Publications

Working Papers

The aim of the Working Papers series is to disseminate research papers on economics and finances by Banco de España researchers. The Working Papers are published once they have successfully come through an anonymous evaluation process. Through their publication, the Banco de España seeks to contribute to the economic analysis and knowledge of the Spanish economy and its international context.

The opinions and analyses published in the Working Papers series are the responsibility of the authors and are not necessarily shared by the Banco de España or the Eurosystem.

All documents published in this collection are available in electronic format. If they are not directly available through this website, copies can be requested from the Publications Unit.

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  • 9633 Juan Ayuso and J. David López-Salido What does consumption tell us about inflation expectations and real interest rates? (2 MB)

    We estimate real interest rates, bounds on inflation expectations and inflation risk premia in a CCAPM framework under (four) different preference specifications. Given consumption patterns in Spain between 1979 and 1995, real interest rates below 4% can only be obtained if, given a small degree of relative risk aversion, we accept a relatively high degree of patience, an extremely high degree of intertemporal substitution or the existence of some degree of altruism in Spanish household preferences. Inflation risk premium terms are constant and small. Finally, inflation expectations react to movements in inflation trend though with some delay. Thus, agents seem to need "some" time to believe that a new inflation pattern reflects a permanent change. These last two results are robust to the choice of household preferences.

  • 9632 Marcial Suárez Vocábula (Notas sobre usos lingüísticos) (1 MB)
  • 9631 Javier Santillán Política cambiaria y autonomía del banco central (1 MB)

    Este trabajo plantea una discusión sobre la elección del régimen cambiario, sus efectos sobre la estabilidad de precios, y su relación con la autonomía del banco central. Se repasan los principales argumentos para la elección del régimen cambiarío y las experiencias de las últimas décadas, y se comenta la evidencia de que se dispone sobre la eficacia de la adopción de objetivos cambiaríos más o menos estrictos para importar estabilidad de precios. Por último, se plantean la viabilidad y la utilidad de la autonomía del banco central en un contexto de objetivos cambiaríos y elevada movilidad del capital. Se concluye que, pese a la aparente pérdida de relevancia que puede tener, en un contexto de objetivos cambiaríos, la autonomía del banco central, pueden seguir siendo válidos los argumentos favorables a la misma.

  • 9630 Francisco Alonso y Juan Ayuso Una estimación de las primas de riesgo por inflación en el caso español (1 MB)

    En este trabajo se estiman primas por inflación, a partir de su forma funcional teórica en el marco del CCAPM: el producto entre el coeficiente de aversión relativa al riesgo y la covarianza condicional entre consumo y precios. Esta última se ha estimado a partir de un modelo GARCH bivariante para las series trimestrales de consumo y precios durante el período 1970-1995. El coeficiente de aversión al riesgo se ha fijado a partir de las estimaciones disponibles para el caso español. Los resultados muestran que las primas por inflación a los plazos de 1, 3 y 5 años han sido notablemente reducidas (por debajo de 40 puntos básicos) y estables. La evidencia es, pues, favorable a la verificación, en el caso español, de la relación de Fisher, según la cual el tipo de interés nominal es la suma del tipo de interés real ex-ante y de la tasa esperada de inflación.

  • 9629 Javier Andrés, Ricardo Mestre y Javier Vallés Un modelo estructural para el análisis del mecanismo de transmisión monetaria: el caso español (4 MB)

    En este trabajo se analiza el mecanismo de transmisión monetaria en España mediante la simulación de un modelo macroeconómico. El modelo considera una economía abierta y financieramente integrada. con un diferencial de inflación con el exterior. La reducción permanente del diferencial de inflación requiere una reducción equivalente del tipo de interés nacional al internacional. El análisis del modelo revela la indeterminación de las variables nominales debido a que el banco central fija el tipo de interés en vez de cambios en la cantidad de dinero. De acuerdo con las simulaciones, un incremento temporal de tipos de interés seguido de una reducción permanente parece la estrategia de desinflación menos arriesgada. De esta forma, la inflación converge hacia su valor de largo plazo siempre por debajo de su nivel de partida. El trabajo muestra dos resultados importantes. En primer lugar, que el canal de competitividad es muy importante en el proceso de convergencia. En segundo lugar, la evolución temporal de la inflación y del PIB depende crucialmente de la respuesta de la paridad ante el anuncio de una senda de los tipos de interés.

