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.

En este sitio encontrarás los publicados desde 1990; los restantes, desde el inicio de su publicación en 1978, están disponibles en el Repositorio InstitucionalAbre en nueva ventana

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

  • 13/02/2009
    0838. Solving Portfolio Problems with the Smolyak-Parameterized Expectations (946 KB) Ángel Gavilán y Juan A. Rojas

    We propose a new numerical method to solve stochastic models that combines the parameterized expectations (PEA) and the Smolyak algorithms. This method is especially convenient to address problems with occasionally binding constraints (a feature inherited from PEA) and/or a large number of state variables (a feature inherited from Smolyak), i.e. DSGE models that incorporate portfolio problems and incomplete markets. We describe the proposed Smolyak-PEA algorithm in the context of a one-country stochastic neoclassical growth model and compare its accuracy with that of a standard PEA collocation algorithm. Despite estimating fewer parameters, the former is able to reach the high accuracy levels of the latter. We further illustrate the working of this algorithm in a two-country eoclassical model with incomplete markets and portfolio choice. Again, the Smolyak-PEA algorithm approximates the solution of the problem with a high degree of accuracy. Finally, we show how this algorithm can effi ciently incorporate both occasionally binding constraints and a partial information approach.

  • 17/02/2009
    0837. Asymmetric collateral requirements and output composition (830 KB) Óscar Arce, José Manuel Campa y Ángel Gavilán

    This paper studies how investment and production in an economy is allocated across sectors when they face asymmetric financial conditions. Namely, when investors in one sector may run projects with higher loan-to-values than in another sector. Investors decide where to invest based on total rents and face a trade-off. While they may run larger projects in the sector with the best financial conditions, unit rents in this sector are lower than in the other sector due to a pledgeability premium. The level of interest rates affects this trade-off and therefore investors' endogenous segmentation across sectors. The effect is non-monotonic. When interest rates are high, projects are small and the differences in unit rents across sectors dominate the differences in project sizes. In this case, a drop in interest rates, move investors toward the most productive sector. Instead, when interest rates are low, projects are large, but much larger in the sector with the best financial conditions. In this case, the differences in project sizes across sectors dominate the differences in unit rents and a drop in interest rates moves investors towards the least productive sector but with the best access to external funding. We find that this hump-shaped relationship between interest rates and the share of investors allocated to a given sector may translate into a similar hump-shaped relationship between interest rates and the ratio of aggregate investment across sectors. Instead, in a model without financial asymmetries across sectors both relationships are monotonic and do not exhibit a hump. We claim that this paper provides helpful insights to understand the pattern of sectoral reallocation of investment and production observed in some OECD countries recently.

  • 21/01/2009
    0836. Financing obstacles and growth: An analysis for euro area non-financial corporations (793 KB) Chiara Coluzzi, Annalisa Ferrando y Carmen Martínez-Carrascal

    This paper investigates whether financial obstacles, and, more generally, financial pressure faced by firms, significantly affect firm growth. For this purpose, we use an unbalanced panel of about 1,000,000 observations for around 155,000 non-financial corporations in five euro area countries. In addition to the balance sheet information in this panel, we also rely on firm level survey data. In this way we are able to work out a direct measure of the firms’ probability of facing financing obstacles. Our results indicate that, though based on few variables, this measure appears to be relevant in explaining firm growth in four out of the five countries considered. Other firm-level variables related to the financial pressure faced by firms, such as cash flow (debt burden) are found to exert a positive (negative) impact on firm growth, while the results for leverage are less clear-cut.

    Publicado en: European Journal of Finance (2012)

  • 05/02/2009
    0835. Omitted variables in the measure of a labour quality index: the case of Spain (655 KB) Aitor Lacuesta, Sergio Puente y Pilar Cuadrado

    Traditional measures of labour quality might have the shortcoming of missing some features of the very important increase in labour utilization within European countries. In particular, we explore the case of Spain. Despite showing one of the most important increases in labour quality in the EU according to standard methods, it also offers a negative increase in TFP growth. This paper computes an index of labour quality in Spain between 1988 and 2006 using microdata from the Labour Force Survey and the Structural Earnings Survey–2002 that allows the introduction of all possible interactions in a semi-parametric fashion between gender, age, education, experience in the current job and nationality. Considering those observable characteristics, the index still shows a notable growth at an average annual rate of 0.42 pp. After a period of slight decline (between 1988 and 1992) the index grows continuously until 2006 when it fell again. This is the case because education is, even by considering all possible interactions with other demographic variables, the highest contributor to the quality index’s growth. However, the paper shows the importance of considering changes in average productivities of different socio-demographic groups over time. We include in the analysis two usually omitted variables that help explaining the recent productivity slowdown in Spain: type of occupation held by the individual and unobserved heterogeneity of workers. Both the inclusion of occupation and especially the entry of individuals with below-average productivity levels compared to precedent periods decrease the labour quality growth to an average annual rate of 0.20 pp. Indeed with the addition of these two factors labour quality slightly decreases from 1997 onwards.

