Seminario: German López (UCAM) – Macroeconomic Instability and Unconventional Monetary Policy

This paper studies the evolution of the monetary policy transmission mechanisms in the US after the financial crisis and the extraordinary monetary stimulus applied since 2008. The implementation of a modified Dynamic Factor Model allows the identification of two different structural scenarios based on the information contained in a large dataset of 110 variables. Impulse…

Seminario 16/08: – Mohammed Dore (U. Brock)- Spain in the Euro Area: Causal consequences leading to multiple desequilibria.

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We consider quarterly data of the Spanish economy from 1987 to 2013 to establish causal interconnections in a model free manner, using symbolic dynamics and permutation entropy (PE) and establish the exogeneity of adoption of the Euro (in Jan 1999) as the governing mechanism that leads to the key causal impacts on (1) interest rates,…

30 Octubre: Seminario 2015/22 – M. I. González-Martínez (U. Murcia) – Nonconstant reputation effect in a dynamic tourism demand model for Spain

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Abstract Following the ideas of the Tourism Area Life Cycle (TALC) theory, we propose a dynamic econometric model for tourism demand where the reputation effect (the effect of the lagged demand on the current tourism demand) is not constant, but dependent on congestion. We test the model using panel data from Spanish regions during the…

Seminario 15/09: T. Ñíguez Grau (U. Westminster) – The expansion of moments density

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Abstract This paper introduces a novel semi-nonparametric (SNP) distribution that we name Expansion of Moments (ME hereafter). The innovation of this density lies in its polynomials given by the difference between the n-th power of the variable and the n-th moment of the parametric density used as basis. We show that the ME keeps the…

Seminario 15/03: A. de la Fuente (Fedea) – Un sistema de cuentas públicas territorializadas para España Metodología y resultados para 2011

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Abstract En este trabajo se presenta una metodología para la construcción de un Sistema de Cuentas Públicas Territorializadas (SCPT) elaborado desde la óptica carga-beneficio, así como una aplicación de esta metodología al caso del año 2011. El SCPT ofrece una radiografía detallada de la distribución regional de los flujos de gastos e ingresos públicos y…

Seminario 15/01: O. Arce (Banco de España) – Structural Reforms in a Debt Overhang

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Abstract We assess the effects of reforms in product and labor markets in a model economy featuring credit restrictions and pre-existing long-term debt. Both elements, which are core features of the current scenario faced by some Euro area countries, combine to produce a slow deleveraging of the private sector and a persistent recession following a…

Seminario 14/30: M.V. Caballero (UMU) – Symbolic Correlation Integral. Getting Rid of the Proximity Parameter

MVictoria

Abstract In this paper we introduce the symbolic correlation integral SC(m), which avoids the noisy parameter ” of the classical correlation integral defined by Grassberger-Procaccia. Moreover we provide the asymptotic distribution of SC(m) under the null of i.i.d. With a MonteCarlo simulation we show the size and the power performance of the new test under…

Seminario 14/26: M.A.CARNERO (UA) – Identification of asymmetric conditional heteroskedasticity in the presence of outliers

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ABSTRACT: The identification of asymmetric conditional heteroscedasticity is often based on sample cross-correlations between past and squared observations. In this paper we analyse the effects of outliers on these cross-correlations and, consequently, on the identification of asymmetric volatilities. We show that, as expected, one isolated big outlier biases the sample cross-correlations towards zero and hence could hide true leverage…

Seminario 14/22 – Enrique SENTANA (CEMFI): Is a normal copula the right copula?

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Abstract   Nowadays copulas are extensively used in economic and finance applications, with the Gaussian copula being very popular despite ruling out non-linear dependence, particularly in the lower tail. We derive computationally simple and intuitive expressions for score tests of Gaussian copulas against Generalised Hyperbolic alternatives, which include the symmetric and asymmetric Student t, and Hermite polynomial expansions. We…

Seminario nº18: The two greatest, Great Recession vs. Great Moderation

Great-Recession-02

Abstract: The collapse of the global economy in 2008, following the outbreak of the financial crisis, and the ensuing economic developments of the so-called Great Recession (GR), led many economists to suggest that the relative oasis in which we had lived for almost a quarter of a century, known as the Great Moderation (GM), had indeed…