Revistas
Revista:
JOURNAL OF BANKING AND FINANCE
ISSN:
0378-4266
Año:
2023
Vol.:
149
Págs.:
106777
The co-movement of US Treasury yields suggests a long-run equilibrium relationship. Traditional cointegrated systems need to assume that interest rates are unit roots and thus implying non-stationary and non-mean-reverting dynamics. We postulate and estimate a fractional cointegrated model (FCVAR) which allows for mean reverting though highly persistent patterns. Our results point to the existence of such mean-reverting fractional cointegration among Treasury yields. In terms of out-of-sample forecasting, the FCVAR soundly beats the I(0) VAR model across interest rate maturities and horizons and the I(1) cointegrated VAR across maturities and short-horizons. The implied US term premium -across different maturities- proves to be quite robust across subsamples and is less volatile than the classical I(0) stationary and I(1) unit root models. Our analysis highlights the role of real factors in shaping term premium dynamics and is extended to the UK and Germany yield curves. (c) 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )
Autores:
Mayordomo, S.; Moreno, Antonio; Ongena, S. (Autor de correspondencia); et al.
Revista:
JOURNAL OF FINANCIAL INTERMEDIATION
ISSN:
1042-9573
Año:
2021
Vol.:
45
N°:
100825
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.
Revista:
NUEVAS TENDENCIAS
ISSN:
1139-8124
Año:
2021
N°:
106
Págs.:
9- 11
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.
Revista:
INTERNATIONAL JOURNAL OF CENTRAL BANKING
ISSN:
1815-4654
Año:
2018
Vol.:
14
N°:
2
Págs.:
301 - 339
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.
Revista:
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
ISSN:
0261-5606
Año:
2017
Vol.:
79
Págs.:
174 - 188
We provide a new measure of sovereign country risk exposure (SCRE) to global sovereign tail risk based on information incorporated in 5-year sovereign CDS spreads. Our panel regressions with quarterly data from 53 countries show that macro risks have strong explanatory power for SCRE. Results show that SCRE increases for countries with less fiscal space, higher interest rates, and financial stability concerns. Exposure sensitivity to public sector leverage is shown to increase non-linearly with public debt and to decrease with central banks' sovereign debt programs. Our results imply that good forward-looking macro-finance fundamentals, such as high expected GDP growth and low credit-to- GDP ratios protect countries against sovereign risk especially in times of global distress. (C) 2017 Elsevier Ltd. All rights reserved.
Revista:
JOURNAL OF FINANCIAL INTERMEDIATION
ISSN:
1042-9573
Año:
2017
Vol.:
31
Págs.:
16 - 29
This paper empirically characterizes relationship lending using data from more than 20,000 loans of a Spanish bank to small and medium enterprises (SMEs). The study analyzes the pricing determinants of loans to firms based on the entire previous bank-firm relationship, allowing for the identification of non-linear pricing patterns in the bank-firm relationship. We show that firms only start capitalizing the gains of relationship lending when the relationship extends beyond two years. This reduction in the loan rate spread charged is driven by the opaque firms, for which the acquisition of "soft" information is especially relevant. Finally, we find that relationship lending significantly mitigates the increased costs of refinancing loans along two dimensions: relationship duration and having additional contracts-other than loans-with the bank. (C) 2016 Elsevier Inc. All rights reserved.
Revista:
JOURNAL OF FINANCIAL ECONOMETRICS
ISSN:
1479-8409
Año:
2016
Vol.:
14
N°:
2
Págs.:
331 - 352
Stationary I(0) models employed in yield curve analysis typically imply an unrealistically low degree of volatility in long-run, short-rate expectations due to fast mean reversion. In this article, we propose a novel multivariate affine term structure model with a two-fold source of persistence in the yield curve: long memory and short memory. Our model, based on an I( d ) specification, nests the I(0) and I(1) models as special cases and the I(0) model is decisively rejected by the data. Our model estimates imply both mean reversion in yields and quite volatile long-distance, short-rate expectations, due to the higher persistence imparted by the long-memory component. Our implied term premium estimates differ from those of the I(0) model during some relevant periods by more than 3 percentage points and exhibit a realistic counter-cyclical pattern.
Revista:
FINANCE RESEARCH LETTERS
ISSN:
1544-6123
Año:
2016
Vol.:
18
Págs.:
199 - 204
We propose a novel methodology to identify latent factors influencing investment allocations in financial assets. By drawing logical paths in a structural equation model (SEM) framework, we uncover the role of a latent return factor that simultaneously shapes the dynamics of different financial assets. Our methodology allows for disentangling the different components of asset returns ¿ those driven by fundamental and non-fundamental variables. We apply this methodology to Euro-area stocks and sovereign bonds over the 2003¿2014 period. Lower economic and political uncertainty in Europe triggers a trade-off towards stocks and away from bonds, while U.S. Quantitative Easing boosts European stocks.
Autores:
Baele, L.; Bekaert, G.; Cho, S.; et al.
Revista:
JOURNAL OF MONETARY ECONOMICS
ISSN:
0304-3932
Año:
2015
Vol.:
70
Págs.:
51 - 71
A New-Keynesian macro-model is estimated accommodating regime-switching behavior in monetary policy and macro-shocks. A key to our estimation strategy is the use of survey-based expectations for inflation and output. Output and inflation shocks shift to the low volatility regime around 1985 and 1990, respectively. Monetary policy experiences multiple shifts with an important role in shaping macro-volatility. New estimates of the onset and demise of the Great Moderation are provided and the relative role played by macro-shocks and monetary policy is quantified. The estimated rational expectations model exhibits indeterminacy in the mean-square stability sense, mainly due to passive monetary policy.
