Grupos Investigadores

Líneas de Investigación

  • Yield Curve and International Macro Dynamics
  • Systemic Risk and Banking
  • Macroeconomics and Finance / Labor / Banking / Energy
  • Financial Stability / CDS Market
  • Earnings Management / Accounting

Palabras Clave

  • Macroeconomía
  • Finanzas
  • Energía
  • Banca

Publicaciones Científicas desde 2018

  • Autores: Abbritti, Mirko; Trani, Tommaso (Autor de correspondencia)
    Revista: MACROECONOMIC DYNAMICS
    ISSN 1365-1005 Vol.26 N° 3 2022 págs. 545 - 578
    Resumen
    We introduce business-to-business (B2B) relationships into an otherwise standard model to revisit two aspects of price dynamics in a unified analysis. On one side, the pass-through of cost shocks to prices is empirically incomplete. On the other side, the literature contains conjectures that long-term relationships may reduce the allocative role of price changes. After a partial equilibrium analysis of these aspects, we consider the general equilibrium effects. The formation of B2B relationships implies that the trade of intermediate goods depends on search, bargaining, and the adjustment along the intensive margin as opposed to the extensive margin. We find that, when this adjustment is costly, retailers have a relatively high bargaining power, and mismatch shocks are possible, the model can account for the second moments of the US producer price index and other variables. In this case, although its allocative role is low, the intermediate goods price affects the allocation of goods through the search externalities and is sufficiently volatile. The analysis includes several sensitivity tests and comparisons.
  • Autores: Aguilera Bravo, Asier; Casares, M. (Autor de correspondencia); Khan, H.
    Revista: ECONOMICS LETTERS
    ISSN 0165-1765 Vol.211 2022 págs. 110247
    Resumen
    We provide evidence that both firm and establishment entry rates in the US have been increasing over the past decade, seemingly ending the decline observed over previous decades. However, neither the job creation and destruction rates nor the reallocation rates show signs of recovery. These conflicting features are reconciled after we control for the changes in job size of business units. As a result, we conclude that business dynamism flattened at historically low levels during the 2010s.
  • Autores: Shiba, S.; Cuñado Eizaguirre, Juncal; Gupta, R. (Autor de correspondencia)
    Revista: JOURNAL OF RISK AND FINANCIAL MANAGEMENT
    ISSN 1911-8066 Vol.15 N° 1 2022 págs. 18
    Resumen
    In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous autoregressive realised variance (HAR-RV) models. A recursive estimation approach in the short-, medium- and long-run out-of-sample predictability is considered and the main findings show that the EMVID index plays a significant role in forecasting the volatility of international stock markets. Furthermore, the results suggest that the most vulnerable stock markets to EMVID are those in Singapore, Portugal and The Netherlands. The implications of these results for investors and portfolio managers amid high levels of uncertainty resulting from infectious diseases are discussed.
  • Autores: Moreno Ibáñez, Antonio
    Revista: NUEVAS TENDENCIAS
    ISSN 1139-8124 N° 106 2021 págs. 9- 11
    Resumen
    Construir un sistema económico más estable, inclusivo y humano es el reto al que se enfrentan todas las sociedades. Eso implica poner a las personas en el centro de la economía.
  • Autores: Martínez Compains, J. (Autor de correspondencia); Rodríguez Carreño, Ignacio; Gencay, R.; et al.
    Revista: STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
    ISSN 1081-1826 Vol.25 N° 5 2021 págs. 255 - 265
    Resumen
    Johansen's Cointegration Test (JCT) performs remarkably well in finding stable bivariate cointegration relationships. Nonetheless, the JCT is not necessarily designed to detect such relationships in presence of non-linear patterns such as structural breaks or cycles that fall in the low frequency portion of the spectrum. Seasonal adjustment procedures might not detect such non-linear patterns, and thus, we expose the difficulty in identifying cointegrating relations under the traditional use of JCT. Within several Monte Carlo experiments, we show that wavelets can empower more the JCT framework than the traditional seasonal adjustment methodologies, allowing for identification of hidden cointegrating relationships. Moreover, we confirm these results using seasonally adjusted time series as US consumption and income, gross national product (GNP) and money supply M1 and GNP and M2.
  • Autores: Salisu, A. A.; Cuñado Eizaguirre, Juncal (Autor de correspondencia); Isah, K.; et al.
    Revista: JOURNAL OF FORECASTING
    ISSN 0277-6693 Vol.40 N° 8 2021 págs. 1581 - 1595
    Resumen
    Relying on the uncovered equity parity (UEP), we formulate a predictive model that links movements in exchange rate to stock return differential between the domestic market and the foreign (US) market. We also test for any probable asymmetric relationship between the two variables while also accounting for the role of observed common (global) factor such as oil price. We find a positive relationship between stock return differential and exchange rate return for three of the BRICS countries namely Brazil, India and South Africa, thus validating the UEP hypothesis, whereas a contrasting evidence is observed for China and Russia. We further establish the out-of-sample predictability of stock return differential for exchange rates of the BRICS while accounting for the role of observed common (global) factor, and asymmetry may further improve the forecast accuracy. The implications of our findings for portfolio diversification and foreign exchange management are highlighted.
