Introdución aos modelos de datos de panel

Titulación: Grao en Administración e Dirección de Empresas -- Materia: Econometría IIA materia na que se enmarca esta unidade didáctica corresponde ao 3º curso do grao de Administración e Dirección de Empresas. A materia de Econometría II proporciona ao estudante técnicas econométricas de dificultade media que permiten a análise cuantitativa da realidade económica e empresarial. Tamén, esboza algúns temas de gran relevancia na modelización econométrica proporcionando as ideas básicas e os conceptos necesarios para poder abordalos nun futuro con profundidade. Así, a materia comeza cunha primeira unidade de incumprimento das hipóteses do MRLNC, sinalando as consecuencias do incumprimento sobre a estimación MCO e as posibles solucións. A unidade II engloba o modelo xeneralizado, a súa estimación, contrastación de hipótese e predición. Este modelo xorde cando se incumpren as hipóteses de incorrelación e/ou de homocedasticidade do MRLNC. Nas unidades III e IV preséntanse por separado a autocorrelación e a heterocedasticidade, destacando as causas, as consecuencias sobre a estimación MCO e os métodos para detectar estas situacións así como os métodos de estimación, os contrastes de hipóteses e a predición. A unidade V aborda modelos econométricos uniecuacionais que inclúen relacións non contemporáneas entre as variables que interveñen nos mesmos. A seguinte unidade incorpora a análise de series temporais univariantes, estudando as súas características evolutivas e a dependencia entre as súas observacións. Ademais, introduce o concepto de proceso estocástico, a definición de estacionariedade, e desenvolve a tipoloxía de modelos univariantes, e as distintas fases de elaboración dun modelo ARIMA. Por último, trátase de modo introdutorio o fenómeno da regresión espuria e a interpretación da cointegración entre dúas series temporais coa mesma orde de integración, así como algúns contrastes para detectala. A unidade VII introduce sucintamente algúns modelos de variable dependente cualitativa. Na unidade VIII desenvólvese o tratamento da combinación de series temporais e datos de corte transversais.Universidade de Santiago de Compostela. Servizo de Normalización Lingüístic

Introducción de la perspectiva de género en econometría en la USC

El presente trabajo tiene como objetivo fundamental compartir la experiencia llevada a cabo por el GID-EBA (Grupo de Innovación docente de Econometría Básica Aplicada de la Universidade de Santiago de Compostela) de la implementación de una actividad sobre perspectiva de género en varios grupos de la asignatura de Econometría en la USC. Concretamente, se trata de un trabajo colaborativo en grupo para el análisis de la discriminación salarial por género, mediante la introducción de variables ficticias y con datos reales procedentes de la Encuesta de Estructura Salarial del INE. Dicha actividad se desarrolló, simultáneamente, en dos grupos de la materia Econometría uno de la Licenciatura de ADE y otro del Grado de Economía de la USC, en el curso académico 2010-11. Representa los primeros pasos acometidos para la introducción de la perspectiva de género en la disciplina de Econometría en la USC habiendo teniendo una buena acogida y resultados por parte del alumnado

