Seminario 17/14: German López (UCAM) – Macroeconomic Instability and Unconventional Monetary Policy


Abstract 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….

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


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


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


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


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


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


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…