  • Autores: Gómez Biscarri, Javier; López Espinosa, Germán; Mesa Toro, Andrés (Autor de correspondencia)
    Revista: JOURNAL OF FINANCIAL STABILITY
    ISSN 1572-3089 Vol.56 2021 págs. 100932
    Resumen
    US credit unions have been subject to a strict regulation of their commercial lending which included both requirements for enhanced organizational practices and a cap on the proportion of business loans relative to assets (imposed in 1998 by US Congress). Since 2003, however, these limitations have been steadily relaxed, a process which has resulted in an increase in credit union business lending activity. Using data from the universe of US credit unions we provide comprehensive evidence that expansion of the business loan portfolio increases the risk of the asset side of the credit union. This is the case even for credit unions which benefit from partnership with the SBA, for which we observe an initial increase in the risk of non-SBA backed loans (an overconfidence effect) which reverses over time (a learning effect). Our results suggest, furthermore, that the risk of business loans is exacerbated for credit unions which initiate their business loan activity and which do so rapidly. In the second part of our analysis we provide descriptive and quasi-experimental evidence that expansions of credit union activity into business loans are associated with lower subsequent growth rates of deposits. This result is similar to the reaction to risk indicators found in the banking literature and might give an ex-ante incentive for the CU that could work as a market-based stabilization mechanism complementary to that of explicit regulation.
  • Autores: Equiza Goñi, Juan (Autor de correspondencia)
    Revista: REVISTA ESPAÑOLA DE SALUD PUBLICA
    ISSN 1135-5727 Vol.95 2021 págs. e202104048
    Resumen
    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.
  • Autores: López Espinosa, Germán (Autor de correspondencia); Ormazabal Sanchez, Gaizka; Sakasai, Y.
    Revista: JOURNAL OF ACCOUNTING RESEARCH
    ISSN 0021-8456 Vol.59 N° 3 2021 págs. 757 - 804
    Resumen
    This paper provides early evidence on the effect of global regulation mandating a switch from loan loss provisioning (LLP) based on incurred credit losses (ICLs) to LLP based on expected credit losses (ECLs). Using a sample of systemically important banks from 74 countries, we find that ECL provisions are more predictive of future bank risk than ICL provisions. Corroborating that the switch to ECL provisioning results in more information to assess bank risk, we also observe that the announcement of a larger first-time impact of the accounting change elicits lower stock returns and higher changes in credit default swap spreads. Critically, these patterns are most pronounced when credit conditions deteriorate. Additional analyses show that the higher information content of the ECL model stems from the provisions for nondefaulted loans, which did not exist under ICL. Our study contributes to the debate on the effect of the ECL model on procyclicality, an especially pressing issue in the context of the current pandemic.
  • Autores: Díaz Aguiluz, Elena María (Autor de correspondencia); Pérez-Quirós, G.
    Revista: JOURNAL OF INTERNATIONAL MONEY AND FINANCE
    ISSN 0261-5606 Vol.115 2021
    Resumen
    This paper develops a novel indicator of global economic activity, the GEA Tracker, which is based on commodity prices selected recursively through a genetic algorithm. The GEA Tracker allows for daily real-time knowledge of international business conditions using a minimum amount of information. We find that the GEA Tracker outperforms its competitors in forecasting stock returns, especially in emerging markets, and in predicting standard indicators of international business conditions. We show that an investor would have inexorably profited from using the forecasts provided by the GEA Tracker to weight a portfolio. Finally, the GEA Tracker allows us to present the daily evolution of global economic activity during the COVID-19 pandemic. (c) 2021 Elsevier Ltd. All rights reserved.
  • Autores: Kang, W. S. ; Pérez de Gracia Hidalgo, Fernando (Autor de correspondencia); Ratti, R. A.
    Revista: APPLIED ECONOMICS
    ISSN 0003-6846 Vol.53 N° 56 2021 págs. 6488 - 6496
    Resumen
    This paper extends previous literature that investigates the impact of crude oil prices on US gasoline prices using a structural vector autoregressive model of the global crude oil market. In particular, we disentangle the global oil production into non-US and US oil production and we examine whether real gasoline prices respond to non-US and US oil supply shocks using monthly data from October 1973 to February 2018. It shows that non-US (US) oil supply disruptions generate nonsignificant (significantly positive) effects on the real price of oil and real price of gasoline. The effect of non-US (US) oil supply shocks on the real price of gasoline has been declining (rising) over time.
  • Autores: Mayordomo, S.; Moreno Ibáñez, Antonio; Ongena, S. (Autor de correspondencia); et al.
    Revista: JOURNAL OF FINANCIAL INTERMEDIATION
    ISSN 1042-9573 Vol.45 N° 100825 2021
    Resumen
    This paper studies the effects of the bank capital requirements imposed by the European authorities in October 2011 on loan collateral and personal guarantees usage to enhance capital ratios. We use detailed information on the loan contracts granted by a representative Spanish bank and several subsidiaries to nonfinancial corporations around that date. We document that personal guarantees usage increases more than that of collateral, especially at subsidiaries with lower capital ratios. However, although the former type of guarantees demonstrably disciplined firms in their risk-taking before 2011, their subsequent overuse may have blunted their impact and may have even undermined firm performance and investment.