    Publicado en: Review of Income and Wealth 57 (1), March 2011

  • 02/02/2009
    0834. Sovereign external assets and the resilience of global imbalances (475 KB) Enrique Alberola y José María Serena

    Sovereign external assets(SEAs) comprise foreign exchange reserves and sovereign wealth funds (SWFs). The global stock of reserves reached 7 $trn in the second quarter of 2008, but data on SWF are rather elusive. Our estimation puts the SWFs at around 2.5 $trn. dollars by 2007 and in the last years they have grown at a high pace, fostered by high commodity prices. Therefore, SEAs have surpassed the 10 $trn mark (around 5% of global assets and 15% of global GDP). This paper argues that reserves and SWF assets should be jointly considered for the assessment of global imbalances. Both are official capital outflows from developing to developed countries, both hinder internal adjustment in current account surplus countries, both help to cover the financing needs of deficit countries, in particular in the US, and, therefore, both contribute to sustain global imbalances.
    The importance of SEAs in financing the external imbalances of the US has been widely recognised but scantly measured. Our rule-of-thumb calculations suggests that they have greatly increased their importance in the last years, having surpassed the trillion dollars increase in 2007; relative to US financing needs, this amount represents around a 135% and 50% of net and gross needs, respectively, in 2007. Reserves have in the last years contributed 80% and SWFs 20%. Looking ahead, two main conclusions can be put forward: 1) the relative importance SWFs in the financing of the US deficits and global imbalances is set to increase (also relative to reserves), but this is conditional to commodity prices remaining at high levels. On the one hand, the economic motivation of SWFs -intertemporal smoothing- is more palatable than that of reserves (exchange rate management), despite political concerns on SWFs; on the other hand, SWFs do not have significant internal costs, contrary to reserves, whose monetary and fiscal costs are increasing in the margin; 2) SEAs can well buttress US financial needs in the years ahead, providing resilience to the global imbalances. Dramatic shifts in the pace of SEAs accumulation -due for instance to an adjustment of commodity prices- or in the investment allocation would jeopardise these prospects.

    Publicado en: Economic Notes, volume 37, issue 3, November 2008

  • 12/01/2009
    0833. Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking? (821 KB) Gabriel Jiménez, Steven Ongena, José Luis Peydró y Jesús Saurina

    We identify the impact of short-term interest rates on credit risk-taking by analyzing a comprehensive credit register from Spain, a country where for the last twenty years monetary policy was mostly decided abroad. Discrete choice, within borrower comparison and duration analyses show that lower overnight rates prior to loan origination lead banks to lend more to borrowers with a worse credit history and to grant more loans with a higher per period probability of default. Lower overnight rates during the life of the loan reduce this probability. Bank, borrower and market characteristics determine the impact of overnight rates on credit risk-taking.

  • 09/01/2009
    0832. Social Security reform with imperfect substitution between less and more experienced workers (602 KB) Juan A. Rojas

    In this paper we study the quantitative properties of a policy reform aimed at funding the pension system in the standard model economy with perfect substitution across workers with different experience levels and a model economy where this substitutability is imperfect. With compulsory retirement, the welfare gains for young cohorts are underestimated in the standard model economy with perfect substitution as compared to the imperfect substitution case. However these additional welfare gains displayed in the imperfect substitution case come at the cost of higher welfare losses for the generations living at the time of the policy reform, due to the fall in the experience premium that follows after the elimination of social security. When the policy reform consists of the elimination of both social security and compulsory retirement, we find that in the standard model the status quo problem disappears. However, such policy change is not able to solve the status quo problem when less and more experienced workers are imperfect substitutes because the fall in the experience premium is more pronounced, providing a rationale for the lack of political support in favour of pension reform in the Spanish economy.