  • 9628 Víctor Gómez and Agustín Maravall Programs TRAMO and SEATS instructions for the user (beta version: September 1996) (4 MB)
  • 9627 Enrique Alberola Ila Integración económica y unión monetaria: el contraste entre Norteamérica y Europa (981 KB)

    En este trabajo comparamos los procesos de integración económica en Norteamérica (NAFTA) y Europa (Mercado Único)} y el contraste entre el régimen cambiario imperante en cada uno de ellos océano (tipos flexibles en Norteamérica y tipos fijos, con la perspectiva de unlficación monetaria, en Europa). En principio, no parecen haber argumentos económicos de peso suficiente para la unificación monetaria en Europa. No obstante, un análisis más detallado, comparando ambas experiencias, parece revelar que los costes económicos pueden ser menores en Europa porque las estructuras económicas son menos diferentes -a excepción del Reino Unido. La segunda razón a favor de la unificación monetaria es más sutil, y tiene que ver con los costes de no llevar a cabo la Unión Monetaria: la culminación del Mercado Único probablemente requiera una moneda única para compensar las mayores barreras invisibles a la integración en Europa.

  • 9626 Matthew B. Canzoneri, Javier Vallés and José Viñals Do exchange rates move to address international macroeconomic imbalances? (3 MB)

    This paper provides empirical evidence on the effectiveness of movements in nominal exchange rates in smoothing cyclical imbalances between countries, as explained by the literature on optimal currency areas. We use restrictions from the Mundell-Flemming model (on which the theory of optimal currency areas is based) to identify VAR systems that explain the exchange rate movements and the relative output movements of potential members of a European Monetary Union (EMU). We find that the shocks that cause most of the variation in relative output do not seem to result in movements in nominal exchange rates. Moreover, the shocks that explain movements in nominal exchange rates are monetary in nature, rather than real. Such results make it hard to argue that the loss of exchange rate flexibility accompanying EMU would come at a significant cost to macroeconomic stability.

  • 9625 María Jesús Nieto Carol Central and eastern European financial systems: towards integration in the European Union (1 MB)

    EU membership has become the primary goal for CEECs and the prospect of their eventual integration has already been taken into account by the European Council. In this context, the paper presents the substantial progress made on the macroeconomic stabilization as well as on the microliberalization and the institutional restructuring of the financial system. Against this background, the paper considers the challenges faced by CEECs' financial systems in the preparation for EU integration. Two key areas of pressure on fiscal and monetary prudence exist: substantial overhang of banking sector liquidity and incomplete transformation of inherited social programs. Also, it is still too soon even for those countries more advanced in the process of stabilization to lose autonomy in the management of exchange rate policy. As a consequence, transition to participation in monetary union may take a long time and when it happens cannot be but gradual because of the different development of the potential member countries.

  • 9624 Jose Viñals and Juan F. Jimeno Monetary Union and European unemployment (2 MB)

    In this paper we analyze the likely effects of Economic and Monetary Union (EMU) on European unemployment. We start by describing the current unemployment situation in the European Union (EU). In so doing, we try to assess the relative importance of European, national, and regional-wide shocks in driving national and regional unemployment rates, and also to estimate the degree of real wage rigidity across EU countries. We then discuss various factors which, in principle, may contribute towards explaining the high and persistent EU unemployment rates, focusing on several labour market institutions like collective bargaining, job security legislation and unemployment benetits. The tinal part of the paper analyses, in light of the above evidence, the likely impact of EMU on European unemployment in the short and medium-term. We conclude that while the presently high European unemployment rates should not preclude EMU from being established, the operation of the monetary union will be smoother and its net economic benetits larger if Member countries succeed in implementing those structural labour market reforms which are needed for unemployment to go to lower, more reasonable rates.

  • 9623 James Conklin The theory of sovereign debt and Spain under Philip II (1 MB)

    This paper examines lending by a Genoese-led cartel to Philip II of Spain (1556-1598) from the perspective of theory on sovereign debt. I find that a class of debt models which assumes lenders have an additional penalty beyond denying future credit accounts for the principal features of the episode. In particular, a version of Bulow and Rogoff (1989b) with asymmetric information accounts for the Genoese's imposition of an embargo on payment transfers to Philip Il's Army of Flanders. In addition, this model's predictions for debt ceilings corresponds to evidence on the Crown's debt ceiling and estimates of lower bounds on the value of the Genoese's penalty and the Crown's ability to repay. Evidence from the episode goes against debt models that posit that implicit insurance is essential to the self-enforcement of sovereign debt: when Philip 11 lost the Armada in 1588, easily the biggest "bad shock" of the reign, there was no default, bankruptcy, or effort to reschedule debt held by the Genoese cartel.

