Publications

Occasional Papers

The Occasional Papers series seeks to disseminate the work carried out by the Banco de España within its sphere of competence that is considered to be of general interest for knowledge of the functioning of the Spanish economy and of its international environment.

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

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  • 16/12/2008
    0810. The dynamics of household income and wealth: results from the panel of the Spanish Survey of Household Finances (EFF) 2002-2005 (627 KB) Olympia Bover

    The EFF collects detailed information on household assets, debts, income, consumption, and demographic variables. One important characteristic of this survey is that it oversamples high-wealth households. Another important characteristic of the EFF is that the second wave has a full panel component that provides statistical information on transitions among states and individual changes in the variables. The purpose of this work is to use the panel data of the EFF2002-2005 to describe the changes in income, asset holdings, and wealth of Spanish households between the end of 2002 and 2005.

    The original Spanish version has the same number

  • 21/10/2008
    0809. La composición de las finanzas públicas y el crecimiento a largo plazo: un enfoque macroeconómico (703 KB) Francisco de Castro Fernández y José Manuel González Mínguez

    Este trabajo examina las consideraciones teóricas y la evidencia disponible acerca de los vínculos entre la composición y calidad de las finanzas públicas y el crecimiento a largo plazo, centrando su atención en los países de la UE-15. En particular, para un nivel dado de superávit o déficit público, aspectos tales como la composición de ingresos y gastos, el uso eficiente de los recursos públicos o, incluso, el propio tamaño de las AAPP constituyen factores que pueden influir en el crecimiento a largo plazo en la medida en que incidan sobre la asignación de recursos de la economía.
    Por el lado del gasto, la evidencia empírica disponible sugiere que los recursos destinados a la inversión pública en infraestructuras de transporte y telecomunicaciones tienen un impacto positivo sobre la acumulación de capital físico y su productividad, en tanto que el gasto en educación contribuye a acrecentar el capital humano y la productividad del factor trabajo. Por el contrario, la evidencia es menos concluyente en relación con los capítulos de gasto en I D y en sanidad, a pesar de los argumentos teóricos que justificarían un efecto positivo sobre el crecimiento.
    El gasto público debe ser financiado mediante los recursos obtenidos a partir de diversos impuestos que, además, cumplen importantes funciones redistributivas y de estabilización macroeconómica. En contrapartida, los impuestos pueden ejercer un impacto negativo sobre la eficiencia de la economía, al distorsionar las decisiones de los agentes aunque, desde un punto de vista teórico, la complejidad del análisis de la incidencia final de la carga tributaria dificulta la determinación de los efectos sobre el crecimiento económico de las distintas figuras impositivas.
    Por último, la política fiscal tenderá a favorecer el crecimiento a largo plazo en tanta mayor medida cuanto más eficiente sea la acción pública, lo que sugiere la conveniencia de la puesta en funcionamiento de técnicas presupuestarias que favorezcan el cumplimiento de los objetivos de las AAPP al menor coste posible, tales como la presupuestación según los resultados alcanzados, el análisis coste-beneficio o las estrategias presupuestarias a medio plazo. No obstante, la experiencia tras la implantación de mecanismos de esta naturaleza ha arrojado, por el momento, un balance solo moderadamente satisfactorio, lo que invita a su perfeccionamiento. En particular, las herramientas analíticas disponibles para la medición de la eficiencia de la acción pública (en términos de la consecución de unos determinados objetivos al menor coste posible) no resultan suficientemente adecuadas, por lo que su mayor desarrollo resulta prioritario.