  • 08/01/2009
    0831. Dynamics of the price distribution in a general model of state-dependent pricing (1 MB) James Costain y Antón Nákov

    This paper analyzes the effects of monetary shocks in a DSGE model that allows for a general form of smoothly state-dependent pricing by firms. As in Dotsey, King, and Wolman (1999) and Caballero and Engel (2007), our setup is based on one fundamental property: firms are more likely to adjust their prices when doing so is more valuable. The exogenous timing (Calvo 1983) and fixed menu cost (Golosov and Lucas 2007) models are nested as limiting cases of our setup.
    Our model is calibrated to match the steady-state distribution of price adjustments in microdata; realism calls for firm-specific shocks. Computing a dynamic general equilibrium requires us to calculate how the distribution of prices and productivities evolves over time. We solve the model using the method of Reiter (2008), which is well-suited to this type of problem because it combines a fully nonlinear treatment of firm-level state variables with a linearization of the aggregate dynamics.
    We compute impulse responses to iid and autocorrelated money growth shocks, and decompose the inflation impact into 'intensive margin', 'extensive margin' and 'selection' components. Under our most successful calibration, increased money growth causes a persistent rise in inflation and output. The real effects are substantially larger if money growth is autocorrelated. In contrast, if we instead impose a fixed menu cost specification, money growth shocks cause a sharp spike in inflation (via the selection component) so that the real effects are small and short-lived, especially if money growth is iid.
    An increase in aggregate productivity raises consumption but causes labor to fall. Also, impulse responses differ depending on the distribution at the time the shock occurs. In particular, increased money growth has different effects starting from the steady state distribution than it does if all firms have recently received an economy-wide productivity shock.


    Publicado en: Journal of Monetary Economics 58 (6-8), September-November 2011

  • 05/01/2009
    0830. Banking competition, housing prices and macroeconomic stability (947 KB) Javier Andrés y Óscar Arce

    We develop a dynamic general equilibrium model with an imperfectly competitive bank-loans market and collateral constraints that tie investors credit capacity to the value of their real estate holdings. Banks set optimal lending rates taking into account the effects of their price policies on their market share and on the volume of funds demanded by each customer. Lending margins have a significant effect on aggregate variables. Over the long run, fostering banking competition increases total consumption and output by triggering a reallocation of available collateral towards investors. However, as regards the short-run dynamics, we find that most macroeconomic variables are more responsive to exogenous shocks in an environment of highly competitive banks. Key to this last result is the reaction of housing prices and their effect on borrowers' net worth. The response of housing prices is more pronounced when competition among banks is stronger, thus making borrowers' net worth more vulnerable to adverse shocks and, specially, to monetary contractions. Thus, regarding changes in the degree of banking competition, the model generates a trade-off between the long run level of economic activity and its stability at the business cycle frequency.

  • 09/12/2008
    0829. The impact of alternative imputation methods on the measurement of income and wealth: Evidence from the Spanish survey of household finances (1 MB) Cristina Barceló

    The goal of this paper is to emphasise the importance of the way of handling missing data and its impact on the outcome of empirical studies. Using the 2002 wave of the Spanish Survey of Household Finances (EFF), I study the performance of alternative methods: listwise deletion, non-stochastic, multiple and single imputation based on linear-regression models, and hot-deck procedures.
    Using descriptive statistics of the marginal and conditional distributions of income and wealth and estimating mean and quantile regressions, listwise deletion brings imprecise and biased estimates, non-stochastic imputation underestimates variance and dispersion and hot deck fails to capture the potential relationships among survey variables.

  • 04/12/2008
    0828. Impact of bank competition on the interest rate pass-through in the euro area (834 KB) Michiel van Leuvensteijn, Christoffer Kok Sørensen, Jacob A. Bikker y Adrian van Rixtel

    This paper analyses the impact of loan market competition on the interest rates applied by euro area banks to loans and deposits during the 1994-2004 period, using a novel measure of competition called the Boone indicator. We find evidence that stronger competition implies significantly lower spreads between bank and market interest rates for most loan market products. Using an error correction model (ECM) approach to measure the effect of competition on the pass-through of market rates to bank interest rates, we likewise find that banks tend to price their loans more in accordance with the market in countries where competitive pressures are stronger. Further, where loan market competition is stronger, we observe larger bank spreads (implying lower bank interest rates) on current account and time deposits. This would suggest that the competitive pressure is heavier in the loan market than in the deposit markets, so that banks compensate for their reduction in loan market income by lowering their deposit rates. We observe also that bank interest ratesin more competitive markets respond more strongly to changes in market interest rates. These findings have important monetary policy implications, as they suggest that measures to enhance competition in the European banking sector will tend to render the monetary policy transmission mechanism more effective.

  • 02/01/2009
    0827. Term structure and the estimated monetary policy rule in the eurozone (827 KB) Ramón María-Dolores y Jesús Vázquez

    In this paper we estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure in order to analyze two issues. First, we analyze the effect of introducing an explicit term structure channel in the NKM model on the estimated parameter values of the model, with special emphasis on the interest rate smoothing parameter using data for the Eurozone. Second, we study the ability of the model to reproduce some stylized facts such as highly persistent dynamics, the weak comovement between economic activity and inflation, and the positive, strong comovement between interest rates observed in actual Eurozone data. The estimation procedure implemented is a classical structural method based on the indirect inference principle.

