News and highlights
Research Update Spring 2022
This issue includes several articles summarizing policy-relevant findings from recent Banco de España projects in diverse areas of research. In this edition you can find the following Research Features:
- Roots and Recourse Mortgages: Handing back the keys
- Brexit: Trade diversion du to trade policy uncertainty
- Firm Hetereogeneity, Capital Misalloaction and Optimal Monetary Policy
- The impact of heterogeneous unconventional monetary policies on the expectations of markets clashes
- Asset encumbrance and Bank Risk: Theoory and First Evidence from Public Disclosures in Europe.
In addition, the Update reports on recent conferences and publications.
You can access to the Spring 2022 edition here.
Latest Research Feature - May 2022
The paper studies how labor market duality affects human capital accumulation and the wage trajectories of young workers in Spain. Using rich administrative data, we follow workers from their entry into the labor market to measure the experience accumulated under different contractual arrangements and we estimate their wage returns. We document lower returns on experience accumulated under fixed-term contracts (FTCs) compared with open-ended contracts and show that this gap in returns is due to lower human capital accumulation while working under FTCs. This gap widens with worker skill, suggesting that experience and skill-learning are complementary. The widespread use of FTCs holds back wage growth by up to 16 percentage points after 15 years since labor market entry. Click here.
Research Feature - April 2022
In this study we disentangle the effect of roots from other confounding factors, including discrimination, to explain differences in immigrants’ outcomes in the mortgage market. Using loan-level data from the Spanish Credit Register complemented with data on securitized mortgages over a complete financial cycle, we identify that foreign-born borrowers with feeble roots to the host country pay higher mortgage rates at origination than similar debtors that are better-settled. We also find that weak roots are associated with higher default rates and with greater incentives to go into default in negative equity situations. Overall, we show that rootedness explains differential loan conditions at origination and default behavior in mortgages. From a policy perspective, our results have important implications for the identification of discriminatory lending practices, for understanding the potential consequences of moving away from recourse mortgage regimes, and for the effectiveness of macroprudential policy. Click here.
Research Feature - March 2022
The negotiation period following the 2016 Brexit referendum was characterized by high uncertainty regarding the new framework for bilateral relations between the European Union and the United Kingdom. In this context, an important fraction of Spanish trade with the United Kingdom was diverted to alternative markets after the referendum, in the case of those firms with a high exposure to the UK (above 10 % of foreign sales and purchases). Trade diversion was higher for exports (than for imports) and to/from EU countries. Click here.
Research Feature - February 2022
Does expansionary monetary policy foster capital misallocation? In a recent study we tackle this question both theoretically and empirically. We show how unexpected monetary policy expansions increase the investment of high-productivity firms relatively more than that of low-productivity ones, decreasing capital misallocation and increasing aggregate productivity. This has profound implications for the optimal design of monetary policy. Click here.
Women in Economics (WinE) Committee Member
Laura Hospido has been appointed as a member of the Women in Economics (WinE) Committee of the European Economic Association for a three-year term. The Standing Committee on Women in Economics was established on the requested of EEA President-Elect, Birgit Grodal, in 2003, and was created by the Executive Committee and the Council of the EEA at the 20th EEA Congress held in Amsterdam, 2005. The WinE objective is to support women in the economics profession by facilitating the formation of networks, by circulating information on, or relevant to, female economists, and by providing a forum for discussion of issues relevant to women in academics. More information can be accessed here
Research Feature - January 2022
Unconventional Monetary Policies gained momentum since the global financial crisis and were used extensively throughout the pandemic. An extensive literature has studied their effects on growth, prices and financial variables, but much less is known about their impact on ex-ante tail risk perceptions. Our paper analyses the impact of the unconventional monetary policies of four major central banks (the Federal Reserve, the European Central Bank, the Bank of England and the Bank of Japan) on the probability of future market crashes. We exploit the heterogeneity of different unconventional actions to disentangle their influence on reducing the ex-ante perception of extreme events (tail risks) using the information contained in risk-neutral densities from the most liquid stock index options. We empirically show that the announcement of unconventional policies reduces the risk-neutral probability of extreme events across various horizons and thresholds, supporting the hypothesis of the risk-taking channel. Finally, the dynamics of the UMPs are captured by a structural model that confirms a transitory impact of UMPs on market tail risk perceptions and a positive effect on the real economy. Click here.