  • 26/09/2008
    0808. Structured finance and the financial turmoil of 2007-2008: and introductory overview (946 KB) Sarai Criado and Adrian van Rixtel

    This paper provides an overview of the most important structured finance instruments in the context of the development of the financial turmoil that started in the third quarter of 2007 and continued into 2008. These financial market tensions were triggered by concerns about exposures of financial institutions to the most risky segment of the US mortgage markets -the so-called subprime mortgage market- and related financial instruments, which predominantly were related to structured finance. As structured finance has developed very fast in recent years and often involves highly complex financial instruments and techniques, which may not be understood completely beyond a small circle of financial market experts, the aim of this paper is to provide an introduction to these instruments that may serve to better understand the specific characteristics of the financial turmoil. In this context, the paper proposes a specific classification of structured finance and discusses both securitizations and credit derivatives with the aim of explaining their specific contributions to the development of the financial turmoil. To this extent, the paper differentiates between two main categories of structured finance instruments. The first one played an important role in the initiation and propagation of the turmoil and includes mortgage-backed securities (MBS), asset backed commercial paper (ABCP) and collateralized debt obligations (CDOs), both cash flow and synthetic. The second category of structured finance instruments involves those that have been more instrumental in monitoring the crisis, both for market participants and policymakers. The main instruments here are credit default swaps (CDS), of which examples are presented for both single name and index contracts. Finally, the paper provides an overview of the specific contagion channels involving various structured finance instruments. This will be conducted on the basis of examples for hypothetical financial institutions that are nevertheless representative for real world developments such as they occurred in the course of 2007 and 2008.

    There is a Spanish version of this edition with the same number

  • 01/08/2008
    0807. Mapa de exposición internacional de la economía española (2 MB) Miguel García-Posada y Josep M.ª Vilarrubia

    Este estudio analiza los niveles de interdependencia y riesgo que se dan en las relaciones económicas entre España y un gran número de países. Para ello se utilizan datos bilaterales sobre vínculos comerciales y financieros de España con el resto del mundo para construir, mediante el análisis de componentes principales, un índice de interdependencia de España con cada país. Asimismo, la agregación mediante la misma técnica de diversas medidas de riesgo, como las calificaciones crediticias soberanas y otras más genéricas, permite construir un índice de riesgo para cada país. Combinando la información de ambos índices, se encuentra que las mayores interdependencias de la economía española se dan con países asociados a niveles reducidos de riesgo (esencialmente países de la OCDE), mientras que las principales interdependencias asociadas a niveles intermedios de riesgo se dan en relación a países de América Latina y países exportadores de productos energéticos.

  • 03/07/2008
    0806. Simplification of IMF lending. Why not just one flexible credit facility? (586 KB) Miguel de las Casas y Xavier Serra

    This paper proposes updating and improving the IMF's lending mechanism, by replacing all of its credit lines with a single financial facility. Under this single facility, costs would rise with the volume drawn down and the time elapsed. At the same time, arrangement and repayment periods would be more flexible. The result would be a less complicated financing mechanism, more readily adaptable to borrowers' needs, stronger incentives to avoid excessive use of IMF resources and equitable treatment for all member countries.

  • 26/06/2008
    0805. The role of the IMF in recent sovereign debt restructurings: Implications for the policy of lending into arrears (970 KB) Javier Díaz-Cassou, Aitor Erce-Domínguez y Juan J. Vázquez-Zamora

    This paper analyzes the role played by the IMF in eight recent sovereign debt restructurings from a comparative perspective: Argentina (2001-2005), the Dominican Republic (2004-2005), Ecuador (1999-2000), Pakistan (1998-2001), the Russian Federation (1998-2001), Serbia (2000-2004), Ukraine (1998-2000) and Uruguay (2004). Our objective is to identify the various dimensions of the IMF's potential involvement during those processes, and to extract some relevant policy implications to reform the Policy of Lending Into Arrears. We find that the IMF can potentially exert a substantial influence on sovereign debt restructurings by influencing countries' decision to restructure when the debt burden is deemed unsustainable, by providing official finance to substitute for a loss of access to international financial markets, by setting a medium-term domestic adjustment path through conditionality, by providing 'independent' information at a time of heightened uncertainty, and by providing incentives both to creditors and debtors. However, a lack of consistency has tended to characterize the role of the IMF in recent sovereign debt restructurings. In part, this reflects the flexibility with which the IMF has adapted its intervention to country-specific factors. However, we argue that this lack of consistency has tended to exacerbate the uncertainty and information asymmetries that are often associated with sovereign debt restructurings, and that a more systematic approach is needed.