    Publicado en: Spanish Economic Review (2008)

  • 01/12/2008
    0826. Inflation targeting in Latin America: Empirical analysis using GARCH models (711 KB) Carmen Broto

    During the last years, a number of countries have adopted formal inflation targeting (IT) monetary policy frameworks in a context of global inflation moderation. This paper studies inflation dynamics in eight Latin American countries, some of which have adopted formal targets. We analyze possible benefits associated with IT in terms of lower inflation, inflation volatility and volatility persistence. To describe inflation dynamics and evaluate its impact, we use an unobserved components model, where each component can follow a GARCH type process. In general, the main findings of the empirical exercise show that the adoption of IT has been useful to reduce the inflation level and volatility in these countries.

    Publicado en: Economic Modelling, volume 28, issue 3, May 2011

  • 17/11/2008
    0825. Search cost and price dispersion in vertically related markets: the case of bank loans and deposits (574 KB) Alfredo Martín-Oliver, Vicente Salas-Fumás y Jesús Saurina

    Using data on marginal interest rates of loan and deposit products by Spanish banks, we find that the level of interest rates on loans (deposits) across geographic markets decrease (increase) with the number of banks in each market, and that the level of interest rates on loans increases with the level of interest rates of deposits. We also find that the dispersion of interest rates of both loans and deposits increase with the number of banks. This evidence is interpreted as evidence of customer's search costs in retail banking, consistent with predictions from the Carlson and McAfee (1983) model of market competition with search costs.

    Publicado en: Review of Industrial Organization

  • 14/11/2008
    0824. Price adjustments in a general model of state-dependent pricing (923 KB) James Costain y Anton Nakov

    In this paper, we show that a simple model of smoothly state-dependent pricing generates a distribution of price adjustments similar to that observed in microeconomic data, both for low and high inflation. Our setup is based on one fundamental assumption: price adjustment is more likely when it is more valuable. The constant probability model (Calvo 1983) and the fixed and stochastic menu cost models (Golosov and Lucas 2007; Dotsey, King and Wolman 1999) are nested as special cases of our framework.
    All parameterizations of our model can be ranked according to a measure of state dependence. The fixed menu cost model has the highest possible degree of state ependence; the parameterization which best fits US microdata has low state dependence. The fixed menu cost model is inconsistent with the evidence both because it never generates small price adjustments, and because it implies a large fall in the standard deviation of price adjustments as trend inflation increases. Even though the state dependence of our preferred parameterization is almost as low as that of the Calvo model, it is well-behaved when we change the steady state inflation rate, matching the data at least as well as Golosov and Lucas' model.

    Publicado en: Journal of Money, Credit and Banking 43 (2-3), March-April 2011

  • 12/11/2008
    0823. Determinants of domestic and cross-border bank acquisitions in the European Union (559 KB) Ignacio Hernando, María J. Nieto y Larry D. Wall

    This paper analyzes the determinants of bank acquisitions both within and across countries in the EU-25 over the period 1997-2004. The findings of this paper are broadly in line with those of the academic literature on the subject, which are mainly based on the US experience. Our results suggest poorly managed EU-25 banks (high cost to income) are more likely to be acquired by other EU-25 banks, in the same country. Nevertheless, this underperformance of target banks does hold for cross border bank acquisitions only if compared to the median of the market. Larger banks are more likely to be acquired by other banks in the same country. The probability of being acquired by another bank in the same market is larger for banks that are quoted in the stock market, which is consistent with the disciplinary character of listing in the stock markets. Finally, banks operating in more concentrated markets are less likely to be acquired by other banks operating within the same country but are more likely to be acquired by banks in other EU-25 countries.

    Publicado en: Journal of Banking and Finance

  • 07/10/2008
    0822. Exchange rate pass-through in new Member States and candidate countries of the EU (724 KB) Ramón María-Dolores

    This paper studies the pass-through of exchange rate changes into the prices of imports that originated inside the euro area made by some New Member States (NMSs) of the European Union and one candidate country (Turkey). I use data on import unit values for nine different product categories and bilateral imports from the euro area for each country and I estimate industry-specific rates of pass-through across and within countries using two different methodological approaches. The first one is based on Campa and González-Mínguez (2006) which estimates the short- and long-run pass through elasticities, where long-run elasticities are defined as the sum of the pass-through coefficients for the contemporaneous exchange rate and its first four lags. The second one is employed by de Bandt, Banerjee and Kozluk (2007) which suggests a long-run Engle and Granger (1987) cointegrating relationship and the possibility of structural breaks to restore the long-run in the estimation. I did not find evidence either in favour of the hypothesis of Local Currency Pricing (zero pass-through) or the hypothesis of Producer Currency Pricing (complete pass-through) for all the countries except Slovenia and Cyprus in the latter. The exchange rate pass-through ranged from 0.090 to 2.916 in the short-run and from 0.102 to 2.242 in the long-run. With reference to the results by industry the lowest values for exchange rate pass-through are in Manufacturing sectors. However, I did observe a exchange rate pass-through decline through the pricing chain and a large dependence of their economies on imported inputs.

