Historical financial analogies of the current crisis

This paper tries to shed light on the historical analogies of the current crisis. To that end we compare the current sample distribution of Dow Jones Industrial Average Index returns for a 769-day period (from 15 September 2008, the Lehman Brothers bankruptcy, to September 2011), with all historical sample distributions of returns computed with a moving window of 769 days in the 2 January 1900 to 12 September 2008 period. Using a Kolmogorov-Smirnov and a x2 homogeneity tests which have the null hypothesis of equal distribution we find that the stock market returns distribution during the current crisis would be similar to several past periods of severe financial crises that evolved into intense recessions, being the sub-sample from 28 May 1935 to 17 Jun 1938 the most analogous episode to the current situation. Furthermore, when applying the procedure proposed by Diebold, Gunther and Tay (1998) for comparing densities of sub-samples, we obtain additional support for our findings and discover a period from 10 September 1930 to 13 October 1933 where the severity of the crisis overcomes the current situation having sharper tail events. Finally, when comparing historical market risk with the current risk, we observe that the current market risk has only been exceeded at the beginning of the Great Depression.Financial crisis, Great Recession, Great Depression

Historical financial analogies of the current crisis

This paper tries to shed light on the historical analogies of the current crisis. To that end we compare the current sample distribution of Dow Jones Industrial Average Index returns for a 769-day period (from 15 September 2008, the Lehman Brothers bankruptcy, to 30 September 2011), with all historical sample distributions of returns computed using a moving window of 769 days in the 2 January 1900 to 12 September 2008 period. Using a Kolmogorov-Smirnov and a χ 2 homogeneity tests which have the null hypothesis of equal distribution we find that the stock market returns distribution during the current crisis would be similar to several past periods of severe financial crises that evolved into intense recessions, being the sub-sample from 28 May 1935 to 17 Jun 1938 the most analogous episode to the current situation. Furthermore, when applying the procedure proposed by Diebold, Gunther and Tay (1998) for comparing densities of subsamples, we obtain additional support for our findings and discover a period from 10 September 1930 to 13 October 1933 where the severity of the crisis overcome the current situation having sharper tail events. Finally, when comparing historical market risk with the current risk, we observe that the current market risk has only been exceeded in the beginning of the Great Depression

The term structure of interest rates: Negotiation strategies on fixed income

En este trabajo ofrecemos una visión general y actualizada sobre diferentes estrategias de negociación en activos de renta fija que hacen uso de la estructura temporal de tipos de interés (ETTI) en su implementación. Con dicho propósito, hemos comenzado analizando el riesgo de tipos de interés, para posteriormente resumir un conjunto de estrategias de gestión pasiva y activa sobre carteras de renta fijaThe paper reviews the literature on how the term structure of interest rates (TSIR) can be used to implement passive and active fixed income portfolio strategies. This is done by defining the concept, explaining the risk of interest rates, and detailing several fixed income portfolio strategiesEsta investigación ha recibido ayuda financiera del Ministerio de Ciencia y Educación de España a través del proyecto de investigación ECO2010-2131

Fear connectedness among asset classes

This study investigates the interconnection between five implied volatility indices representative of different financial markets during the period August 1, 2008-September 9, 2015. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate both the net directional connectedness for each market and all net pair-wise directional connectedness. Our results suggest that slightly more than only 38.23%, of the total variance of the forecast errors is explained by shocks across markets, indicating that the remainder 61.77% of the variation is due to idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instabilit

Financial market analogies of the COVID-19 pandemic: evidence from the Dow Jones Industrial Average Index

This paper tries to shed light on the historical analogies of the ongoing COVID-19 pandemic. To that end, we compare the sample distribution of Dow Jones Industrial Average Index returns for a 420-day period (from 2 January 2020 to 31 August 2021), with all historical sample distributions of returns computed using a moving window of 420 days in the 2 January 1900 to 1 May 2018 period. We find that the stock market return distribution during the pandemic would be similar to several past sub-periods of severe financial crises that evolved into intense recessions, being the sub-sample from 3 June 1986 to 28 January 1988 the most analogous episode to the present situation. Furthermore, we also identify a period from 23 June 1931 to 24 February 1933 where the severity of the crisis overcomes the pandemic situation having sharper tail vents. Finally, we find that the current stock market CVaR risk is not higher than that observed during the 1930s