  • Autores: Abbritti, M.; Aguilera Bravo, Asier; Trani, Tommaso (Autor de correspondencia)
    Revista: ECONOMIC MODELLING
    ISSN 0264-9993 Vol.101 N° 105551 2021
    Resumen
    We analyze a monetary economy where firms trading intermediate inputs engage in long-term business-to-business (B2B) relationships. We focus on features such as search for business partners, price negotiation and productivity levels that can make it convenient to separate a relationship. These features are introduced into an otherwise standard New Keynesian (NK) model for policy analysis, where the central bank adopts a Taylor rule. As a result of these features of the B2B relationships, final price and intermediate price inflation are generally not aligned, which is realistic but overlooked by the standard NK model. Consequently, we can investigate the extent to which the allocative role of the intermediate price contributes to the transmission of monetary policy shocks. We find that an allocative role arises from the endogenous separations of the relationships. However, this role is smaller than that in the standard NK model, leading to a comparable but micro-founded alternative explanation of the U.S. business cycle moments.
  • Autores: Hkiri, B.; Cuñado Eizaguirre, Juncal (Autor de correspondencia); Balcilar, M.; et al.
    Revista: EMPIRICAL ECONOMICS
    ISSN 0377-7332 N° 61 2021 págs. 2963 - 2983
    Resumen
    This paper analyzes the time-varying relationship between risk aversion and both conventional and unconventional monetary policy in an international context and at different frequencies using a wavelet coherency analysis. Our main results suggest the existence of a dynamic relationship between the two variables depending on timescales and on the periods. Thus, a short-run negative relationship leading from the risk aversion variable to the monetary policy measure is found for most of the period, suggesting that monetary policy reacts more aggressively in periods of high risk aversion. Furthermore, during the financial crisis, we find a long-run negative relationship leading from the monetary policy to the risk aversion index, suggesting that a lax monetary policy could lead to financial instability. US monetary policy has also significant effects on the risk aversion rates in the Euro Area, Japan and the UK.
  • Autores: Kang, W.; Pérez de Gracia Hidalgo, Fernando (Autor de correspondencia); Ratti, R. A.
    Revista: THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
    ISSN 1062-9408 Vol.57 2021 págs. 101388
    Resumen
    This paper examines the impacts of economic policy uncertainty and oil price shocks on stock returns of U.S. airlines using both industry and firm-level data. Our empirical approach considers a structural vector-autoregressive model with variables recognized to be important for airline returns including jet fuel price volatility. Empirical results confirm that oil price increase, economic uncertainty and jet fuel price volatility have significantly adverse effect on real stock returns of airlines both at industry and at firm level. In addition, we also find that hedging future fuel purchase has statistically positive impact on the smaller airlines. Our results suggest policy implications for practitioners, managers of airline industry and commodity investors.
  • Autores: Antonakakis, N.; Cuñado Eizaguirre, Juncal (Autor de correspondencia); Filis, G.; et al.
    Revista: ENERGY ECONOMICS
    ISSN 0140-9883 Vol.91 2020
    Resumen
    Building on the increased interest in oil prices and other financial assets, this paper examines the dynamic conditional correlations among their implied volatility indices. We then proceed to the examination of the optimal hedging strategies and optimal portfolio weights for implied volatility portfolios between oil and fourteen asset volatilities, which belong to four different asset dasses (stocks, commodities, exchange rates and macroeconomic conditions). The results suggest that the oil price implied volatility index (OVX) is highly correlated with the US and emerging stock market volatility indices, whereas the lowest correlations are observed with the implied volatilities of gold and the Euroidollar exchange rate. Hedge ratios indicate that VIX is the least useful implied volatility index to hedge against oil implied volatility. Finally, we show that investors can benefit substantially by adjusting their portfolios based on the dynamic weights and hedge ratios obtained from the dynamic conditional correlation models, although a trade-off exists between the level of risk reduction and portfolio profitability. (C) 2020 Elsevier B.V. All rights reserved.
  • Autores: Cuñado Eizaguirre, Juncal (Autor de correspondencia); Gupta, R. ; Lau, C. K. M.; et al.
    Revista: DEFENCE AND PEACE ECONOMICS
    ISSN 1024-2694 Vol.31 N° 6 2020 págs. 692 - 706
    Resumen
    This paper analyses the dynamic impact of geopolitical risks (GPRs) on real oil returns for the period February 1974 to August 2017, using a time-varying parameter structural vector autoregressive (TVP-SVAR) model. Besides the two variables of concern, the model also includes growth in world oil production, global economic activity (to capture oil-demand), and world stock returns. We show that GPRs (based on a tally of newspaper articles covering geopolitical tensions), in general, has a significant negative impact on oil returns, primarily due to the decline in oil demand captured by the global economic activity. Our results, thus, highlight the risk of associating all GPRs with oil supply shocks driven by geopolitical tensions in the Middle East, and hence, ending up suggesting that higher GPRs drive up oil prices.
  • Autores: Equiza Goñi, Juan (Autor de correspondencia)
    Revista: MACROECONOMIC DYNAMICS
    ISSN 1365-1005 Vol.24 N° 2 2020 págs. 447 - 477
    Resumen
    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.
  • Autores: Hassani, H. (Autor de correspondencia); Yeganegi, M. R.; Cuñado Eizaguirre, Juncal; et al.