Especialización y modelos de comercio en Europa

Texto dispoñible en galego e españolNo presente artigo estudiamos os efectos da incorporación española á UE e da construcción dun mercado interno en Europa en 1992. A cuestión a dilucidar refírese a se algúns estados europeos melloraron a súa posición no mercado interno como consecuencia dunha maior capacidade para explotar as súas vantaxes comparativas (productividade, dotación de factores...) e as economías de escala, en tanto en canto os estados teñen dúas razóns fundamentais para intercambiar productos: a especialización nas actividades que realizan mellor que o resto e a explotación das economías de escala. A evolución do comercio interindustrial revelará se as previsións de certos cualificados economistas sobre un afondamento na especialización dos países do norte nas industrias intensivas en capital humano e nos países do sur en industrias intensivas en traballo se confirman na realidade. Ademais, o desenvolvemento do comercio intraindustrial probará se os beneficios das economías de escala foron maiores no sur, onde estaban menos explotadas ó comezo do proceso. Finalmente, analizaremos de maneira concisa o papel do investimento exterior directo (que pode ser contemplado como unha forma alternativa de comercio exterior, coa que comparte os determinantes causais) na consolidación das pautas de especialización en EuropaIn the present paper we will study the effects of the incorporation of Spain to the EU and of the construction of an internal market in Europe in 1992. The question to be answered is whether some countries in Europe have improved their positions in the internal EU trade from a better exploitation of their comparative advantages (productivity, factors endowment…) and scale economies, as far as countries have two main reasons for trade: specialisation in those activities they do the best and the exploitation of scale economies. The evolution of inter industrial trade will reveal whether the expectations of some qualified economists of a deeper specialisation of northern European countries in human capital-intensive industries and in labour-intensive industries in the southern countries were correct. Besides, the development of intra industrial trade in this decade will prove if the benefits of scale economies were bigger in the south, where they were less exploited at the outset. Finally, we will also analyse the role of foreign direct investment (which can be observed as another way of exports and shares with trade the causal factors) in the reinforcement of specialisation patterns across Europe. In this connection, we identify and analyse the evolution of trade patterns in Europe in the 1990´s through the calculation of Grubel-Lloyd indexes. Secondly, we utilise several indicators of compa-rative advantages (sectors average productivity, labour costs, human capital endowment, etc.) and of the firms size to study whether they have also undergone some changes as a result of the internal market formation. Finally, we supplemented the analysis with an overview of the patterns of specialisation in Europe, as far as the location of industries can shed some light over the future evolution of the industrial activitiesEn el presente artículo estudiamos los efectos de la incorporación española a la UE y de la construcción de un mercado interno en Europa en 1992. La cuestión a dilucidar se refiere a si algunos estados europeos han mejorado su posición en el mercado interno como consecuencia de una mayor capacidad para explotar sus ventajas comparativas (productividad, dotación de factores...) y las economías de escala, en tanto en cuanto los estados tienen dos razones fundamentales para intercambiar productos: la especialización en las actividades que realizan mejor que el resto y la explotación de las economías de escala. La evolución del comercio interindustrial revelará si las previsiones de ciertos cualificados economistas sobre una profundización en la especialización de los países del norte en las industrias intensivas en capital humano y en los países del sur en industrias intensivas en trabajo se confirman en la realidad. Además, el desarrollo del comercio intraindustrial probará si los beneficios de las economías de escala han sido mayores en el sur, donde estaban menos explotadas al comienzo del proceso. Finalmente, analizaremos someramente el papel de la inversión exterior directa (que puede ser contemplada como una forma alternativa de comercio exterior, con la que comparte los determinantes causales) en la consolidación de las pautas de especialización en EuropaS

Effects of a negative interest rate policy in bank profitability and risk taking: evidence from European banks

This paper analyses the effect of a negative interest rate policy (NIRP) on profitability and risk taking in the European banking sector and whether this effect is differentiated according to the bank business model. Using a dataset of 2596 banks from 29 European countries over the period 2011–2019 and applying a static modelling approach, we conclude that the implementation of NIRPs lowers the net interest margin and the return on assets of a representative bank by 14.5 basis points and 18.5 basis points, respectively. We also conclude that a decrease in the short-term interest rate lowers the net interest margin when interest rates are already negative. In an environment of negative interest rates, we do not find that European banks take on more risk and conclude that the effects of the implementation of NIRPs influence banks’ profitability and risk taking differently, depending on the business model adoptedThis study was carried out with financial support by Xunta de Galicia- Consolidación 2020 CRC GI-1866-, the Applies Financial Evaluation Research GroupS

Application of the DEA Double Bootstrap to Analyze Efficiency in Galician Sheltered Workshops

Sheltered workshops (SW), as social enterprises, need to be efficient and maintain a balance between social aspects and economic prosperity. An important part of research on the subject has been focused on measuring the economic value created by these entities. In this study, we analyzed performance of SWs in Galicia (Spain), from the point of view of efficiency, combining social and economic aspects and investigating its key determinants. Using panel data from 609 entities from 2008 to 2017, we followed Simar and Wilson’s two-stage approach (2007). Specifically, we used data envelopment analysis (DEA) at the first stage to estimate efficiency scores and then used truncated regression estimation with double-bootstrap to test the significance of explanatory variables. Our results show that SWs have high levels of performance, higher in economic than in social terms, and we found that several factors, such as size and age, positively influence total, economic and social efficiency individually. We also found a positive, significant relationship between social efficiency and economic profitabilityS

