Nuestros investigadores

Antonio Moreno Ibáñez

Líneas de investigación
Monetary Policy, Macro-Finance, Empirical Banking
Índice H
14, (Google Scholar, 01/06/2019)

Publicaciones científicas más recientes (desde 2010)

Autores: Abbritti, Mirko; Dell'Erba, S.; Moreno, Antonio, (Autor de correspondencia); et al.
ISSN 1815-4654  Vol. 14  Nº 2  2018  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.
Autores: López-Espinosa, Germán; Mayordomo, Sergio; Moreno, Antonio;
ISSN 1042-9573  Vol. 31  2017  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.
Autores: López-Espinosa, Germán; Moreno, Antonio; Rubia, A.; et al.
ISSN 0261-5606  Vol. 79  2017  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.
Autores: Abbritti, Mirko; Gil, Luis Alberiko; Lovcha, L.; et al.
ISSN 1479-8409  Vol. 14  Nº 2  2016  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.
Autores: Moreno, Antonio; Orlando, J.; Redín, Dulce María;
ISSN 1544-6123  Vol. 18  2016  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: López-Espinosa, Germán; Moreno, Antonio; Rubia, A.; et al.
ISSN 0378-4266  Vol. 58  2015  págs. 471 - 485
Autores: Baele, L.; Bekaert, G.; Cho, S.; et al.
ISSN 0304-3932  Vol. 70  2015  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.
Autores: Casares, M.; Moreno, Antonio; Vázquez, J.;
ISSN 0164-0704  Vol. 40  2014  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.
Autores: Gil, Luis Alberiko; Moreno, Antonio;
ISSN 0378-4266  Vol. 36  Nº 4  2012  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.
Autores: Casares, M.; Moreno, Antonio; Vázquez, J.;
Revista: SERIES
ISSN 1869-4187  Vol. 3  Nº 3  2012  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.
Autores: Gil, Luis Alberiko; Moreno, Antonio; Pérez de Gracia, Fernando;
ISSN 0277-6693  Vol. 31  Nº 6  2012  págs. 524 - 539
Autores: Gil, Luis Alberiko; Moreno, Antonio; Cho, Seonghoon ;
ISSN 0003-6846  Vol. 44  Nº 25  2012  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.
Autores: López-Espinosa, Germán; Moreno, Antonio; Rubia, A; et al.
ISSN 0378-4266  Vol. 36  Nº 12  2012  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.
Autores: López-Espinosa, Germán; Moreno, Antonio; Pérez de Gracia, Fernando;
ISSN 0261-5606  Vol. 30  Nº 6  2011  págs. 1214-1233
Autores: Cho, Seonghoon; Moreno, Antonio;
ISSN 0165-1889  Vol. 35  Nº 3  2011  págs. 257 - 272
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: Bekaert, Geert; Cho, Seonghoon; Moreno, Antonio;
ISSN 0022-2879  Vol. 1  Nº 42  2010  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."