    Revista: JOURNAL OF APPLIED STATISTICS
    ISSN 0266-4763 Vol.47 N° 6 2020 págs. 1128 - 1143
    Resumen
    This study examines the very short, short, medium and long-term forecasting ability of different univariate GARCH models of United Kingdom (UK)'s interest rate volatility, using a long span monthly data from May 1836 to June 2018. The main results show the relevance of considering alternative error distributions to the normal distribution when estimating GARCH-type models. Thus, we obtain that the Asymmetric Power ARCH (A-PARCH) models with skew generalized error distribution are the most accurate models when forecasting UK interest rates, while for the short, medium and long-term term forecasting horizons, GARCH models with generalized error distribution for the error term are the most accurate models in forecasting UK's interest rates.
  • Autores: Abbritti, Mirko; Equiza Goñi, Juan; Pérez de Gracia Hidalgo, Fernando (Autor de correspondencia); et al.
    Revista: JOURNAL OF ECONOMICS AND FINANCE
    ISSN 1938-9744 Vol.44 N° 4 2020 págs. 708 - 723
  • Autores: Boubaker, H. ; Cuñado Eizaguirre, Juncal (Autor de correspondencia); Gil Alaña, Luis Alberiko; et al.
    Revista: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
    ISSN 0378-4371 Vol.540 2020 págs. 123093
    Resumen
    Using annual data spanning the period of 1258-2018, we test the safe haven characteristic of gold in the wake of global crises. We find that, when we allow for regime-switching to capture nonlinearity and structural breaks, gold serves as a strong hedge against crises, especially during the bullish regime of the market, and in particular from the however, does not seem to possess the safe haven property over the historical period of 1688-2018. Finally, we also find that global crises can accurately predict real gold returns over a long-span (1302-2018) out-of-sample period. (C) 2019 Elsevier B.V. All rights reserved.
  • Autores: Tiwari, AK. ; Gupta, R.; Cuñado Eizaguirre, Juncal; et al.
    Revista: ECONOMICS AND BUSINESS LETTERS
    ISSN 2254-4380 Vol.9 N° 3 2020 págs. 178 - 188
    Resumen
    In the pure time-series sense, weak-form of efficiency of the housing market would imply unpredictability of housing returns. Given this, utilizing a daily dataset of aggregate housing market returns of the United States, we test whether housing market returns are white noise using the blockwise wild bootstrap in a rolling-window framework. We investigate the dynamic evolution of housing market efficiency and find that the white noise hypothesis is accepted in most windows associated with non-crisis periods. However, for some periods before the burst of the housing market bubbles, and during the subprime mortgage crisis, European sovereign debt crisis and the Brexit, the white noise hypothesis is rejected, indicating that the housing market is inefficient in periods of turbulence. Our results have important implications for economic agents.
  • Autores: Nasreen, S.; Tiwari, A. K.; Cuñado Eizaguirre, Juncal; et al.
    Revista: JOURNAL OF CLEANER PRODUCTION
    ISSN 0959-6526 Vol.260 2020
    Resumen
    This study employs wavelet coherency, phase differences and spillover analysis to examine the dynamic connectedness between oil prices and stock returns of clean energy and technology companies. Multivariate Generalised Auto-Regressive Conditional Heteroscedasticity models are used to examine the conditional correlations, hedging performance, and to make a portfolio strategy. The wavelet coherency analysis shows a weak degree of association between oil prices and clean energy stock returns and between oil prices and technology companies' stock returns in time and frequency scales. The phase differences study shows that all series move cyclically, with technology stock returns leading oil prices and stock returns of clean energy companies. Furthermore, the volatility spillovers findings reveal that the overall connectedness of the system is 0.43%, while the degree of connectedness is greater at lower frequencies (1-4 days) than at higher frequencies (more than 4 days). The results also suggest that the volatility is transmitted from technology companies to oil and clean energy markets at all frequencies and over the whole period. Policy implications and hedging and portfolio options are discussed. (C) 2020 Elsevier Ltd. All rights reserved.
  • Autores: Equiza Goñi, Juan (Autor de correspondencia); Pérez de Gracia Hidalgo, Fernando
    Revista: ENERGY ECONOMICS
    ISSN 0140-9883 Vol.92 2020 págs. 104951
    Resumen
    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.
  • Autores: Cuñado Eizaguirre, Juncal (Autor de correspondencia); Gil Alaña, Luis Alberiko; Gupta, R.
    Revista: PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
    ISSN 0378-4371 Vol.514 2019 págs. 345 - 354
    Resumen
    This study examines the persistence in gold and silver prices covering the historical periods of 1257 to 2016 and 1687 to 2016 respectively, by means of simultaneously estimating two differencing parameters for the long run trend and the cyclical behavior in a fractional integration framework. As opposed to many previous papers in the literature, once the cyclical differencing parameter is taken into account, mean reversion is detected in the long run trend of both gold and silver prices. The same result is obtained when structural breaks are taken into account. As far as the cyclical behavior of gold and silver prices is concerned, we find that cycles have a higher periodicity for gold (around 7 years) than for silver (4-5 years). (C) 2018 Elsevier B.V. All rights reserved.
