Publicaciones

Documentos de Trabajo

El objetivo de la serie de Documentos de Trabajo es la difusión de trabajos de investigación en economía y finanzas realizados por investigadores del Banco de España. La publicación de los Documentos de Trabajo se produce después de haber superado un proceso de evaluación anónima. Con su publicación, el Banco de España pretende contribuir al análisis económico y al conocimiento de la economía española y de su entorno internacional.

Las opiniones y análisis que aparecen en la serie de Documentos de Trabajo son responsabilidad de los autores y, por tanto, no necesariamente coinciden con las del Banco de España o las del Eurosistema.

La totalidad de los documentos publicados en esta colección pueden obtenerse en formato electrónico. En los casos en que no son accesibles directamente en esta página puede solicitarlos a la Unidad de Publicaciones.

Todos los ficheros se ofrecen en formato PDF Archivo PDF. Abre en nueva ventana

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

    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
  • 9631
    Política cambiaria y autonomía del banco central (1 MB)
    Javier Santillán

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

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

    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
  • 9627
    Integración económica y unión monetaria: el contraste entre Norteamérica y Europa (981 KB)
    Enrique Alberola Ila

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

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

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

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

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

    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
    Indicadores de inflación a corto plazo (3 MB)

    Publicado en: Estadística Española, vol. 38 nº 141 (1996)

    M.ª de los Llanos Matea y Ana Valentina Regil

    En este trabajo se analiza un amplio número de variables económicas, con el fin de seleccionar los mejores indicadores adelantados, según su correlación en el pasado con el índice de precios de consumo. De esta forma, puede disponerse de una información relevante para entender las distintas etapas en el proceso de formación de precios de la economía española y mejorar su previsión a corto plazo, así como la de sus componentes más representativos.

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

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

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

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

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

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

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

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

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

    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
    Agregados monetarios ponderados: una aproximación empírica (1 MB)
    Francisco Alomas, Jorge Martínez Pagés y María Pérez Jurado

    Este trabajo se enmarca dentro de la literatura sobre agregados monetarios ponderados J en la cual se intenta relajar el supuesto de sustituibilidad perfecta entre activos, implicito en la utilización de los agregados monetarios habituales. En concreto, utilizando una metodología recientemente propuesta por Feldstein y Stock, se estiman aquellas ponderaciones que, aplicadas a los distintos componentes que entran en un agregado amplio, dan como resultado un crecimiento de la liquidez que mantiene una relación estable con el gasto nominal, en términos de indicador adelantado del mismo.

    El resultado es un agregado monetario ponderado, denominado KM2 J que puede considerarse como una medida aceptable de la liquidez en la economía espafíola. Dicho agregado no presenta tendencia a largo plazo en la velocidad de circulación, y las ponderaciones que aplica a sus distintos componentes son coherentes con la ordenación esperable de los mismos en términos de liquidez: más a M2 que a M3-M2, Y más a este último que a ALP2-M3. A su vez, el agregado ponderado resultante muestra una elevada capacidad explicativa del crecimiento del gasto nominal, si se compara con la que muestran los agregados monetarios habituales. Este último resultado se extiende también, aunque de forma más débil, a la capacidad explicativa de la inflación, medida por el crecimiento del deflactor del PIB.

    Existe una versión en inglés con el mismo número.

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

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

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

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

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

    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
    Políticas de precios de las entidades de crédito y tipo de clientela: efectos sobre el mecanismo de transmisión (1 MB)
    M.ª Cruz Manzano Frías y Sofía Galmés Belmonte

    Este trabajo se inscribe dentro del análisis del mecanismo de transmisión de la política monetaria, vía tipos de interés de los bancos y cajas de ahorros españoles; con una perspectiva desagregada. En este sentido, se consideran factores de tipo estructural que no se pueden tener en cuenta en análisis más agregados, tales como las düerentes características de los mercados en los que operan las entidades.

    El objetivo de este estudio es el de analizar las diferencias en la velocidad e intensidad de las respuestas de los tipos bancarios, activos y pasivos, a los movimientos de los tipos interbancarios, según la diferente especialización productiva" de las entidades bancarias. Con este propósito, se ha explotado la información existente para cada entidad a lo largo del período 1991-1994, con carácter trimestral.

    Los resultados del trabajo ponen de manifiesto las diferencias entre la banca dedicada al negocio tradicional con la clientela y la banca más especializada, mucho más sensible a las condiciones del mercado, sobre todo en el caso del pasivo.

    Por otro lado, de las estimaciones realizadas se infiere un comportamiento más competitivo en el establecimiento de los tipos del crédito respecto a los tipos del pasivo.

    Existe una versión en inglés con el mismo número.

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

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

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

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

    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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