Revista:
JOURNAL OF BANKING AND FINANCE
ISSN:
0378-4266
Año:
2015
Vol.:
58
Págs.:
471 - 485
Revista:
JOURNAL OF MACROECONOMICS
ISSN:
0164-0704
Año:
2014
Vol.:
40
Págs.:
338 - 359
Wage stickiness is incorporated to a New-Keynesian model with variable capital to drive endogenous unemployment fluctuations defined as the log difference between aggregate labor supply and aggregate labor demand. We estimated such model using Bayesian econometric techniques and quarterly US data. The second-moment statistics of the unemployment rate in the model provide a reasonable fit to those observed in US data. Our results also show that mainly wage-push shocks together with demand shifts and monetary policy shocks are the major determinants of unemployment fluctuations. Compared to an estimated New-Keynesian model without unemployment (Smets and Wouters 2007): wage stickiness is higher, labor supply elasticity is lower, the slope of the New-Keynesian Phillips curve is flatter, and the importance of technology innovations on output variability increases.
Revista:
JOURNAL OF FORECASTING
ISSN:
0277-6693
Año:
2012
Vol.:
31
N°:
6
Págs.:
524 - 539
Revista:
JOURNAL OF BANKING AND FINANCE
ISSN:
0378-4266
Año:
2012
Vol.:
36
N°:
12
Págs.:
3150 - 3162
We use the CoVaR approach to identify the main factors behind systemic risk in a set of large international banks. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find weaker evidence that either size or leverage contributes to systemic risk within the class of large international banks. We also show that asymmetries based on the sign of bank returns play an important role in capturing the sensitivity of system-wide risk to individual bank returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee¿s proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk.
Revista:
APPLIED ECONOMICS
ISSN:
0003-6846
Año:
2012
Vol.:
44
N°:
25
Págs.:
3309 - 3322
This article contributes to the Permanent Income Hypothesis (PIH) and excess consumption smoothness debate in the context of fractional integration. We show that the excess consumption smoothness result is a consequence of the quarterly data frequency commonly employed in the empirical work. In fact, the I(1) hypothesis is rejected for the income process with monthly data in favour of a fractional integration order lower than 1. Moreover, if a structural break is taken into account, we observe a substantial reduction in the degree of consumption smoothness, especially after the break found in 1975.
Revista:
JOURNAL OF BANKING AND FINANCE
ISSN:
0378-4266
Año:
2012
Vol.:
36
N°:
4
Págs.:
1181¿1193
The estimates of the US term premium crucially depend upon the ex-ante decision on whether the short-term rate is either an I(0) or an I(1) process. In this paper we estimate a fractionally integrated (I(d)) model which simultaneously determines both the order of integration of the short-term rate and the associated term premium. We show that the term premium experienced a sharp increase from essentially zero in mid-2007 to almost 3% in 2009. We also show that unemployment and term premium dynamics exhibit a very significant positive co-movement.
Revista:
SERIES
ISSN:
1869-4187
Año:
2012
Vol.:
3
N°:
3
Págs.:
395 - 422
Erceg et al. (J Monet Econ 46:281313, 2000) introduce sticky wages in a New-Keynesian general-equilibrium model. Alternatively, it is shown here how wage stickiness may bring unemployment fluctuations into a New-Keynesian model. Using a Bayesian econometric approach, bothmodels are estimated with US quarterly data of the Great Moderation. Estimation results are similar in the two models and both provide a good empirical fit, with the crucial difference that our model delivers unemployment fluctuations. Thus, second-moment statistics of the US rate of unemployment are replicated reasonably well in our proposed New-Keynesian model with sticky wages. Demand-side shocks play a more important role than technology innovations or cost-push shock in explaining both output and unemployment fluctuations. In the welfare analysis, the cost of cyclical fluctuations during the Great Moderation is estimated at 0.60% of steady-state consumption.
Revista:
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
ISSN:
0261-5606
Año:
2011
Vol.:
30
N°:
6
Págs.:
1214-1233
Revista:
JOURNAL OF ECONOMIC DYNAMICS AND CONTROL
ISSN:
0165-1889
Año:
2011
Vol.:
35
N°:
3
Págs.:
257 - 272
Revista:
JOURNAL OF POLICY MODELING
ISSN:
0161-8938
Año:
2010
Vol.:
32
N°:
1
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.
Revista:
JOURNAL OF MONEY CREDIT AND BANKING
ISSN:
0022-2879
Año:
2010
Vol.:
1
N°:
42
Págs.:
33 - 62
This article complements the structural New Keynesian macro framework with a no-arbitrage affine term structure model. Whereas our methodology is general, we focus on an extended macro model with unobservable processes for the inflation target and the natural rate of output that are filtered from macro and term structure data. We find that term structure information helps generate large and significant parameters governing the monetary policy transmission mechanism. Our model also delivers strong contemporaneous responses of the entire term structure to various macroeconomic shocks. The inflation target shock dominates the variation in the "level factor" whereas monetary policy shocks dominate the variation in the "slope and curvature factors."
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:
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 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€
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 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€
Otros fondos:
Fondos FEDER