  • Autores: Aranda León, María del Carmen; Arellano Gil, Javier (Autor de correspondencia); Dávila Parra, Antonio
    Revista: MANAGEMENT ACCOUNTING RESEARCH
    ISSN 1044-5005 Vol.43 2019 págs. 45 - 60
    Resumen
    Subjective bonuses can reflect implicit contracts entered at the beginning of the period when certain employees commit to more difficult targets and managers use subjective bonuses at the end of the period to reward this commitment. We examine this prediction in a budget-based incentive systems¿ setting. We argue that the presence of these implicit contracts allows managers to adapt targets to the individual characteristics of employees and their units with the purpose of enhancing the motivational structure of budget-based contracts. Using data from 414 branches of a large travel retailer during a four-year period, we find that managers use their discretion to set targets at different levels of difficulty across branches and subjective bonuses are sensitive to the difficulty of these targets. Branches with more difficult targets relative to their peers receive larger subjective bonuses. We also test the motivational effect of larger subjective bonuses and find that they have a positive effect on future performance. In particular, larger target increases (relative to peers) from current to the next period result in larger performance increase (relative to peers) when the branch is rewarded with higher subjective bonuses in the current period. The evidence indicates that subjective bonuses can fulfill roles beyond addressing performance measurement systems¿ limitations. Managers use them to reward employees¿ commitment to target difficulty and to motivate future performance.
  • Autores: Equiza Goñi, Juan; Pérez de Gracia Hidalgo, Fernando (Autor de correspondencia)
    Revista: APPLIED ECONOMICS LETTERS
    ISSN 1350-4851 Vol.26 N° 11 2019 págs. 919 - 926
    Resumen
    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.
  • Autores: Aguilera Bravo, Asier; Casares, M. (Autor de correspondencia)
    Revista: ECONOMICS LETTERS
    ISSN 0165-1765 Vol.185 2019 págs. 108734
    Resumen
    This paper computes the steady-state optimal rate of inflation in a model with monopolistic competition under two different sticky-price specifications, Calvo (1983) and Taylor (1980). The optimal rate of inflation is positive and almost identical to the ratio between the rate of discount and the Dixit-Stiglitz elasticity. (C) 2019 Elsevier B.V. All rights reserved.
  • Autores: Gil Alaña, Luis Alberiko; Trani, Tommaso (Autor de correspondencia)
    Revista: INTERNATIONAL REVIEW OF FINANCE
    ISSN 1369-412X Vol.19 N° 1 2019 págs. 237 - 244
    Resumen
    We assess the persistence of the credit¿to¿GDP ratio over more than 130¿years of data for 11 advanced economies, employing an approach based on fractional integration and allowing for nonlinearities. We show how the time series properties of the data changed around World War II (WWII). Moreover, our findings are consistent with the idea that the supply of mortgage loans has been particularly strong since WWII, in the sense that the degree of integration of the leverage ratio obtained with only these loans is larger than that of the ratio obtained with the total loans for almost all the studied countries. Nevertheless, it is generally the case that both types of ratios show a higher degree of integration after WWII than before it, though often insignificantly, and that their time trends are significant only after WWII.
  • Autores: Innocenti, S. (Autor de correspondencia); Clark, G. L.; McGill, S.; et al.
    Revista: JOURNAL OF ECONOMIC PSYCHOLOGY
    ISSN 0167-4870 Vol.74 2019
    Resumen
    We investigate whether past negative health experiences are positively associated with intentions to purchase insurance to mitigate the risks of income losses due to illnesses and disabilities. Using an original survey based upon representative samples of working individuals in 11 countries, we show that agents who have personally experienced a negative health event in the past are 25% more likely to state the intention to purchase income protection insurance than those who have not had such an experience. Moreover, personally knowing someone who suffered from ill health increases intentions by 40%. Insurance ownership increases by 23% due to personal experience and by 31% because of vicarious experience.
  • Autores: Bernal, B.; Molero García, Juan Carlos; Pérez de Gracia Hidalgo, Fernando
    Revista: JOURNAL OF ECONOMIC STUDIES
    ISSN 0144-3585 Vol.46 N° 2 2019 págs. 356 - 371
    Resumen
    Purpose The purpose of this paper is to examine the impact of fossil fuel prices ¿ crude oil, natural gas and coal ¿ on different electricity prices in Mexico. The use of alternative variables for electricity price helps to increase the robustness of the analysis in comparison to previous empirical studies. Design/methodology/approach The authors use an unrestricted vector autoregressive model and the sample covers the period January 2006 to January 2016. Findings Empirical findings suggest that crude oil, natural gas and coal prices have a significant positive impact on electricity prices ¿ domestic electricity rates ¿ in Mexico in the short run. Furthermore, crude oil and natural gas prices have also a significant positive impact on electricity prices ¿ commercial and industrial electricity rates. Originality/value Two are the main contributions. First, this paper explores the nexus among crude oil, natural gas, coal and electricity prices in Mexico, while previous studies focus on the US, UK and some European economies. Second, instead of using one electricity price as a reference of national or domestic electricity sector, the analysis considers alternative Mexican electricity prices.
  • Autores: Christou, C. (Autor de correspondencia); Cuñado Eizaguirre, Juncal; Gupta, R.
    Revista: PANOECONOMICUS
    ISSN 1452-595X Vol.66 N° 2 2019 págs. 187 - 201
    Resumen
    This study examines the convergence patterns of prices across 50 U.S. states over the period 1960-2007, by applying the convergence algorithm developed by Peter C. B. Phillips and Donggyu Sul (2007). The empirical findings suggest the rejection of full convergence across the 50 U.S. states' prices, and the presence of 11 subgroups, or convergence clubs. The main implications of this paper point to the low degree of market integration across the U.S. states, the limitations of using a unique national price deflator to calculate real U.S. state variables, and the different effects that national monetary policy decisions will have on U.S. state prices.
