Nuestros investigadores

Fernando Pérez de Gracia Hidalgo

Publicaciones científicas más recientes (desde 2010)

Autores: Redín, Dulce María; Rodríguez, Ignacio; Cuñado, María Juncal; et al.
ISSN 1350-4851  Vol. 25  Nº 5  2018  págs. 305 - 308
This study examines the relationship between oil prices and economic activity in the G-7 economies during the period 1960M1¿2014M07 using a wavelet approach. The results show significant differences in the relationship between these two variables depending on the frequencies. Furthermore, we find that oil price shocks affect economic activity at low frequencies (long run) in all G-7 countries, while the effect at high frequencies (short run) is limited to a few countries.
Autores: Gil, Luis Alberiko; Pérez de Gracia, Fernando;
Revista: ENERGY
ISSN 0360-5442  Vol. 120  2017  págs. 79 - 91
Crude oil price behaviour depends on all the events that have the potential to disrupt the flow of oil. We understand that these causes could be geopolitical issues and/or military conflicts in/with the producer countries and a problem relating to demand and supply. In the paper we first investigate the statistical properties of the real oil prices as well as its log-transformation, along with the absolute and squared returns values. Then, we also address the following issue: Does the crude oil price behave in the same way before and after a military conflict or geopolitical problem in the producer countries? To answer this question we analyse the real oil prices of West Texas Intermediate (WTI) before and after the different military conflicts and political events that occurred after World War II. For this purpose we use techniques based on unit roots and fractional integration. The empirical results provide evidence of persistence and breaks in the oil prices series and stationary long memory in the absolute returns. However, we do not observe significant differences before and after the conflict and geopolitical events. (C) 2016 Elsevier Ltd. All rights reserved.
Autores: Kang, WS; Pérez de Gracia, Fernando; Ratti, RA;
ISSN 0261-5606  Vol. 70  2017  págs. 344 - 359
This paper investigates the effects of oil price shocks and economic policy uncertainty on the stock returns of oil and gas companies. We find that an oil demand-side shock has a positive effect on the return of oil and gas companies on average, whereas shocks to policy uncertainty have a negative effect on the return. Historical decomposition shows that the effects of oil shocks on the stock return are amplified by the endogenous policy uncertainty responses. These results are consistent with those for major integrated oil and gas companies. The return responses, however, show heterogeneous effects of structural shocks on upstream, midstream, and downstream oil and gas companies, suggesting that a well-diversified portfolio is obtainable. (C) 2016 Elsevier Ltd. All rights reserved.
Autores: Antonakakis, N. ; Cuñado, María Juncal; Filis, G.; et al.
ISSN 0301-4207  Vol. 53  2017  págs. 147 - 163
This paper examines the resource curse hypothesis both within and between countries of different democratic footprint, based on a dynamic model that properly accounts for endogeneity issues. To achieve that, we apply a panel Vector Auto-Regressive (PVAR) approach along with panel impulse response functions to data on oil dependence variables, economic growth and several political institutional variables in 76 countries classified by different income groupings and level of development, over the period 1980-2012. Our results suggest that controlling for the quality of political institutions, and in particular the constraints to the executives, is important in rendering the resource curse hypothesis significant. Doing so, the resource curse hypothesis is documented mainly for developing economies and medium-high income countries. Specifically, when economies from the aforementioned groups are characterised by weak quality of political institutions, then oil dependence is not growth-enhancing.
Autores: Diaz, E. M.; Pérez de Gracia, Fernando;
ISSN 1544-6123  Vol. 20  2017  págs. 75 - 80
In this paper we examine the impact of oil price shocks on stock returns of four oil and gas corporations listed on NYSE over the period January 1974 to December 2015. We consider different linear and nonlinear oil price specifications and take into account the structural break date of the year 1986. The novelty evidence supports a significant positive impact of oil price shocks on stock returns in the short-run. We also find that the relationship has become statistically significant during the post-1986 period. (C) 2016 Elsevier Inc. All rights reserved.
Autores: Gil, Luis Alberiko; Pérez de Gracia, Fernando; et al.
ISSN 1556-7249  Vol. 12  Nº 5  2017  págs. 420 - 427
This paper contributes to the literature on crude oil price behavior and examines how this affects mergers and acquisitions (M&A) in the petroleum industry in the US. The paper analyzes the relationship of these two series by studying its dynamic in the time-frequency domain. The novelty of this study's approach lies in the application of wavelet tools for its resolution. Monthly data are used in this study, covering the period January 1980-June 2012. It was observed that there was a shift to higher frequencies of the wavelet coherency during the mid-1990s and the late 2000s. The results also indicate that during the mid-1990s and the late-2000s, an increase in M&A took place that was led by the increase in West Texas Intermediate crude oil prices.