  • 9622 James Conklin Computing value correspondences for repeated games with state variables (1 MB)

    The nature of repeated interaction has been extensively studied in the repeated garne literature. Abreu (1988), Abreu, Pearce and Stacchetti (1986, 1990), and Cronshaw and Luenberger (1994) develop a recursive approach to characterizing repeated games by focusing on the present values of subgame perfect strategies for each player, V. Judd and Conklin (1995), Cronshaw and Rutherford (1994) and Cronshaw (1996) have implemented these techniques computationally. Sorne of the most interesting examples of strategic interaction, however, arise in environments with state variables in which the recursive techniques cited aboye cannot be employed. In such environments the set of values of subgame perfect equilibrium becomes a function of the state variable-the object of interest becomes the value correspondence. This paper presents a general method for computing value correspondences under perfect monitoring and discounting.

  • 9621 M.ª de los Llanos Matea y Ana Valentina Regil Indicadores de inflación a corto plazo (3 MB)

    Published in: Estadística Española, vol. 38 nº 141 (1996)

  • 9620 Una-Louise Bell Adjustment costs, uncertainty and employment inertia (3 MB)

    Excessive levels of firing costs have been consistently blamed for the relatively weak employment performance in Europe, yet the conclusions to be drawn from the literature are somewhat ambiguous. This paper re-examines the impact of adjustment costs under uncertainty. It is shown that the interaction between the level of adjustment costs and the type of uncertainty can have important ramifications for employment dynamics. More specifically. we find that allowing for the possibility of transitory economic conditions results in a considerable increase in employment persistence. We conclude the analysis with a number of simulation exercises to illustrate that allowing for changes in the economic environment in which firms have operated over the past two decades can considerably enhance our understanding of the evolution of employment within Europe.

  • 9619 Alberto Cabrero y Juan Carlos Delrieu Elaboración de un índice sintético para predecir la inflación en España (1 MB)

    En este trabajo se ha construido un índice sintético con el fin de adelantar los cambios de régimen del proceso inflacionista en España. Para ello, se ha analizado un amplio conjunto de indicadores económicos que, teóricamente, aproximan la intensidad de la presión de la demanda en los mercados de productos, factores y capitales. A continuación, se ha puesto en relación la cronología cíclica de estos indicadores con la cronología de referencia marcada por las aceleraciones y desaceleraciones máximas del IPC. El número de períodos que cada indicador adelanta o retrasa cada uno de los puntos de giro ("turning points") identificados sobre las variaciones de la inflación, marcan un comportamiento cíclico en función del cual, se ha conseguido seleccionar diecinueve indicadores. De este subconjunto de variables, se ha vuelto a seleccionar un segundo grupo en función de la relación temporal entre las variaciones de los precios y las de los indicadores.

  • 9618 Juan J. Dolado y Ramón Gómez La relación entre vacantes y desempleo en España: perturbaciones agregadas y de reasignación (2 MB)

    En este trabajo se aborda el papel jugado por los shocks agregados y de reasignación como factores explicativos de la elevada y persistente tasa de paro en la economía española, tanto a nivel agregado como regional. Para ello, se utiliza como marco teórico la curva de Beveridge, que relaciona las tasas de paro y de vacantes. Del análisis se desprende no sólo el peso preponderante de los shocks de reasignación en los desplazamientos de la relación paro-vacantes, sino también una fuerte heterogeneidad a nivel regional, lo que permite identificar en qué regiones el componente "estructural" del desempleo es más relevante.

  • 9617 Juan J. Dolado and Francesc Marmol Efficient estimation of cointegrating relationships among higher order and fractionally integrated processes (2 MB)

    In this paper we address the issue of the efficient estimation of the cointegrating vector in linear regression models with variables that follow general (higher order and fractionally) integrated processes.

  • 9616 A. Jorge Padilla, Samuel Bentolila and Juan J. Dolado Wage bargaining in industries with market power (2 MB)

    In this paper we develop a game-theoretic version of the right-to-manage model of firm-level bargaining where strategic interactions among firms are explicitly recognized. Our main aim is to investigate how equilibrium wages and employment react to changes in various labor and product market variables. We show that our comparative statics results hinge crucially on the strategic nature of the game, which in turn is determined by the relative bargaining power of unions and managers.

