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…
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…
ABSTRACT: In 1966, the irrigation community in Mula (Murcia, Spain) switched from a market (auction), which had been in place in the town for over 700 years, to a system of fixed quotas with a ban on trading, to allocate water from the town’s river. We present a model, in which farmers face liquidity constraints…
ABSTRACT: We consider a monetary union where discretionary monetary policy creates the classical inflation bias. We analyze how the design of the central bank interacts with fiscal policy under distortionary taxation. We show that when countries share a single currency the perils of not having a conservative enough central bank are more severe. This result…
ABSTRACT: Según los datos ofrecidos por el Eurostat Regional Yearbook de 2012, la persistencia de una elevada desigualdad territorial sigue siendo uno de los grandes problemas que enfrenta la Unión Europea. Si tomamos las NUTS2 como unidad territorial básica, el PIB per cápita de la región más rica de EU27 (Inner London) alcanza un valor…
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…
ABSTRACT: The quality dimension of consumption plays a distinctive and important role in many economic areas. This paper provides a new approach to the demand for quality building from the fact that consumption has to be combined with time to produce utility. Focusing on the implications of this approach on the labor supply, the paper…
ABSTRACT: Classical option pricing models are not well suited to the valuation of executive stock options (ESOs) and their incentive effects. The special characteristics of ESOs make standard methods difficult to apply to these options. The Wu-Lin model is a completely analytical expression based on the common feature of attaching performance targets to option vesting….
Abstract: We study the determinants of comparative advantage in polluting industries. We combine data on environmental policy at the country level with data on pollution intensity at the industry level to show that countries with laxer environmental regulation have a comparative advantage in polluting industries. Further, we address the potential problem of reverse causality. We…
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…
