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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  • 2003
    Measuring the procyclicality of impairment accounting regimes: a comparison between IFRS 9 and US GAAP (2 MB) Alejandro Buesa, Francisco Javier Población García and Javier Tarancón

    The purpose of this paper is to compare the cyclical behavior of various credit impairment
    accounting regimes, namely IAS 39, IFRS 9 and US GAAP. We model the impact of credit
    impairments on the Prot and Loss (P&L) account under all three regimes. Our results
    suggest that although IFRS 9 is less procyclical than the previous regulation (IAS 39), it is
    more procyclical than US GAAP because it merely requests to provision the expected loss
    of one year under Stage 1 (initial category). Instead, since US GAAP prescribes that lifetime
    expected losses are fully provisioned at inception, the amount of new loans originated is
    negatively correlated with realized losses. This leads to relatively higher (lower) provisions
    during the upswing (downswing) phase of the financial cycle. Nevertheless, the lower
    procyclicality of US GAAP seems to come at cost of a large increase in provisions.

  • 2002
    ¿Cómo afecta la complejidad de la regulación a la demografía empresarial? Evidencia para España (1 MB) Juan S. Mora-Sanguinetti and Ricardo Pérez-Valls

    The volume and fragmentation of regulation are important for business demography. They
    may imply that the market is divided, reducing firm size and their chances of benefiting
    from economies of scale. This paper has two objectives: it analyzes the results of a new
    database on regulation in Spain and explores the impacts of the complexity of the regulatory
    framework on business demography. The volume of new norms enacted in Spain has
    increased by four-fold since the end of the 70s, reaching 11,737 regulations in 2018. The
    results of our analysis indicate that the complexity of the regulatory framework, broken down
    at the local level, is negatively related to the total number of firms in Spain and to firm entry
    (reducing the capital of the new firms). This conclusion hides an interesting composition
    effect: the complexity is negatively related to the presence of limited liability companies (SL),
    which have a larger size and could take advantage of economies of scale (doing business
    throughout the territory). However, it is positively related to the presence of individuals with
    business activity (which are smaller) and which may have activities connected with local
    regulations and local markets. The analysis proposed in this paper is relevant for the study
    of productivity in Spain.

  • 2001
    Debt sustainability and fiscal space in a heterogeneous Monetary Union: normal times vs the zero lower bound (668 KB) Javier Andrés, Pablo Burriel and Wenyi Shen

    In this paper we study fiscal policy effects and fiscal space for countries in a monetary union
    with different levels of public debt. We develop a dynamic stochastic general equilibrium
    (DSGE) model of a two-country monetary union, calibrated to match the characteristics of Spain and Germany, in which debt sustainability is endogenously determined a la Bi (2012) to shape the responses of the risk premium on public debt. Policy shocks change the market’s expectation about future primary surplus, producing a direct effect on the sovereign risk premium and macroeconomic responses of the economy. In normal times the costs of a government spending driven fiscal consolidation in the high-debt country are greatly diminished when this consolidation improves endogenously its debt sustainability prospects. Fiscal consolidations in both members of the monetary union decrease real interest rates and amplify the reduction in risk premium in the highly-indebted country, improving union-wide output in the long run, but at the cost of lower output in the low-debt country in the short term. On the contrary, when monetary policy is constrained at the zero lower bound, the risk premium channel arising from the endogenous determination of debt sustainability becomes muted. In the ZLB, a fiscal consolidation generates deflation expectations which increase the real interest rate and may compensate partially or completely, depending on the calibration, the benefits from a lower risk premium. In this context, a fiscal expansion in the low-debt country and a consolidation in the high-debt country delivers the greater positive impact on union-wide output. Finally, the risk premium channel only affects countries with medium or low levels of public debt indirectly through the negative spillovers from other high-debt members of the monetary union.

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