    International Review of Economics and Finance (de próxima aparición)

  • 02/10/2008
    0821. Empirical analysis of corporate credit lines (870 KB) Gabriel Jiménez, José A. López y Jesús Saurina

    Since bank credit lines are a major source of corporate funding, we examine the determinants of credit line usage with a comprehensive database of Spanish corporate credit lines. A line's default status is a key factor driving its usage, which increases as a firm's financial condition worsens. Line usage decreases by roughly 10% for each year of its life. Lender characteristics, such as the number and length of a firm's banking relationships, are found to affect a firm's usage decisions, and credit line usage is found to be inversely related to macroeconomic conditions.

    Publicado en: Review of Financial Studies

  • 29/09/2008
    0820. The impact of financial position on investment: an analysis for non-financial corporations in the euro area (683 KB) Carmen Martínez-Carrascal y Annalisa Ferrando

    This paper analyses the impact that firms' financial position has on investment decisions using panel data from a large sample of non-financial corporations (around 120,000 firms) in six euro area countries (Belgium, Germany, France, Italy, the Netherlands and Spain). The results indicate that financial position is important to explain capital expenditures, as financial pressure appears relevant in explaining investment dynamics when it is proxied by cash flow, indebtedness and debt burden. The results also show differences in the sensitivity of investment rates to changes in financial pressure across countries, which appears to be especially large in the Netherlands and Italy and relatively small in Germany.

  • 23/09/2008
    0819. Multiple safety net regulators and agency problems in the EU: Is Prompt Corrective Action partly the solution? (578 KB) David G. Mayes, María J. Nieto y Larry Wall

    This paper presents a stylized mechanism aimed at dealing with the cross border agency problems that arise in supervising and resolving cross border banking groups in the European Union (EU). The authors assume that PCA policies have been implemented by the national supervisors and explore the institutional changes needed in Europe if PCA is to be effective as an incentive compatible mechanism. The paper identifies these changes starting with enhancements in the availability of information on banking groups to supervisors. Next, the paper considers the collective decision making by supervisors with authority to make discretionary decisions within the PCA framework as soon as a bank of a cross border banking group falls below the minimum capital standard. Finally, the paper analyzes the coordination measures that should be implemented if PCA requires the bank to be resolved.

    Publicado en: Journal of Financial Stability 4 (3), Sept. 2008

  • 19/09/2008
    0818. Labor market reform and price stability: an application to the Euro Area (702 KB) Carlos Thomas y Francesco Zanetti

    This paper studies the effect of labor market reform, in the form of reductions in firing costs and unemployment benefits, on inflation volatility. With this purpose, we build a New Keynesian model with search and matching frictions in the labor market, and estimate it using Euro Area data. Qualitatively, changes in labor market policies alter the volatility of inflation in response to shocks, by affecting the volatility of the three components of real marginal costs (hiring costs, firing costs and wage costs). Quantitatively, we find however that neither policy is likely to have an important effect on inflation volatility, due to the small impact of changes in the volatility of the labor market on inflation dynamics.

    Publicado en: Journal of Monetary Economics 56 (6), Sept. 2009

  • 03/09/2008
    0817. Measuring and explaining the volatility of capital flows towards emerging countries (624 KB) Carmen Broto, Javier Díaz-Cassou y Aitor Erce-Domínguez

    This paper analyzes the determinants of the volatility of different types of capital inflows to emerging countries. After calculating a variable that proxies capital flows volatility, we study its possible causality relations with a set of explanatory variables by type of flow through a panel data model. We show that in recent years the significance of global factors, beyond the control of emerging economies, has increased at the expense of that of country specific factors. In addition, various factors exhibit a non-robust effect on the volatility of the three different categories of capital flows, which poses additional challenges for policy-makers.