  • Autores: Tiwari, A. K.; Cuñado Eizaguirre, Juncal; Gupta, R. ; et al.
    Revista: STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
    ISSN 1081-1826 Vol.23 N° 3 2019
    Resumen
    This paper analyzes the relationship between stock returns and the inflation rates for the UK over a long time period (February 1790-February 2017) and at different frequencies, by employing a wavelet analysis. We also compare the results for the UK economy with those for the US and two developing countries (India and South Africa). Overall, our results tend to suggest that, while the relationship between stock returns and inflation rates varies across frequencies and time periods, there is no evidence of stock returns acting as an inflation hedge, irrespective of whether we look at the two developed or the two developing markets in our sample.
  • Autores: Gil Alaña, Luis Alberiko; Trani, Tommaso (Autor de correspondencia)
    Revista: ECONOMICS LETTERS
    ISSN 0165-1765 Vol.181 2019 págs. 182 - 185
    Resumen
    In this paper, we examine the cyclical structure of the UK inflation rate using historical data dating back to 1210. Based on a methodology that allows for fractional orders of integration at a non-zero frequency and stochastic cycles, the results indicate the presence of cycles that repeat themselves approximately every 4 years and that the order of integration is constrained between 0.10 and 0.20, implying long memory. Moreover, this pattern seems to be stable over time. (C) 2019 Elsevier B.V. All rights reserved.
  • Autores: Antonakakis, N. (Autor de correspondencia); Cuñado Eizaguirre, Juncal; Gupta, R.; et al.
    Revista: JOURNAL OF APPLIED ECONOMICS
    ISSN 1514-0326 Vol.22 N° 1 2019 págs. 116 - 130
    Resumen
    We revisit the twin deficits hypothesis by examining the long-run cointegrating relationship between the US budget and trade deficits across various quantiles using a unique dataset for the period 1791-2013. The main results suggest the existence of nonlinearities and structural breaks in the relationship between the trade and budget deficits, indicating that the long-run relationship between the two variables has not been constant overtime. Furthermore, we find evidence in favour of the twin deficits hypothesis. Finally, the results suggest that the cointegrating coefficient in the long-run relationship between the two variables is not constant across different quantiles. In fact, we find that an increase in the budget deficit will have a greater effect on the trade deficit at quantiles below the median than at higher quantiles, suggesting that the effectiveness of restrictive fiscal policies directed to reduce trade deficits will depend on the actual size of the budget deficit.
  • Autores: Kang, W. S. ; Pérez de Gracia Hidalgo, Fernando; Ratti, R. A. (Autor de correspondencia)
    Revista: ENERGY ECONOMICS
    ISSN 0140-9883 Vol.77 2019 págs. 66 - 79
    Resumen
    This study shows that the effect of oil price shocks on the real price of gasoline is interrelated with economic policy uncertainty. Economic policy shocks are linked with increased real price of gasoline and reduced consumption of gasoline. There is evidence that the fluctuation of both real gasoline prices and of gasoline consumption is associated with uncertainty of tax legislation expiration expectation as well as other components of economic policy uncertainty. Positive shocks to economic policy uncertainty have relatively larger effects on gasoline prices than do negative shocks to economic policy uncertainty. Economic policy uncertainty responds asymmetrically to increases and decreases in real oil price. Shocks to economic policy uncertainty account for 16.1% of variation in real gasoline prices and for 4.9% of variation in gasoline consumption in the long-run. (C) 2018 Elsevier B.V. All rights reserved.
  • Autores: Tiwari, A. K.; Cuñado Eizaguirre, Juncal (Autor de correspondencia); Hatemi-J, A. ; et al.
    Revista: STRUCTURAL CHANGE AND ECONOMIC DYNAMICS
    ISSN 0954-349X Vol.50 2019 págs. 51 - 55
    Resumen
    This paper analyzes the oil price-inflation pass-through by studying the relationship between oil prices and U.S. Consumer Price Index (CPI) over the period January 1871-June 2018, at different frequencies, using a wavelet coherency analysis. In this long period of time characterized by significant structural changes, which have changed the role of fossil fuel prices (specially, crude oil) relative to renewable and alternative fuels, our main results suggest that the relationship between oil prices and CPI has changed over the analyzed time period, implying a decrease in the oil price-inflation pass-through over time. Furthermore, this relationship also varies across frequencies, suggesting that the evidence of oil price-inflation pass-through with oil prices leading CPI is weaker in the short-run. (C) 2019 Elsevier B.V. All rights reserved.
  • Autores: Bahloul, W.; Balcilar, M. ; Cuñado Eizaguirre, Juncal (Autor de correspondencia); et al.
    Revista: JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT
    ISSN 1042-444X Vol.45 2018 págs. 52 - 71
    Resumen
    We analyze the ability of economic and financial uncertainties in predicting movements in commodity futures markets. Using daily data over the period of 8th May, 1992 to 31st August, 2016 on 21 commodity futures covering agriculture, energy, metals and livestock, we find that: (a) Linear predictive tests provide virtually no evidence of predictability; (b) Linear models are misspecified due to nonlinearity and hence, results from the framework cannot be relied upon, and; (c) Using a k-th order nonparametric causality-in-quantiles test, which is robust to misspecification in the presence of nonlinearities, we find evidence that measures of uncertainty can predict returns and/or volatility of as many as 20 of the commodities considered at least at one point of their respective conditional distributions for returns and variance. In general, we highlight the importance of modeling nonlinearity, higher order moments, and quantiles of returns and volatility when carrying out predictability analysis involving commodity futures and uncertainty. (C) 2018 Elsevier B.V. All rights reserved.