  • 9615 Enrique Alberola Ila Optimal exchange rate targets and macroeconomic stabilization (2 MB)

    Exchange rate targets in a stabilization game are considered. The targeting strategy consists on the choice of a desired level for the exchange and the weight assigned to such target in the loss function. The exchange rate target appears then as an intermediate objective and acts as a surrogate to policy coordination. The targeting solution reveals that the targeting strategy can be embedded on a straight line in the policy-instruments space (the respective money supplies), which greatly facilitates the analysis. It turns out that the targeting strategy is optimal when the reaction of the countries exert a positive externality on the other country. In this case, policymakers have some flexibility in the choice of the target as long as the optimal commitment to such target is selected accordingly.

  • 9614 Juan Ayuso Huerta Un análisis empírico de los tipos de interés reales ex-ante en España (1 MB)

    En este trabajo se proporciona una estimación de los tipos de interés reales ex-ante a medio y largo plazo en el caso espafiol durante el periodo 1985-1995, a partir de un modelo estándar de valoración de activos financieros. Los resultados de las estimaciones muestran que los tipos de interés reales a medio y largo plazo en España se han mantenido estables entre el 4.5% y el 5% a lo largo del período considerado, con un spread entre los tipos a 1 y a 10 situado, en promedio, en torno a los 5 puntos básicos. Aunque no es posible llevar a cabo una comparación exhaustiva de los tipos de interés reales ex-ante y ex-post, los primeros parecen ser más estables y más reducidos que los segundos.

  • 9613 Juan Ayuso and Juan L.Vega An empirical analysis of the peseta's exchange rate dynamics (1 MB)

    The paper addresses the issue of the role of exchange rate jumps. The short-run dynamics of the peseta's effective exchange rate vis-à-vis OECD countries over the period 1974:1-1995:9 is estimated using a PPP-based error-correction model enlarged with additional terms allowing for the possibility of unusual jumps. The estimates point to an exchange rate characterized by a slow adjustment towards the long-run equilibrium determined by relative prices in the tradable sector, while jumps accelerate this adjustment process. Probit models relating the probability of such jumps to some macroeconomic fundamentals are also estimated.

  • 9612 Agustín Maravall and Daniel Peña Missing observations and additive outliers in time series models (2 MB)

    The papers deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is analogous to the removal of an outlier effect; both problems are closely related with the signal plus noise decomposition of the series.

    The results are extended to cover, first, the case of a missing observation near the two extemes of the series; then to the case of a sequence of missing observations, and finally to the general case of any number of sequences of any length of missing observations. The optimal estimator can always be expressed, in a compact way, in terms of the dual autoco'i'relation function or a truncation thereof; its mean squared error is equal to the inverse of the (appropriately chosen) dual autocovariance matrix.

    The last part of the paper illustrates a point of applied interest: When the model is unknown, the additive outlier approach may provide a convenient and efficient alternative to the standard Kalman filter-fixed point smoother approach for missing observations estimation.

  • 9611 Francisco Alonso, Jorge Martínez Pagés and María Pérez Jurado Weighted monetary aggregates: an empirical approach (1 MB)

    This paper falls under the literature on weighted monetary aggregates that seeks to relax the assumption of perfect substitutability of assets implicit in the use of traditioI).al monetary aggregates. Specifically, using the methodology recently proposed by Feldstein and Stock, an estimation is made of those weights which, when applied to the broad aggregate components result in liquidity growth that is a stable leading indicator of nominal expenditure.

    The weighted monetary aggregate obtained provides an acceptable measure of liquidity in the Spanish economy. This aggregate does not reflect a long-run tendency in the velocity of circulation, and the implied weights are consistent with the relative liquidity of its components: the M2 weight is higher than the M3-M2 weight, which, in turn, is higher than ALP2-M3. In turn, the weighted aggregate has more explanatory power for the growth in nominal expenditure than the traditional monetary aggregates. This result also extends, albeit more weakly, to the explanatory power of inflation, measured in terms of the growth in the GDP deflator.

    The Spanish original of this publication has the same number.

  • 9610 Matthew B. Canzoneri, Behzad Diba and Gwen Eudey Trends in European productivity and real exchange rates (2 MB)

    Inflation has fallen dramatically in countries like Spain and Italy over the last decade, but the rate of increase in "home good" prices remains stubbornly higher than the rate of increase in "traded good" prices. The paper begins by showing that this discrepancy can be explained (at least in part) by trends in productivity; average labour productivity has grown much more slowly in the home good sector in these countries. The paper goes on to investigate the implications of productivity trends for the consistency of the Maastricht convergence criteria an for the differences in nation inflation rates after EMU. The paper also discusses the difficulties some countries may have in meeting the convergence criteria, and some of the options open to them.