    Publicado en: Journal of Banking and Finance, volume 35, issue 8, August 2011

  • 11/08/2008
    0816. Organizational distance and use of collateral for business loans (633 KB) Gabriel Jiménez, Vicente Salas-Fumás and Jesús Saurina

    This paper examines the effect of organizational distance (i.e. distance between the headquarters of the bank that grants a loan and the location of the borrower) on the use of collateral for business loans by Spanish banks on the basis of the recent lender based theory of collateral (Inderst and Mueller (2007)). We find that, for the average borrower, the use of collateral is higher for loans granted by local lenders than by distant ones. We also show that the difference in the likelihood of collateral in loans granted by local lenders, relative to distant lenders, is higher among older and larger firms and among firms with longer duration of the lender-borrower relationship, than, respectively, younger, smaller firms and shorter duration. We also find that banks use lending technologies that are different for near and for distant firms, in response to organizational diseconomies.

    Journal of Banking and Finance (Volume 33, Issue 2, February 2009, Pages 234–243)

  • 05/08/2008
    0815. Housing bubbles (770 KB) Óscar J. Arce y J. David López-Salido

    In this paper we use the notion of a housing bubble as an equilibrium in which some investors hold houses only for resale purposes and not for the expectation of a dividend, either in the form of rents or utility. We provide a life-cycle model where households face collateral constraints that tie their credit capacity to the value of their houses and examine the conditions under which housing bubbles can emerge. In such equilibria, the total housing stock is held by owners that extract utility from their homes, landlords that obtain rents, and investors. We show that an economy with tighter collateral constraints is more prone to bubbles which, in turn, tend to have a larger size but are less fragile in face of funddraining shocks. Our environment also allows for pure bubbles on useless assets. We find that multiple equilibria in which the economy moves endogenously from a pure bubble to a housing bubble regime and vice versa are possible. This suggests that high asset price volatility may be a natural consequence of asset shortages (or excess funding) that depress interest rates sufficiently so as to sustain an initial bubble. We also examine some welfare implications of the two types of bubbles and discuss some mechanisms to rule out equilibria with housing bubbles.

    American Economic Journal: Macroeconomics (de próxima aparición).

  • 24/06/2008
    0814. Does immigration affect the Phillips curve? Some evidence for Spain (785 KB) Samuel Bentolila, Juan J. Dolado y Juan F. Jimeno

    The Phillips curve has flattened in Spain over 1995-2006: unemployment has fallen by 15 percentage points, with roughly constant inflation. This change has been more pronounced than elsewhere. We argue that this stems from the immigration boom in Spain over this period. We show that the New Keynesian Phillips curve is shifted by immigration if natives' and immigrants' labor supply or bargaining power differ. Estimation of the curve for Spain indicates that the fall in unemployment since 1995 would have led to an annual increase in inflation of 2.5 percentage points if it had not been largely offset by immigration.

    Publicado en: European Economic Review, vol. 52(8), pages 1398-1423 ( Noviembre 2008)

  • 16/07/2008
    0813. On the job search in a matching model with heterogeneous jobs and workers (701 KB) Juan J. Dolado, Marcel Jansen y Juan F. Jimeno

    This paper examines the effects of transitory skill mismatch in a matching model with heterogeneous jobs and workers. In our model, some high-educated workers may accept unskilled jobs for which they are over-qualified but are allowed to engage in on-the-job search in pursuit of a better job. We show that this feature has relevant implications for the set of potential equilibria, the unemployment rates of the different types of workers, the degree of wage inequality, and the response of the labour market to shifts in the demand and supply of skills.

    Publicado en: The Economic Journal, Volume 119, Issue 534, pages 200–228 (Enero 2009)

  • 20/06/2008
    0812. Testing for conditional heteroscedasticity in the components of inflation (1 MB) Carmen Broto y Esther Ruiz

    In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with QGARCH disturbances. This model distinguishes whether the long-run or short-run components are heteroscedastic. Furthermore, the uncertainty associated with these components may increase with the level of inflation as postulated by Friedman. We propose to use the differences between the autocorrelations of squares and the squared autocorrelations of the auxiliary residuals to identify heteroscedastic components. We show that conditional heteroscedasticity truly present in the data can be rejected when looking at the correlations of standardized residuals while the autocorrelations of auxiliary residuals have more power to detect conditional heteroscedasticity. Furthermore, the proposed statistics can help to decide which component is heteroscedastic. Their finite sample performance is compared with that of a Lagrange Multiplier test by means of Monte Carlo experiments. Finally, we use auxiliary residuals to detect conditional heteroscedasticity in monthly inflation series of eight OECD countries.