Securitization in Spain and the wealth effect for shareholders

This is an accepted manuscript of the article: López-Penabad, M., López-Andión, C., Iglesias-Casal, A., & Maside-Sanfiz, J. (2015). Securitization in Spain and the wealth effect for shareholders. International Review Of Economics & Finance, 37, 308-323. http://dx.doi.org/10.1016/j.iref.2014.12.003. © 2015. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/This paper examines the relationship between securitization, the issuing bank's overall exposure to risk and the response of the shareholder. Spanish securitization transactions are analyzed using event study methodology which reveals that securitization drains banks' wealth, was most pernicious immediately prior to the subprime crisis and affects small and medium-sized banks most with respect to mortgage collateral transactions. The indirect effect of securitization on originator risk does not affect share value, while the direct effect gives a positive relationship. This effect becomes non-significant in the years prior to the crisis and the shareholders no longer perceive this risk transferS

Securitization and financial solvency: empirical evidence from Portugal

This is an Accepted Manuscript of an article published by Taylor & Francis in The European Journal of Finance on 2018, available online: http://www.tandfonline.com/10.1080/1351847X.2018.1492948This paper analyses the effect of securitization issues on the solvency of Portuguese financial institutions. For this purpose, we use an unbalanced panel model estimated using GMM methods and find that securitization has a slightly positive impact on the soundness of the issuing entity. We study 35 financial entities and 60 traditional securitizations issued by 9 originators between 2001 and 2013. The analysis reveals that the financial entities’ soundness improved slightly, showing that securitization enhanced the quality of the originators’ portfolios and increased the regulatory capital requirements. We also found that efficiency and profitability improve the risk-adjusted ROAA and that efficiency increases regulatory capital requirements. The robustness analysis confirms the positive effect of securitization on solvency, where both credit quality and liquidity are shown to be significant variablesS

La sostenibilidad de los desequilibrios en las balanzas por cuenta corriente de la eurozona

En este trabajo estudiamos los factores que determinan la sostenibilidad de los déficits por cuenta corriente en la eurozona y su vinculación con la crisis. Para ello, estimamos las ecuaciones de comercio exterior, donde se confirma el papel determinante de la elasticidad-renta, y, posteriormente, estimamos el crecimiento económico restringido por la balanza de pagos (Thirlwall) para compararlo con el crecimiento efectivo de cada país. Únicamente España, Gre-cia y Portugal mantuvieron, entre 2000 y 2007, crecimientos superiores a los consistentes con la restricción exterior. Aunque no sostenibles, sus déficits son diferentes ya que tienen raíz estructural en Grecia y Portugal

REIT en Brasil: Una oportunidad de diversificación internacional

The benefits of international diversification have been modified by the continuous change in the correlations between markets. Real estate investment has a high potential as a diversifying asset in a portfolio. The aim of this paper is to analyze the diversification by investing in REITs and equities for an investor from Brazil. We build optimal portfolios out-of-sample using predictions of volatility, correlations and yields following the DCC and VAR-DCC methods for the BOVA11, Ifix and SPDR S&P500 indices, during the period from December 1, 2014 to October 30, 2015. Our results show that the VAR-DCC approach slightly improves the DCC and Plug-in approaches, and the Naïve strategy

Market perception of bank risk and securitization in Spain

This paper examines the systematic risk in those banks that participated as issuers of securitization transactions in the Spanish market. Using event study methodol- ogy and allowing systematic risk to change gradually within the event window, this paper provides empirical evidence that securitization has a positive impact on Spanish bank's systematic risk (beta) from the beginning to the end of the event window. Additionally, we assess how much of the beta effect is due to volatility and how much to market cor- relation. The increase in beta is solely due to an increase in banks’ correlations, improving portfolio diversification. The empirical results presented in this paper show important informative implications for the different agents related to banks. This creates a challenge for financial regulation, which has typically focused on individual institutions