Stress Spillovers among Financial Markets: Evidence from Spain

Using a unique database, this paper examines the interconnection among stress indicators of the Spanish financial markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time-Varying Parameter Vector Autoregressive connectedness approach. Our results suggest that 15.67% of the total variance of forecast errors was explained by shocks across the six financial market stress indices examined, indicating that the remaining 84.33% of variation was due to idiosyncratic shocks. Nevertheless, we find that stress connectedness varies over time, with a surge during periods of increasing economic and financial instability, mainly driven by high levels of pandemic and economy policy uncertainty and real economy worsening. Financial intermediaries were the main generators of stress during three out of four recent major financial crises in Spain, while their role as stress transmitters to other markets has been reduced since the onset of the COVID-19 health crisis. Our results also indicate that the COVID-19 outbreak represents a relevant event in the transmission of stress among all market segments

Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities

This paper examines the volatility interconnection between the main cryptocurrencies and traditional currencies during the period of February 2014-September 2018 using both a framework proposed by Diebold and Yilmaz (2014) and the modified approach of Antonakakis and Gabauer (2017). Our results suggest that a 34.43%, of the total variance of the forecast errors is explained by shocks across the eight examined cryptocurrencies and traditional currencies, indicating that the remainder 65.57% of the variation is due to idiosyncratic shocks. Furthermore, we find that volatility connectedness varies over time, with a surge during periods of increasing economic and financial instability. When we aggregate both markets by blocks, we find that the block of traditional currencies and the block of cryptocurrencies are mostly disconnected with periods of mild net volatility spill over between both blocks. Finally, our findings suggest that financial market variables are the main drivers of total connectedness within the traditional currencies, while the cryptocurrency-specific variables are identified as the key determinant for the total connectedness within the traditional currencies and a combination of business cycles and cryptocurrency-specific variables explain the directional volatility connectedness between both blocks

Nivel de actividad física saludable y características del sueño en adultos

El sueño y el nivel de actividad física ha mostrado de manera regular importantes relaciones; si bien, los resultados no siempre han sido coincidentes. El objetivo de esta investigación ha sido determinar características diferenciales en la relación entre aquellas personas que se consideran suficientemente activas físicamente y diversos patrones relacionados con el sueño, frente a las personas que se consideran insuficientemente activas físicamente. La muestra ha estado compuesta por 705 adultos con una edad media de 27.21 años (DT = 10.67); siendo 460 mujeres (65.2%). Los instrumentos utilizados han evaluado el nivel de actividad física mediante la Brief Physical Activity Assessment Tool (BPAAT), el cronotipo mediante la Composite Scale of Morningness (CSM) y la calidad subjetiva del sueño se evaluó mediante el Pittsburgh Sleep Quality Index (PSQI). Los resultados muestran que las mujeres, frente a los hombres, presentan patrones de actividad física que son valorados como insuficientes para ser considerados como saludables y una peor calidad subjetiva del sueño. Sin embargo, no se han diferenciado de los hombres en las puntuaciones que evalúan el cronotipo. Por otro lado, se ha observado que las personas que han sido consideradas como insuficientemente activas físicamente han referido una peor calidad del sueño y un patrón de cronotipo vespertino. En este sentido, las personas insuficientemente activas físicamente presentan un mayor riesgo de manifestar patrones de sueño del tipo vespertinos comparados con quienes informan ser suficientemente activos físicamente. Se concluye, según los datos aportados, una relevante asociación entre la calidad del sueño y el cronotipo con la actividad física; todo ello hace necesario reflexionar sobre la necesidad de plantear posibles pautas de intervención con la finalidad de llevar a cabo programas de higiene del sueño en población practicante de ejercicio con carácter amateur.Departamento de Psicología Clínica, Experimental y Socia