    Publicado en: Studies in Nonlinear Dynamics & Econometrics, volume 13, issue 3, 2009

  • 17/06/2008
    0811. Uncertainty and entry into export markets (625 KB) Rubén Segura-Cayuela y Josep M. Vilarrubia

    We face uncertainty in most economic decisions we take. This is particularly true in the case of a firm entering a foreign market where there is uncertainty about the size of the market, the distribution channels, the adequacy of the firm's product to local tastes, etc. Despite its obvious importance, this ingredient appears to have been largely overlooked by the literature explaining the direction and volume of international trade flows. We incorporate this informational uncertainty into a model with heterogeneous firms similar to the one proposed by Melitz (2003). The model exhibits informational externalities that arise via informational complementarities: in markets with less uncertainty, the most productive firms always find optimal to enter. Once a firm enters that foreign market, her success/failure reveals information to other domestic firms who, given the new information, optimally decide whether to enter. We characterize the conditions under which, given initial entry, informational externalities are strong enough to reach an equilibrium with full information. The model delivers an explanation for the recent dynamic evolution of trade flows, at the intensive margin at the country level and the extensive margin at the firm/product level. The model also provides insights on the persistence of bilateral trade flows, zero trade flows, and why we observe empirically less entrance by small firms than the Melitz model predicts.

  • 13/06/2008
    0810. Do trade and financial linkages foster business cycle synchronization in a small economy? (555 KB) Alicia García-Herrero y Juan M. Ruiz

    We estimate a system of equations to analyze whether bilateral trade and financial linkages influence business cycle synchronization directly and/or indirectly. Our paper builds upon the existing literature by using bilateral trade and financial flows for a small, open economy (Spain) as benchmark for the results, instead of the US as generally done in the literature. We find that both the similarity of productive structure and trade links promote the synchronization of cycles. However, bilateral financial links are inversely related to the co movement of output. This might point to financial integration allowing an easier transfer of resources between two economies, which could enable their decoupling, as predicted by a standard model of international business cycles. Both the effects of trade and financial links on output synchronization are statistically significant and economically relevant.

    Publicado en: Moneda y Crédito nº 226 (2008)

  • 03/06/2008
    0809. A structural model of sovereign debt issuance: assessing the role of financial factors (822 KB) Aitor Erce

    The role that domestic and international financial conditions have in shaping developing countries' governments' debt structure is structurally estimated using data on individual bond issuance. The structural model, which uses financial and demographic conditions to achieve identification, is used to estimate three key characteristics of sovereign bonds: issue size, maturity and spread. To minimize sample selection concerns, in a first step, the issuance decision is studied by means of a probit model. Results show that better developed domestic financial markets and looser international financial conditions raise developing countries ability to tap international markets and, mainly through their effect on the spreads, are important determinants of the observed debt structure. We find evidence of complementarities between domestic financial deepening and financing conditions in global markets.

  • 11/04/2008
    0808. The effect of foreign service on trade volumes and trade partners (605 KB) Rubén Segura-Cayuela y Josep M. Vilarrubia

    It has been emphasized that international promotion activities such as state visits or the presence of embassies, consulates and export promotion agencies help foster trade when there are search costs and/or uncertainty. In this paper we try to disentangle the differential effect that foreign service (embassies and consulates) has on both the establishment of trade links with countries, and the effect on trade volumes with already existing trading partners (the extensive and intensive margins at the country level). Using the estimation procedure suggested by Helpman, Melitz and Rubinstein (2007) and a cross-section of 21 exporters and 162 importers as in Rose (2005), we find that the presence of a foreign service office in a given country increases the probability of trading with that partner between 11% and 18%, but that it has no effect on the volume of trade with already existing trading partners. We then proceed to evaluate the importance of the extensive margin at the sectoral level, finding that these probabilities are substantially larger for more differentiated sectors.

    Publicado en: Moneda y Crédito nº 226 (2008)

  • 07/04/2008
    0807. Introducing the EURO-STING: Short Term INdicator of Euro Area Growth (701 KB) Maximo Camacho y Gabriel Perez-Quiros

    We propose a model to compute short-term forecasts of the Euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. In this context, we provide examples that show how data revisions and data availability affect point forecasts and forecast uncertainty.

    Publicado en: Journal of Applied Econometrics 25 (4), 2010

  • 11/03/2008
    0806. Search frictions, real rigidities and inflation dynamics (723 KB) Carlos Thomas

    The literature on New Keynesian models with search frictions in the labor market commonly assumes that price-setters are not actually subject to such frictions. Here I propose a model where firms are subject both to infrequent price adjustment and search frictions. This interaction gives rise to real price rigidities, which have the effect of slowing down the adjustment of the price level to shocks. This has a number of consequences for equilibrium dynamics. First, inflation becomes less volatile and more persistent. More importantly, the model’s empirical performance improves along its labor market dimensions, such as the size of unemployment fluctuations and the relative volatility of the two margins of labor.


