An approach to predict Spanish mortgage market activity using Google data

[EN] The aim of this paper is to use Google data to predict Spanish mortgage market activity during the period from January 2004 to January 2019. Thus, we collect monthly Google data for the keyword hipoteca, the Spanish expression for mortgage, and then, we perform a regression and an out-of-sample analysis. We find evidence that the use of Google data significantly improves prediction accuracy.S

Bond Yields, Sovereign Risk and Maturity Structure

[EN] The aim of this paper is to analyze the relation between maturity structure, sovereign bond yields and sovereign risk in the Economic and Monetary Union for the period of 1990–2013. The results confirm the existence of an inverse relationship between sovereign bond yields, sovereign risk and the maturity structure of sovereign debt, regardless of the proxy that is used to measure sovereign risk and the time variance of the variables employed. The results indicate that risk shortens the maturity structure of sovereign debt because it reduces the stock of long-term debt. The relationship between maturity structure and sovereign bond yields differs depending on the risk of the countries analyzed (non-monotonic relationship) and the differences between peripheral and core countries are greater for higher levels of the yields. If we control for the indebtedness level of these countries, the results show that the relationship between the sovereign bond yields and maturity strengthens as the debt level increases.S

Do sociodemographic factors influence the maturity structure of sovereign debt?

[EN] Increases in life expectancy, medical and technological advances, and falling birth rates have produced widespread population aging in most developed countries. In the context of the EU, the population aged over 65 years, representing only 10% of the total in 1950, will represent over 30% in 2050 according to the United Nations. This phenomenon not only has implications in the social field but also affects economic growth and many economic and financial decisions that relate to the investment horizon (Lee and Shin, 2019; Kamiguchi and Tamai, 2019; Lyons, Grable and Joo, 2018). According to Papademos (2007), population aging may have important political and economic implications on economic growth, monetary policy, the structure of financial markets, public finances, and international capital flows.S

An alternative approach to predicting bank credit risk in Europe with Google data

6 p.The aim of this paper is to construct an alternative approach based on a sentiment index to measure bank credit risk in European countries using an alternative approach instead of traditional measures. Specifically, we use Google data for a set of keywords related to bank credit risk to capture investor sentiment. The resulting index shows a great similarity to traditional indexes based on bank CDS. The out-of-sample analysis demonstrates that our sentiment index is helpful for predicting bank credit risk during periods of financial distress, since it enhances the accuracy of the estimations.S

Is Squatting a Good Business for the Security Industry? A Case Analysis from Spain

[EN] The aim of this paper is to analyze the relation between the rise of the squatter movement in Spain and the evolution of firms involved into the security and surveillance business. We hypothesize that the upsurge of this phenomenon might benefit the evolution of these companies. Using Google searches to measure the citizens’ attention and concerns to the squatter movement, we analyze their impact on the evolution of the unique security company listed in the Spanish stock market: Prosegur. The empirical analysis points out to a positive and significant relationship, which is robust to the inclusion of other market variables. Moreover, we find out that this relationship disappears or turns negative for other types of firms and for the stock market in general, suggesting that our measure of attention to the squatter movement might actually be a proxy for an impairment of the rule of law in Spain.S

A sentiment index to measure sovereign risk using Google data

[EN] The aim of this paper is to construct an index that reflects investor sentiment regarding sovereign debt markets and to analyze this index to predict the evolution of sovereign risk. This Google Sovereign-Risk Sentiment Index (GSSI) is constructed by aggregating Google search data for a set of keywords related to the sovereign debt crisis that took place in Europe. The results indicate that the GSSI shows a high correlation with other sovereign risk indexes. Moreover, we analyze through panel data regressions its relationship with sovereign Credit Default Swaps (CDSs) for a set of European countries in the period 2008–2017. We determine that the GSSI shows the expected positive relationship with sovereign risk, especially in peripheral countries and during the period of maximum financial distress in sovereign debt markets. Our findings contribute to the investor sentiment literature and provide a novel measure of sovereign risk. These results suggest several implications for public authorities and regulators.SIThis work was supported by the Ministerio de Economía, Industria y Competitividad, Gobierno de España [research project number ECO2017-89715-P, entitled “El Análisis del Riesgo en los Mercados Financieros”]

What drives sovereign debt maturity in European countries?

[EN] The aim of this paper is to study the determinants of sovereign debt maturity for 23 European countries during the period between 1995 and 2013. For this purpose, we use quantile regressions with robust standard errors clustered by countries to consider the impact of the determinants in the entire distribution. The results indicate a positive relation between the level of debt of the country and sovereign debt maturity, particularly for countries with the lowest debt maturity. We also find evidence of a negative relationship between sovereign risk and debt maturity for the lowest and intermediate values of the debt maturity.S

Fixed vs. adjustable-rate mortgages and attention

[EN] The aim of this paper is to analyze the attention of households to fixed-rate and adjustable-rate mortgage loans depending on the evolution of interest rates. We hypothesize that a high level of general interest rates would lead to a higher attention to adjustable-rate mortgages. Using Google Trends tool to capture this attention, we demonstrate using VAR models that upsurges in interest rates precede a larger attention on Google searches related to adjustable-rate mortgages, but not for fixed-rate mortgages.S

Corruption, the shadow economy and innovation in Spanish regions

[EN] The aim of this paper is to analyze the effects of corruption and the shadow economy on innovation in the Spanish regions between 2000 and 2012. For this purpose, we use different proxies to approximate corruption and the shadow economy. We find evidence that corruption negatively influences innovation according to the results of the estimations. Regarding the effect of the shadow economy on innovation, the results also suggest that tax fraud, which is directly related to underground activities, leads to a decrease in regional innovationS

A utulização do método de fama-bliss para estimar a estrutura temporal das taxas de juro

[EN] The objective of this paper is to provide a monthly estimation of term structure of spot interest rates and forward interest rates since the beginning of the European Monetary Union. In order to do this, we apply the Fama-Bliss method, the approximating functions of two of the methods most commonly applied by the central banks, the Nelson and Siegel method (1987) and the Svensson method (1994) and two objective functions. Then, we compare the four options to decide which the most satisfactory procedure is. Subsequently we provide the chosen term structures of spot and forward interest rates.[POR] O objectivo deste artigo consiste em proporcionar uma estimativa mensal, utilizando dados diários, da estrutura temporal das taxas de juro à ordem e a prazo desde o início da União Económica e Monetária. Para isso, aplicámos o método de Fama e Bliss, as funções de aproximação de dois dos métodos mais utilizados habitualmente pelos Bancos Centrais, o método de Nelson e Siegel (1987) e o método de Svensson (1994) e duas funções objectivas. Posteriormente, comparamos as quatro opções para decidir qual é o método mais satisfatório. Finalmente, apresentamos as estruturas temporais das taxas de juro a pronto e a prazo que foram seleccionadas.S