Autores: Pershin, V.; Molero, Juan Carlos; Pérez de Gracia, Fernando;
ISSN 0161-8938  Vol. 38  Nº 1  2016  págs. 166 - 180
This paper investigates the relationship between oil prices and exchange rates in three African countries using a Vector AutoRegressive (VAR) model. We use daily data on nominal exchange rates, oil prices and short term interbank interest rates from 01/12/2003 to 02/07/2014. The results suggest that the exchange rate of the three selected countries behavior is different in the event of an oil price shock, not only before and after the oil peak of July of 2008, but also between each other. Therefore, no general rule can be made for net oil importing sub-Saharan countries, such as Botswana, Kenya and Tanzania. We conclude that after an oil price peak, the Botswanan pula clearly appreciates against the US dollar, the Kenyan and Tanzanian shilling.
Autores: jcalarcon; Molero, Juan Carlos; Pérez de Gracia, Fernando;
ISSN 0252-8673  Vol. 26  Nº 2  2016  págs. 141 - 167
In this paper we study the impact of oil price shocks on real economic activity and inflation rates in three Latin American economies (Brazil, Colombia and Peru) using a Vector AutoRegressive (VAR) model over the period 1991:M01-2014:M01. We also consider different oil shock specifications. We find a strong and prolonged increase in inflation in Brazil after an oil price shock and a negative effect with respect to economic growth. We find less significant results for Colombia and Peru that can be explained by the distorted pass-through of oil price shocks to domestic prices.
Autores: Díaz, E. M.; Molero, Juan Carlos; Pérez de Gracia, Fernando;
ISSN 0140-9883  Vol. 54  2016  págs. 417 - 430
This study examines the relationship between oil price volatility and stock returns in the G7 economies (Canada, France, Germany, Italy, Japan, the UK and the US) using monthly data for the period 1970 to 2014. In order to measure oil volatility we consider alternative specifications for oil prices (world, nominal and real prices). We estimate a vector autoregressive model with the following variables: interest rates, economic activity, stock returns and oil price volatility taking into account the structural break in the year 1986. We find a negative response of G7 stock markets to an increase in oil price volatility. Results also indicate that world oil price volatility is generally more significant for stock markets than the national oil price volatility.
Autores: Cuñado, María Juncal; Pérez de Gracia, Fernando;
ISSN 0140-9883  Vol. 42  2014  págs. 365 - 377
In this paper we examine the impact of oil price shocks on stock returns in 12 oil importing European economies using Vector Autoregressive (VAR) and Vector Error Correction Models (VECM) for the period 1973:02-2011:12. We propose an alternative oil price shock specification that takes into account both world oil production and world oil prices in order to disentangle oil supply and oil demand shocks. We find that the response of the European real stock returns to an oil price shock may differ greatly depending on the underlying causes of the oil price change. The results suggest the existence of a negative and significant impact of oil price changes on most European stock market returns. Furthermore, we find that stock market returns are mostly driven by oil supply shocks
Autores: Gil, Luis Alberiko; Cuñado, María Juncal; Pérez de Gracia, Fernando;
ISSN 0378-4371  Vol. 392  Nº 15  2013  págs. 3198 - 3212
This paper deals with the analysis of long range dependence in the US stock market. We focus first on the log-values of the Dow Jones Industrial Average, Standard and Poors 500 and Nasdaq indices, daily from February, 1971 to February, 2007. The volatility processes are examined based on the squared and the absolute values of the returns series, and the stability of the parameters across time is also investigated in both the level and the volatility processes. A method that permits us to estimate fractional differencing parameters in the context of structural breaks is conducted in this paper. Finally, the 'day of the week' effect is examined by looking at the order of integration for each day of the week, providing also a new modeling approach to describe the dependence in this context
Autores: Cuñado, María Juncal; Pérez de Gracia, Fernando;
ISSN 0303-8300  Vol. 112  Nº 3  2013  págs. 549 - 567
This paper explores the relationship between air pollution, climate and reported subjective well-being (or happiness) in Spanish regions. The results show that, after controlling for most of the socio-economic variables affecting happiness, there are still significant regional differences in subjective well-being. Evidence also suggests that climate and air pollution variables play a significant role in explaining these regional differences in happiness. The analysis also allows us to calculate the monetary value of air quality and climate, deriving the average marginal rate of substitution between income and air quality and climate for the Spanish regions
Autores: Cuñado, María Juncal; Pérez de Gracia, Fernando;
ISSN 0303-8300  Vol. 108  Nº 1  2012  págs. 185 - 196