    Publicado en: Journal of Money, Credit and Banking 43 (6), Sept. 2011

  • 04/03/2008
    0805. Money and the natural rate of interest: structural estimates for the United States and the euro area (1 MB) Javier Andrés, J. David López-Salido y Edward Nelson

    We examine the role of money in three environments: the New Keynesian model with separable utility and static money demand; a nonseparable utility variant with habit formation; and a version with adjustment costs for holding real balances. The last two variants imply forward-looking behavior of real money balances, with forecasts of future interest rates entering current portfolio decisions. We conduct a structural econometric analysis of the U.S. and euro area economies. FIML estimates confirm the forward-looking character of money demand. A consequence is that real money balances are valuable in anticipating future variations in the natural interest rate.

    Publicado en: Journal of Economic Dynamics and Control, Vol. 33, Issue 3, marzo 2009, pp. 758-776

  • 01/02/2008
    0804. Wealth inequality and household structure: US vs. Spain (762 KB) Olympia Bover

    We study the link between culturally inherited household structure and wealth distribution in international comparisons using household data for the US and Spain (the SCF and the EFF). We estimate counterfactual US distributions relying on the Spanish household structure. Our results show that differences in household structure account for most of the differences in the lower part of the distribution between the two countries, but mask even larger differences in the upper part of the distribution. Imposing the Spanish household structure to the US wealth distribution has little effect on summary measures of inequality. However, this is the net result of reduced differences at the bottom and increased differences at the top. So there is distinct additional information in considering the whole distribution. We also report some evidence of an association between these wealth distribution differences and wealth composition. Finally, we present results for the within-group differences between the two countries using quantile regressions and find a reversing pattern by age.

    Publicado en: Review of Income and Wealth 56 (2), June 2010

  • 16/01/2008
    0803. Los determinantes de los saldos presupuestarios de las Comunidades Autónomas (584 KB) Isabel Argimón y Pablo Hernández de Cos

    Este trabajo tiene como objetivo proporcionar una primera aproximación al análisis de los determinantes de los saldos públicos de las CCAA, que han sido agrupados en factores económicos, políticos e institucionales y factores específicos relativos a los órganos inferiores de gobierno (federalismo fiscal). Con datos referidos al periodo 1984 2004, el enfoque seguido lleva a concluir que los límites de deuda y déficit establecidos en los denominados Escenarios de Consolidación Presupuestaria, vigentes durante los años noventa, no parece que tuvieran un efecto significativo sobre los saldos de las CCAA, mientras que un mayor grado de corresponsabilidad fiscal parece ir asociado a un comportamiento más disciplinado de los gobiernos subcentrales. Asimismo, se obtiene que un mayor grado de descentralización fiscal va acompañado de una mayor dependencia de la evolución de los saldos públicos de las CCAA con respecto al ciclo económico. La ejecución de la política fiscal en las CCAA parece, finalmente, incorporar un fuerte componente inercial. En todo caso, la presencia de series cortas, la existencia de grandes cambios institucionales durante el periodo analizado, que se traducen en cambios en el sistema de financiación y de competencias, y el elevado número de variables explicativas, es decir, el elevado número de posibles determinantes de los saldos públicos, obliga a tomar los resultados aquí presentados con la debida cautela.

  • 11/01/2008
    0802. Uncertainty and the price of risk in a nominal convergence process (879 KB)

    Publicado como: "A market based approach to inflation expectations, risk premia and real interest rates". The Spanish Review of Financial Economics. Vol. 10(1), pp.18-29Abre en nueva ventana

    Ricardo Gimeno y José Manuel Marqués

    In this paper we decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve estimation. We apply this model to the Spanish economy during the 90s, which is an especially challenging exercise given the nominal convergence towards the European Monetary Union (EMU) then under way. The methodology seems to be suitable for other countries currently involved in convergence towards EMU. The evidence indicates that inflation expectations and risk premia account for most of the observed variation in nominal rates, while real risk free interest rates show a reduction during this period lower than that suggested by other approaches.

  • 08/01/2008
    0801. Size, growth and bank dynamics (554 KB) Enrique Benito

    This paper investigates the size distribution of the whole population of Spanish commercial, savings and cooperative banks from a dynamic perspective over the 1970 2006 period. To investigate the evolution of the size distribution, we determine whether the data satisfies the Law of Proportionate Effect (LPE) using panel unit root tests. We find that the size-growth relationship is not stable over time but changes depending on the competitive environment of banks (liberalization, deregulation and integration). When Spanish banking was highly regulated, we find that smaller banks grew faster than their larger counterparts. In recent years, however, we find that larger banks grow at the same rate or faster than smaller banks, a result that lends towards LPE acceptance. Thus, our study corroborates the conditioned nature of the size-growth relationship and the size distribution of banks, as emphasized by recent studies for the US banking system. Results imply that the size distribution of Spanish banks will become more skewed in next years, and concentration will tend to increase.


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