New data accessible for Researchers at BeLab
The Banco de España now includes Central Credit Register (CCR) data in its data laboratory (BELab) for economic and financial researchers to use. The CCR is a public service that manages a large database containing instrument-by-instrument data on reporting agents’ credit exposures to all their customers. More details can be found here.
Latest Research Feature
We document that overcollateralisation of banks' secured liabilities is positively associated with the risk premium on their unsecured funding. We rationalize this finding in a theoretical model in which costs of asset encumbrance increase collateral haircuts and the endogenous risk of a liquidity-driven bank run. We then test the model's predictions using a novel dataset on asset encumbrance of the European banks. Our empirical analysis demonstrates that banks with more costly asset encumbrance have higher rates of overcollateralisation and rely less on secured debt. Consistent with theory, the effects are stronger for banks that are likely to face higher fire-sales discounts. This evidence acts in favour of the hypothesis that asset encumbrance increases bank risk, although this relationship is rather heterogeneous.
Research Update Fall 2021
You can access to the Fall 2021 edition here.
9th Research Workshop Banco de España – CEMFI
You can access to the progamme here.
Third Conference on Financial Stability
More information, including the full programme, can be found here.
Each year, nearly 200,000 abused and neglected children are placed into foster care in the U.S., yet the causal impacts of this policy are not fully understood. Using administrative data, we find that out-of-home placements result in significant increases in the test scores and decrease the likelihood of grade repetition of young girls (removed before the age of six). We do not find detectable impacts in young boys. Our findings suggest that removal impacts are particular to gender.
Joint CEPR and Seventh Banco de España Economic History Seminar
More information, including the full programme, can be accessed here.
Analysis and research priorities for the Banco de España: 2020-2024
The Banco de España has published the analysis and research priorities on which it will be focusing in the coming years. This will give it the analytical capacity needed to prepare it for the challenges that the various changes in the economic and social environment pose for its mission. With this publication, the Banco de España takes a further step in its policy of research activity transparency, seeking in turn to promote collaboration in these priority areas with academia and the community of economic analysts. Read the full document here (185 KB).
Call for research projects in Economic History
Banco de España launches the annual programme of research grants for excellent research projects in Economic History. Access the call for projects here (4 MB).
Events affected by COVID-19
Due to the extraordinary circumstances caused by Covid19 several conferences organized by Banco de España are being cancelled or postponed. This includes the Malaga Finance Workshop initially scheduled for June 4-5 and the workshop on labor economics initially scheduled for June 7-8.
JEEA outstanding article award
The EEA has awarded the Hicks-Tinbergen medal 2020 to Jose Asturias, Manuel García-Santana and Roberto Ramos for their paper "Competition and the Welfare Gains from Transportation Infrastructure: Evidence from the Golden Quadrilateral of India" (JEEA, 17(6)).
Outstanding referee award
Omar Rachedi has been awarded the 2019 referee prize of the Economic Journal, which recognizes the contribution of exceptional referees with an annual award.
The Banco de España has launched a data laboratory (BELab) to provide access to the research community to high-quality microdata compiled by the institution. BELab will be making microdata on non-financial corporations reporting to the Central Balance Sheet Data Office available to researchers. The dissemination of these data is part of the agreement entered into on 11 July this year between the Banco de España and the Spanish Mercantile and Property Registrars’ Association, which authorises the controlled or confidential use of this information. Like other laboratories of Eurosystem institutions, BELab is a member of the INEXDA1 network and applies protocols for secure access to sensitive data. Initially, data use will obligatorily be on the premises of the Banco de España (at calle Alcalá, 522), where a safe environment (an on-site laboratory or data room) is located. More information can be found here.