  • Autores: Ben Nasr, A.; Cuñado Eizaguirre, Juncal (Autor de correspondencia); Demirer, R.; et al.
    Revista: RISKS
    ISSN 2227-9091 Vol.6 N° 3 2018 págs. 1-22
    Resumen
    This study examines the linkages between Brazil, Russia, India, and China (BRICS) stock market returns, country risk ratings, and international factors via Non-linear Auto Regressive Distributed Lags models (NARDL) that allow for testing the asymmetric effects of changes in country risk ratings on stock market returns. We show that BRICS countries exhibit quite a degree of heterogeneity in the interaction of their stock market returns with country-specific political, financial, and economic risk ratings. Positive and negative rating changes in some BRICS countries are found to have significant implications for both local stock market returns, as well as commodity price dynamics. While the commodity market acts as a catalyst for these emerging stock markets in the long-run, we also observe that negative changes in the country risk ratings generally command a higher impact on stock returns, implying the greater impact of bad news on market dynamics. Our findings suggest that not all BRICS nations are the same in terms of how they react to ratings changes and how they interact with global market variables.
  • Autores: Redín Goñi, Dulce; Rodríguez Carreño, Ignacio; Cuñado Eizaguirre, Juncal; et al.
    Revista: APPLIED ECONOMICS LETTERS
    ISSN 1350-4851 Vol.25 N° 5 2018 págs. 305 - 308
    Resumen
    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: Clark, G. L. (Autor de correspondencia); McGill, S. ; Cuñado Eizaguirre, Juncal
    Revista: GEOGRAPHICAL RESEARCH
    ISSN 1745-5863 Vol.56 N° 2 2018 págs. 139 - 153
    Resumen
    Utilising a large comparative survey across 11 countries, it is shown that country effects condition the individual uptake of income protection insurance and that shared attributes, including labour market status, are important factors in determining the take-up of income protection insurance, whatever the respondents' country of residence. We observed differences in the respondents' coping strategies, including self-reliance, and were able to distinguish between migrant workers and those who work in their country of origin, along with the special case of the Australian respondents. These findings have implications for the ongoing debate on the labour market effects of globalisation and the significance of national institutions and regulatory practices.
  • Autores: Caporale, G. M. (Autor de correspondencia); Gil Alaña, Luis Alberiko; Trani, Tommaso
    Revista: INTERNATIONAL JOURNAL OF FINANCIAL STUDIES
    ISSN 2227-7072 Vol.6 N° 1 2018 págs. 21 - 29
    Resumen
    This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound's implied volatilities (IVs) vis-a-vis the main currencies traded in the FOREX (foreign exchange market), namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the European Union (EU) to achieve an appropriate Brexit deal.
  • Autores: Caporale, G. M.; Cuñado Eizaguirre, Juncal (Autor de correspondencia); Gil Alaña, Luis Alberiko; et al.
    Revista: EMPIRICAL ECONOMICS
    ISSN 0377-7332 Vol.55 N° 3 2018 págs. 913 - 935
    Resumen
    This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of both series are found to vary considerably across states, while the fractional cointegration analysis suggests that a long-run relationship exists between them in only 11 out of the 50 US states. The estimated long-run income elasticity of healthcare expenditure suggests that health care is a luxury good in these states. By contrast, the short-run elasticity obtained from the regressions in first differences is in the range (0, 1) for most US states, which suggests that health care is a necessity good instead. The implications of these results for health policy are also discussed.
  • Autores: Abbritti, Mirko; Dell'Erba, S.; Moreno Ibáñez, Antonio (Autor de correspondencia); et al.
    Revista: INTERNATIONAL JOURNAL OF CENTRAL BANKING
    ISSN 1815-4654 Vol.14 N° 2 2018 págs. 301 - 339
    Resumen
    This paper introduces unspanned global factors within a FAVAR framework in a flexible reduced-form affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premiums in advanced economies. In particular, they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant for short-run movements. We uncover a key role for the third principal component of the global term structure in shaping risk-neutral rates and term premium dynamics, especially in the post-2007 period.
  • Autores: Antonakakis, N.; Cuñado Eizaguirre, Juncal; Filis, G. (Autor de correspondencia); et al.
    Revista: ENERGY ECONOMICS
    ISSN 0140-9883 Vol.70 2018 págs. 499 - 515
    Resumen
    This paper investigates the volatility spillovers and co-movements among oil prices and stock prices of major oil and gas corporations over the period between 18th June 2001 and 1st February 2016. To do so, we use the spillover index approach by Diebold and Yilmaz (2009, 2012, 2014, 2015) and the dynamic correlation coefficient model of Engle (2002) so as to identify the transmission mechanisms of volatility shocks and the contagion of volatility among oil prices and stock prices of oil and gas companies, respectively. Given that volatility transmission across oil and major oil and gas corporations is important for portfolio diversification and risk management, we also examine optimal weights and hedge ratios among the aforementioned series. Our results point to the existence of significant volatility spillover effects among oil and oil and gas companies' stock volatility. However, the spillover is usually unidirectional from oil and gas companies' stock volatility to oil volatility, with BP, CHEVRON, EXXON, SHELL and TOTAL being the major net transmitters of volatility to oil markets. Conditional correlations are positive and time-varying, with those between each of the aforementioned companies and oil being the highest. Finally, the diversification benefits and hedging effectiveness based on our results are discussed. (C) 2018 Elsevier B.V. All rights reserved.