  • 05/05/2008
    0804. Recent episodes of sovereign debt restructurings. A case-study approach (1 MB) Javier Díaz-Cassou, Aitor Erce-Domínguez y Juan J. Vázquez-Zamora

    Sovereign debt restructurings do constitute a recurrent phenomenon in emerging and developing economies. Consequently, the international community has repeatedly explored options to increase the predictability and orderliness of debt workouts, of which the debate on the Sovereign Debt Restructuring Mechanism (SDRM) proposed by the IMF in 2002 is the most recent example. Eventually, however, the most ambitious reform proposals have been systematically abandoned, thereby consolidating debt restructurings as market-led case-by-case processes. This paper reviews nine recent sovereign debt restructurings: Argentina (2001-2005), Belize (2006-2007), the Dominican Republic (2004-2005), Ecuador (1999-2000), Pakistan (1998-2001), the Russian Federation (1998-2001), Serbia (2000-2004), Ukraine (1998-2000) and Uruguay (2004).

    Our case study analysis reveals the lack of a single model for sovereign debt restructurings. Indeed, we find significant variations in the roots of the crises, the size of the losses undergone by investors, the speed at which an agreement was reached with creditors, the proportion of creditors accepting the terms of that agreement, or the time needed to restore access to international financial markets. There also appears to be a lack of consistency in the role played by the IMF in the various crises. This is partly due to the lack of a policy specifically designed to deal with sovereign debt restructurings in the IMF's toolkit, which has provided the IMF with flexibility to adapt to each crisis on a case-by-case basis. However, it may have exacerbated the uncertainty that tends to characterize such disruptive episodes. This paper constitutes the basis of a broader effort to identify possible options for the IMF to endow itself with a policy to streamline and systematize its role during sovereign debt restructurings.

  • 25/04/2008
    0803. The Spanish Survey of Household Finances (EFF): description and methods of the 2005 wave (732 KB) Olympia Bover

    This paper describes the methods of the second wave of the Spanish Survey of Household Finances (EFF2005), paying special attention to the innovations relative to the first wave. The EFF2005 was designed to give continuity to the information on household finances collected through the EFF2002. The EFF is the only statistical source in Spain that allows the linking of incomes, assets, debts, and consumption at the household level. A desirable characteristic present in both waves is the oversampling of wealthy households. This is achieved on the basis of the wealth tax through a blind system of collaboration between the National Statistics Institute and the Tax Office which preserves stringent tax confidentiality. An additional important characteristic of the EFF is that the second wave has a full panel component. Further, a refreshment sample by wealth stratum has been incorporated to preserve cross-sectional representativity and overall sample size.

  • 17/04/2008
    0802. Delving intro country risk (942 KB) Silvia Iranzo

    Since the Latin American debt crisis of the early 80s, country risk analysis has accounted for a significant part of the work of research and risk management departments of banks, insurance companies, rating agencies, financial market regulators, and multinational companies.

    Country risk is a very broad concept, that includes sovereign risk, transfer risk, and other risks related with international financial activities. Country risk analysis requires delving into multiple fields, such as economics, finance, politics and history. This paper addresses the concept of country risk, the agents involved, the methods for assessing country risk, the payments crises, risk prevention, the assessment of country risk in the present world and the Spanish country risk regulation.

  • 14/02/2008
    0801. EU framework for safeguarding financial stability: Towards an analytical benchmark for assessing its effectiveness (626 KB) María J. Nieto y Garry J. Schinasi

    European finance is becoming increasingly cross-border, while the European architecture for safeguarding financial stability –including decision-making processes for providing financial-stability public goods– have remained decentralized with some explicit mechanisms for coordination across countries. Policy makers are aware of the limitations of the existing institutional setting, but opinions on how to proceed, including on burden sharing, are lining up along national and regional political lines with less attention paid to European needs. This paper applies the ‘economics of alliances’ to examine these European policy challenges. The paper establishes benchmarks for assessing the ability of Europe's existing institutional architecture to efficiently allocate resources to safeguard the EU financial system against systemic threats to stability, such as the insolvency of a pan European bank.

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