  • 9609 Agustin Maravall Unobserved components in economic time series (3 MB)

    The paper addresses the situation in which an economic variable, for which a series of observations is available, can be seen as the combination of several unobserved components (UC). UC models have been intensively used in applied economic research; they are often found, for example, in business cycle analysis. UC are also important in short-term policy and monitoring of economic variables, and an important example is seasonal adjustment. UC used in these two fields of applications (applied econometric research and statistical practical applications) often share the same basic structure. This paper deals with ue models displaying that type of structure. First, the limitations of ad-hoc fixed filters are briefly discussed; attention is focussed on the Hodrick-Prescott filter to detrend a series, and on the Xll filter to seasonally adjust a series. The paper develops then a general set-up for a model-based approach common to the vast majority of UC model applications. The basic feature is that the components follow linear stochastic processes. The problems of model identification, estimation and forecast of the components, diagnosis, and inference are sequentially addressed. The properties of the estimators (preliminary and historical) and of their associated estimation and forecasting errors are derived. Two examples are discussed: the quarterly series of US GNP (to illustrate business cycle analysis), and the monthly series of the UK money supply (to illustrate seasonal adjustment).

    The paper contains some implications for applied econometric research. Two important ones are, first, that invertible models, such as AR or VAR models, cannot in general be used to model seasonally adjusted or detrended data. The second one is that to look at the business cycle in detrended series that are seasonally adjusted is a misleading procedure, since detrending plus seasonal adjustment will always induce a non-trivial spectral peak for a cyclical frequency.

  • 9608 Agustín Maravall and Christophe Planas Estimation error and the specification of unobserved component models (2 MB)

    The paper deals with the problem of identifying stochastic unobserved twocomponent models, as in seasonal adjustment or trend-cycle decompositions. Solutions based on the properties of the unobserved component estimation error are considered, and analytical expressions for the variances and covariances of the different types of estimation errors (errors in the final, preliminary. and concurrent estimator and in the forecast) are obtained for any admissible decomposition. These expressions are relatively simple and straightforwardly derived from the ARlMA. model for the observed series. It is shown that, in all cases, the estimation error variance is minimized at a canonical decomposition (Le., at a decomposition with one of the components noninvertible), and a procedure to determine that decomposition is presented. On occasion, however, the most precise final estimator is obtained at a canonical decomposition different from the one that yields the most precise preliminary estimator.

    Three examples illustrate the results and the computational algorithms. The first and second examples are based on the so-called Structural Time Series Model and ARIMA Model Based approaches, respectively. The third example is a class of models often encountered in actual time series.

  • 9607 Agustin Maravall Short-term analysis of macroeconomic time series (2 MB)

    The paper deals with the statistical treatment of macroeconomic data for short-run economic analysis, monitoring and control. The main applications are short-term forecasting and unobserved components estimation, including trend and cycle estimation, and, most often, seasonal adjustment. The paper briefly reviews some of the recent developments in the field, both at the methodological and applied levels. Then, it is argued that a fairly general approach, based on signal extraction methods and ARlMA models, will gradually spread as the dominant methodology. The last section contains a word of caution, and illustrates the danger of applying these short-term statistical tools to long-term economic analysis.

  • 9606 Malte Krüger Speculation, hedging and intermediation in the foreign exchange market (4 MB)

    In this study it is attempted to estimate the amount of speculation in foreign exchange markets. Such an estimate is bard to make because it is theoretically as well as empirically difficult to delintitate specuJation in relation to other activities. In particular, the distinction between speculation and hedging is highly problematic. Notwithstanding these difficulties it is shown how the composition of gross flows can be used to derive information about speculation and hedging.

    In an extensive analysis of the interconnections of various fx market activities it is shown that hedging may generate large sbort-term capital flows which cannot be easily distinguished from speculation. The size of these flows does not only depend on capital and trade flows but also on net and gross stocks of foreign assets and liabilities.

    Based on these findings, an analysis of capital flows between Spain and the rest of the world sbows that a larger part than earlier believed of the capital outflows dnring the EMS crisis may have been due to bedging. The second case study which focuses on Japan reveals remarkable changes in the behaviour of Japanese and/or foreign investors.

    What are the implications for econontic policy? The study highlights the significance of stocks of open fx positions of foreigners and residents. If ihese stocks have been accumu1ating over many years, any crisis of confidence may trigger large outflows due to bedging, the size of which may by far be more important than the potential amount of speculation. Such hedging activities would hardly be deterred by a Tobin-tax or similar devices.

