to correct the notification delay of deaths using polynomial regression models estimated with data on previous revisions.
Revista:
ENERGY ECONOMICS
ISSN:
0140-9883
Año:
2020
Vol.:
92
Págs.:
104951
In this paper we investigate the impact of changes in proved reserves on U.S. stock returns using firm level data of the largest U.S. oil and gas companies. The selected sample covers the period 2009 to 2018 incorporating the recent episode of the shale oil and gas revolution. In contrast to previous studies, our results show that changes in proved oil and gas reserves have no significant effect on stock returns. We also give evidence of the impact of reserves on financial returns being dependent on the level of oil prices. Since oil prices fell abruptly after 2014, we show a significantly lower effect of oil reserves in stock returns in this subperiod and, thus, partly explain the overall insignificant effect. (C) 2020 Elsevier B.V. All rights reserved.
Revista:
MACROECONOMIC DYNAMICS
ISSN:
1365-1005
Año:
2020
Vol.:
24
N°:
2
Págs.:
447 - 477
This paper shows empirical evidence and theory consistent with the US government using debt optimally to adjust the federal budget to news about long-term growth. First, using historical forecasts from the Congressional Budget Office (CBO) since 1984, I find that government purchases and deficits are positively correlated with expectations about long-term productivity, real gross domestic product, and tax revenue growth, whereas tax receipts are negatively correlated. A structural vector autoregression estimated with US quarterly data in 1955¿2015 identifies permanent and transitory productivity shocks and points to ¿trend¿ shocks as the source of these correlations. Second, I present an open economy real business-cycle model with stochastic productivity trend and optimal public purchases and taxes. Calibrating the model to the US economy, the Ramsey planners' allocation yields moments aligned with those observed in the data.
Revista:
JOURNAL OF ECONOMICS AND FINANCE
ISSN:
1938-9744
Año:
2020
Vol.:
44
N°:
4
Págs.:
708 - 723
Revista:
APPLIED ECONOMICS LETTERS
ISSN:
1350-4851
Año:
2019
Vol.:
26
N°:
11
Págs.:
919 - 926
In this paper, we investigate the impact of oil prices on both aggregate and industry US real stock returns over the period 1973¿2017. The empirical analysis contributes to the related literature introducing a state-dependent oil price (high and low) and the local projections approach. Our main finding is that, depending on the nature of the shock and industry, the negative effects of oil price shocks become exacerbated -and the positive effects get moderated- if oil prices are already high.
Revista:
JOURNAL OF MACROECONOMICS
ISSN:
0164-0704
Año:
2016
Vol.:
49
N°:
1
Págs.:
292 - 311
This paper studies the impact of debt maturity on the dynamics of sovereign debt of Euro Area (EA) countries. Due to lack of data, this key issue had not been studied before. Thus, my first contribution is to build a new comprehensive database of sovereign debt stocks and yields, at all different maturities, for six EA countries in 1991¿2013: Belgium, Finland, France, Germany, Italy and Spain. In general, since 1991, interests rates in the EA have fallen while Treasuries in the region extended debt maturity; thus, an increasing number of long-term bondholders experienced large capital gains. I show with counterfactual simulations the effect of a different maturity structure on the evolution of debt. My analysis suggests that extending debt maturity in 2013¿2015 would result in lower debt ratios by 2022. I also estimate the impact on EA debt-to-GDP ratios induced by changes in current and future inflation. My estimates indicate that higher (lower) inflation in EA countries would lower (raise) their fiscal burden much more than in the US.
Nacionales y Regionales
Título:
Flujos de capital, apalancamiento y política monetaria
Código de expediente:
PID2022-138725NB-I00
Investigador principal:
Tommaso Trani , Mirko Abbritti
Financiador:
AGENCIA ESTATAL DE INVESTIGACION
Convocatoria:
2022 AEI Proyectos de Generación del Conocimiento
Fecha de inicio:
01/09/2023
Fecha fin:
31/08/2026
Importe concedido:
77.750,00€
Otros fondos:
Fondos FEDER
Título:
RENDIMIENTOS Y VOLATILITDAD DE LOS PRECIOS DE LAS MATERIAS PRIMAS: DETERMINANTES, CONECTIVIDAD E
IMPLICACIONES MACRO-FINANCIERAS
Código de expediente:
PID2020-114275GB-I00
Financiador:
AGENCIA ESTATAL DE INVESTIGACION
Convocatoria:
2020 AEI PROYECTOS I+D+i (incluye Generación del conocimiento y Retos investigación)
Fecha de inicio:
01/09/2021
Fecha fin:
31/05/2025
Importe concedido:
60.258,00€
Otros fondos:
-
Título:
Shocks Financieros, Dinamicas de la Curva de Tipos y Convergencia en la Union Monetaria Europea
Código de expediente:
PGC2018-098139-B-I00
Investigador principal:
Antonio Moreno Ibáñez, Mirko Abbritti
Financiador:
MINISTERIO DE CIENCIA, INNOVACIÓN Y UNIVERSIDADES
Convocatoria:
2018 AEI - MCIU - Proyectos de Generación del Conocimiento
Fecha de inicio:
01/01/2019
Fecha fin:
30/09/2022
Importe concedido:
42.595,00€
Otros fondos:
Fondos FEDER
Título:
Precios del petróleo y de las materias primas, incertidumbre económica y su interacción con variables económicas y financiaeres. Implicaciones de política
Código de expediente:
ECO2017-83183-P
Financiador:
MINISTERIO DE CIENCIA, INNOVACIÓN Y UNIVERSIDADES
Convocatoria:
2017 MINECO RETOS INVESTIGACION. PROYECTOS DE I+D+i
Fecha de inicio:
01/01/2018
Fecha fin:
30/09/2021
Importe concedido:
29.040,00€
Otros fondos:
Fondos FEDER
Título:
Salida a la crisis: fricciones de credito, flexibilizacion cuantitativa y dinamica de la curva de tipos.
Código de expediente:
ECO2015-68815-P
Financiador:
MINISTERIO DE CIENCIA, INNOVACIÓN Y UNIVERSIDADES
Convocatoria:
2015 MINECO EXCELENCIA. PROYECTOS I+D
Fecha de inicio:
01/01/2016
Fecha fin:
30/06/2019
Importe concedido:
20.207,00€
Otros fondos:
Fondos FEDER