In this paper we study the impact of education on happiness in Spain using individual-level data from the European Social Survey, by means of estimating Ordinal Logit Models. We find both direct and indirect effects of education on happiness. First, we find an indirect effect of education on happiness through income and labour status. That is, we find that people with a higher education level have higher income levels and a higher probability of being employed, and thus, report higher levels of happiness. Second, and after controlling by income, labour status and other socio-economic variables, we find that education has a positive (and direct) impact on happiness. We interpret this result as evidence of a ¿self-confidence¿ or ¿self-estimation¿ effect from acquiring knowledge. Finally, we find that the direct impact of education on happiness does not depend of the level of education (primary, secondary or tertiary)
Autores: Cuñado, María Juncal; Pérez de Gracia, Fernando;
ISSN 0899-7764  Vol. 25  Nº 1  2012  págs. 8 - 34
This article concerns the study of the impact of media consumption on happiness in Spain using data from the fourth wave of the European Social Survey, distinguishing between watching TV, listening to the radio, reading newspapers, and using the Internet. A negative effect of TV watching was found on individual happiness, mainly among women; those with higher incomes; and those with paying jobs¿that is, among those with a higher opportunity cost of time. However, this negative effect on happiness does not appear for radio listening, newspaper reading, or Internet usage
Autores: Gil, Luis Alberiko; Moreno, Antonio; Pérez de Gracia, Fernando;
ISSN 0277-6693  Vol. 31  Nº 6  2012  págs. 524 - 539
Autores: López-Espinosa, Germán; Moreno, Antonio; Pérez de Gracia, Fernando;
ISSN 0261-5606  Vol. 30  Nº 6  2011  págs. 1214-1233
Autores: Cuñado, María Juncal; Gil, Luis Alberiko; Pérez de Gracia, Fernando;
ISSN 1133-3197  Vol. 29  Nº 3  2011  págs. 723 - 736
Este trabajo investiga el grado de persistencia en las llegadas internacionales de turistas a España empleando técnicas de integración fraccional. Los resultados que se obtienen son los siguientes. Los resultados sugieren que las hipótesis de I(0) e I(1) se rechazan y que la serie de llegada de turistas a España se puede modelizar como una serie I(d) donde d toma valores en el intervalo (0.421, 0.780) implicando un proceso de memora larga y con reversion a la media. Sin embargo, teniendo en cuenta la existencia de un cambio estructural, este ocurre en Mayo del 2007, y las dos submuestras son entonces integradas fraccionalmente con un parámetro de integración superior a 1 en ambas submuestras, y rechazando por tanto la hipótesis de reversión a la media
Autores: Gómez, Javier; Moreno, Antonio; Pérez de Gracia, Fernando;
ISSN 0161-8938  Vol. 32  Nº 1  2010  págs. 138 - 154
In this paper we account for the U.S. Fed's response to money demand shocks by allowing for less-than-complete accommodation in the estimation of the Fed's money supply policy rule. We find a significantly lower degree of money accommodation in the 1979¿1982 period, which hints at money targeting during that period rather than interest rate targeting. We identify the path of money demand and money supply shocks and comment on their effects on the dynamic behavior of money, interest rates, output and inflation: the monetary policy intermediate target seems not to be the key determinant of macro-dynamics. Our results allow us to offer comments on the implications for monetary policy of both the degree of money demand accommodation ¿ thus, of the intermediate monetary policy target ¿ and the evolution (reduction) of macroeconomic volatility between 1984 and 2007.
Autores: Cuñado, Juncal; Gil-Alana, Luis A.; Pérez de Gracia, Fernando;
ISSN 0270-7314  Vol. 5  Nº 30  2010  págs. 490 - 507
In this study, we examine the possibility of long-range dependence in some energy futures markets for different maturities. In order to test for persistence, we use a variety of techniques based on non-parametric, semi-parametric and parametric methods. The results indicate that there is little or no evidence of long memory in gasoline, propane, oil and heating oil at different maturities. However, when we focus on the volatility process, proxied by the absolute returns, we find strong evidence of long memory in all the variables at different contracts.
Autores: Cuñado, Juncal; Gil-Alana, Luis A.; Pérez de Gracia, Fernando;
ISSN 0094-5056  Vol. 36  Nº 2  2010  págs. 177-187
Autores: Cuñado, María Juncal; Gil, Luis Alberiko; Pérez de Gracia, Fernando;
ISSN 0275-5319  Vol. 24  Nº 2  2010  págs. 113 - 122
In this paper we test whether mean reversion in stock market prices presents a different behavior in bull and bear markets. We date the US bull and bear periods using Bry and Boschan (1971) algorithm. We examine the order of integration in the S&P 500 stock market index covering a daily period from August 1929 to December 2006 in bull and bear phases. Our results indicate the existence of different episodes of mean reversion, which mainly correspond to bull market periods.