  • 9605 María Cruz Manzano Frías and and Sofía Galmés Belmonte Credit institutions' price policies and type of customer: impact on the monetary transmission mechanism (2 MB)

    This paper forms part of the research on the transmission of monetary policy via the interest rates of Spanish banks and savings banks, analysed from a disaggregated perspective. In this respect, it considers structural factors that cannot be taken into account in more aggregated studies, as for example the different characteristics of the markets where credit institutions operate.

    The study's objective is to analyse the differences in the velocity and degree of responsiveness of lending and deposit rates to movements in interbank rates, according to the institutions' product specialisation. To this end, it explores the information available for each institution over the period 1991-1994, drawing on quarterly data.

    The results obtained evidence of the differences between banks whose core business is traditional retail banking and more specialised banks, which are much more sensitive to market conditions, particularly on the deposit side.

    In addition, the findings point towards more competitive behaviour in the establishment of lending rates than in the case of deposits.

    The Spanish original of this publication has the same number.

  • 9604 Santiago Fernández de Lis Classifications of central banks by autonomy: a comparative analysis (1 MB)

    This article analyses and compares the different indices that classify central banks on the basis of their autonomy. A number of aspects affecting central bank autonomy are listed and described. These aspects are compared with the facetr of central bank independence actually included in the classifications, assessing their degree of 'coverage. Certain problems related to the elaboration of the indices are addressed. A comparison is also made of the results of the different classifications. Finally, the effect of the Maastricht Treaty-related institutional changes on the independence of EU central banks is est.imated) showing a substantial upgrading in absolute and relative terms of this group of countries.

  • 9603 Barbara Dluhosch On the fate of newcomers in the European Union: lessons from the Spanish experience (3 MB)

    The removal of barriers to trade and mobility is usually promoted as it allows for greater division of labor and, thereby, for improved economic welfare. Recent theory, however, suggests that the integration of markets might have serious consequences for the regional allocation of economic activity. In particular, economies of scale and distance to the market are said to put the periphery at a disadvantage, thus promoting regional divergence rather than convergence in per capita incomes. By focussing on European economic integration and the experience of Spain joining the EU, the paper shows that this view frequently stems from a competitiveness approach to economic integration which need not hold on an aggregate level. 

  • 9602 Javier Andrés e Ignacio Hernando ¿Cómo afecta la inflación al crecimiento económico? Evidencia para los países de la OCDE (3 MB)

    Este trabajo presenta evidencia preliminar sobre la relación entre inflación y crecimiento económico, con información correspondiente a los paises de la OCDE para el período 1960-1993, adoptando como marco teórico de referencia el modelo de crecimiento neoclásico aumentado con capital humano (Mankiw, Romer y Weil, 1992) . Además de la determinación del signo de la relación, se abordan tres cuestiones . En primer lugar, se examina si la incidencia de la inflación se manifiesta sobre el nivel de la renta per cápita de estado estacionario o sobre su tasa de crecimiento tendencial . En segundo lugar , se intenta identüicar los canales a través de los cuales la inflación incide sobre el crecimiento económico; en concreto, se trata de discernir si la inflación reduce la tasa de acumulación de aquellos factores productivos que determinan la evolución de la producción o si reduce la eficiencia con que estos se aplican en el proceso productivo. Y, finalmente, se estima el efecto de la inflación sobre la renta per cápita, analizando si se trata de un efecto lineal o si, por el contrario, varía con la propia tasa de inflación.

  • 9601 Juan Ayuso, Soledad Núñez and María Pérez-Jurado Volatility in Spanish financial markets: The recent experience (2 MB)

    The potential negative consequences of high financial volatility have been an important concern recently. Although its empirical relevance has not been proved conclusively, clear theoretic and intuitive arguments justify this concern. Many efforts have been conducted, therefore, to determine which is the relevant concept of volatility and how to measure it, which factors explain the course it follows, and which steps should be taken in order to curb volatility. In this paper we present evidence on these issues focusing on the Spanish experience.

    Spanish financial markets are an interesting case study because of al least two reasons. First, although they have developed but relatively recently, they have quickly and effectively become part of the general processes of innovation, globalisation and internationalisation. And second, there have been major economic policy changes affecting the Spanish financial arena, such as the entry, in 1989, of the peseta into the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS) or the opening of derivatives markets in 1990.

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