  • Autores: Chow, S. C.; Cuñado Eizaguirre, Juncal (Autor de correspondencia); Gupta, R. ; et al.
    Revista: STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
    ISSN 1081-1826 Vol.22 N° 2 2018
    Resumen
    In this paper, we modify the multivariate nonlinear causality test to be panel nonlinear causality test and we apply these and other existing related tests to examine the causal relationship between growth in economic policy uncertainty (EPU) and real housing returns in China and India using quarterly data from 2003:01 to 2012:04. Both panel linear and nonlinear Granger causality tests suggest the existence of only linear and nonlinear unidirectional causality relationships from growth in EPU to real housing returns in both China and India, and bivariate linear Granger causality tests suggest the existence of only linear unidirectional causality relationship from growth in EPU to real housing returns only in China. However, nonlinear bivariate Granger causality tests conclude the existence of nonlinear bidirectional causality relationships between growth in EPU and real housing returns in both China and India and cross bivariate linear and nonlinear Granger causality tests discover that there is only a linear causality relationship from Indian growth in EPU to Chinese housing returns. The results confirm the relevance of EPU data to better understand and predict the future behaviour of housing market returns in these countries.
  • Autores: Abbritti, Mirko; Weber, S.
    Revista: INTERNATIONAL JOURNAL OF CENTRAL BANKING
    ISSN 1815-4654 Vol.14 N° 1 2018 págs. 1 - 34
    Resumen
    This paper investigates empirically the effect of labor market institutions (LMIs) on business cycle fluctuations. Most studies, using a cross-country panel approach, have found a weak effect of LMIs on unemployment and, especially, inflation dynamics. In this paper, we estimate an interacted panel VAR for OECD countries, where we allow the dynamics of inflation, unemployment, and the interest rate to vary with the characteristics of the labor market. We find that LMIs have a large and significant effect on both unemployment and inflation dynamics. Stricter employment protection legislation and higher union density mute the reaction of unemployment but increase the response of inflation to external shocks. The opposite effects are found for the generosity of the unemployment benefit system and the extent of the tax wedge. Countries with decentralized wage bargaining manage to absorb shocks through lower variations in unemployment. Our results imply that countries with very rigid or very flexible labor markets can have similar inflation and unemployment dynamics.

Proyectos desde 2018

  • Título: RENDIMIENTOS Y VOLATILITDAD DE LOS PRECIOS DE LAS MATERIAS PRIMAS: DETERMINANTES, CONECTIVIDAD E IMPLICACIONES MACRO-FINANCIERAS
    Código de expediente: PID2020-114275GB-I00
    Investigador principal: MARIA JUNCAL CUÑADO EIZAGUIRRE, FERNANDO PEREZ DE GRACIA HIDALGO.
    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: 31-08-2023
    Importe concedido: 60.258,00 €
    Fondos FEDER: NO
  • Título: Los factores que afectan a la asunción de riesgos en el sistema financiero
    Código de expediente: PID2019-105227RB-I00
    Investigador principal: GERMAN LOPEZ ESPINOSA, JAVIER IGNACIO ARELLANO GIL.
    Financiador: MINISTERIO DE CIENCIA E INNOVACIÓN
    Convocatoria: 2019 AEI PROYECTOS I+D+i (incluye Generación del conocimiento y Retos investigación)
    Fecha de inicio: 01-06-2020
    Fecha fin: 31-05-2023
    Importe concedido: 29.161,00 €
    Fondos FEDER: SI
  • 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 IBAÑEZ, MIRKO ABBRITTI .
    Financiador: MINISTERIO DE CIENCIA E INNOVACIÓN
    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 €
    Fondos FEDER: SI
  • 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
    Investigador principal: MARIA JUNCAL CUÑADO EIZAGUIRRE.
    Financiador: MINISTERIO DE CIENCIA E INNOVACIÓN
    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 €
    Fondos FEDER: SI
  • Título: La influencia de los incentivos, la disciplina, la educación financiera y la banca digital sobre la estabilidad financiera
    Código de expediente: ECO2016-78254-P
    Investigador principal: GERMAN LOPEZ ESPINOSA.
    Financiador: MINISTERIO DE CIENCIA E INNOVACIÓN
    Convocatoria: 2016 MINECO EXCELENCIA. PROYECTOS I+D
    Fecha de inicio: 30-12-2016
    Fecha fin: 29-12-2019
    Importe concedido: 31.460,00 €
    Fondos FEDER: SI
  • Título: Salida a la crisis: fricciones de credito, flexibilizacion cuantitativa y dinamica de la curva de tipos.
    Código de expediente: ECO2015-68815-P
    Investigador principal: ANTONIO MORENO IBAÑEZ.
    Financiador: MINISTERIO DE CIENCIA E INNOVACIÓN
    Convocatoria: 2015 MINECO EXCELENCIA. PROYECTOS I+D
    Fecha de inicio: 01-01-2016
    Fecha fin: 30-06-2019
    Importe concedido: 20.207,00 €
    Fondos FEDER: SI