Tourism in the Canary Islands: Forecasting Using Several Seasonal Time Series Models

This paper deals with the analysis of the number of tourists travelling to the Canary Islands by means of using different seasonal statistical models. Deterministic and stochastic seasonality is considered. For the latter case, we employ seasonal unit roots and seasonally fractionally integrated models. As a final approach, we also employ a model with possibly different orders of integration at zero and the seasonal frequencies. All these models are compared in terms of their forecasting ability in an out-of-sample experiment. The results in the paper show that a simple deterministic model with seasonal dummy variables and AR(1) disturbances produce better results than other approaches based on seasonal fractional and integer differentiation over short horizons. However, increasing the time horizon, the results cannot distinguish between the model based on seasonal dummies and another using fractional integration at zero and the seasonal frequencies.

Do oil price shocks matter? Evidence for some European countries

This paper analyzes the oil price-macroeconomy relationship by means of analyzing the impact of oil prices on inflation and industrial production indexes for many European countries using quarterly data for the period 1960-1999. First, we test for cointegration allowing for structural breaks among the variables. Second, and in order to account for the possible non-linear relationships, we use different transformation of oil price data. The main results suggest that oil prices have permanent effects on inflation and short run but asymmetric effects on production growth rates. Furthermore, significant differences are found among the responses of the countries to these shocks.oil price shocks, inflation, economic activity

Risk diversification in public debt markets in the eurozone

El objetivo de este trabajo es el análisis del impacto de la unión monetaria en las oportunidades de diversificación del riesgo de las carteras de deuda pública en la zona euro. Para ello, se examina la existencia de tendencias comunes en la evolución de la rentabilidad a diez años de los países de la UE-15 durante el período 1994-2008. A pesar de que se encuentra evidencia a favor de la cointegración múltiple, los resultados apoyan la existencia de más de una tendencia entre las rentabilidades a largo plazo de los países de la UE-15. Además, cuando se centra el análisis en los países de la zona euro, aunque la interdependencia aumenta, se sigue rechazando la existencia de una única tendencia común. Estos resultados tienen importantes implicaciones para los inversores en términos de sus posibilidades de diversificar el riesgo en un contexto de una moneda únicaThe aim of this study is to analyze the impact that the monetary union has had on risk diversifi cation opportunities in European public debt markets. We examine the common trends in the evolution of daily 10-year yields in EU-15 countries during 1994-2008. Despite finding evidence in favor of multiple cointegration, the results support the existence of more than one trend between long-term EU-15 sovereign yields. Furthermore, when we focus our analysis on the eurozone, although interdependency increases, we can still reject the existence of a single common trend. These results have important implications for investors in terms of their risk diversifi cation possibilities in a single currency contextLas autoras agradecen el apoyo financiero del Ministerio de Ciencia y Innovación a través de los proyectos ECO2010-21787-C03-01 y ECO2008-02458-E, respectivament

Convergencia real en Europa Central y del Este: un análisis del período 1950-2008

This article examines the real convergence hypothesis for the period 1950-2008 in some Central and Eastern European countries using time series techniques and allowing for structural breaks. We find convergence within the countries when applying unit root tests on per capita GNP differences, but not when per capita GNP differences are defined with respect to Germany, the point of reference for the EU. However, when we allow for the existence of structural breaks in the convergence process, we find evidence of some countries (Albania, Bulgaria, former Czechoslovakia) catching-up with the German economy since the nineties. This suggests that the changes taking place since then in those countries have had a positive impact on convergence.Este trabajo contrasta la hipótesis de convergencia en PIB per capita durante el período 1950-2008 para una muestra de países de Europa Central y del Este, utilizando técnicas de series temporales. La aplicación de los contrastes de raíces unitarias indica que ha habido convergencia real entre los países de la región, aunque no cuando definimos la convergencia respecto a Alemania, país de referencia de la Unión Europea. Sin embargo, cuando permitimos la existencia de cambios estructurales, se observa un proceso de acercamiento de algunos países (Albania, Bulgaria y la antigua Checoslovaquia) respecto a Alemania desde los años 90, sugiriendo que los cambios ocurridos en estos países desde esa década han afectado positivamente a la convergencia

Changes in the Dynamic Behavior of Emerging Market Volatility: Revisiting the Effects of Financial L

In this paper we test whether the dynamic behavior of stock market volatility in six emerging economies has changed over the period 1976:01-2004:12. This period corresponds to years of profound development of both the financial and the productive sides in these emerging countries, but also to the years of the major financial crises. Our analysis suggests that changes in volatility behavior, while indeed present, may have been overstated in the past: simple specifications account for most of the dynamics of stock market volatility and therefore become powerful tools for volatility analysis. Additionally, we show that financial liberalization of emerging markets has generally reduced the level of market volatility and its sensititivity to news.

La diversificación del riesgo en los mercados de deuda pública de la zona euro

El objetivo de este trabajo es el análisis del impacto de la unión monetaria en las oportunidades de diversificación del riesgo de las carteras de deuda pública en la zona euro. Para ello, examinamos la existencia de tendencias comunes en la evolución de la rentabilidad a 10 años de los países de la UE-15 durante el período 1994-2008. A pesar de que encontramos evidencia a favor de la conintegración múltiple, los resultados apoyan la existencia de más de una única tendencia entre las rentabilidades a largo plazo de los países de la UE-15. Además, cuando centramos nuestro anàlisis en los países de la zona euro, aunque la interdependencia aumenta, seguimos rechazando la existencia de una única tendencia común. Estos resultados tienen importantes implicaciones para los inversores en términos de sus posibilidades de diversificar el riesgo en un contexto de una moneda única

Real convergence in some Central and Eastern European countries

This article examines the real convergence hypothesis in some Central and East European countries (both towards the German and the US economies) by means of using time series techniques during the period 1950-2003. We do not find evidence of real convergence for the whole period. However, when we allow for structural breaks, we find evidence of a catch-up process during the nineties-2003 period for Poland, Czech Republic and Hungary towards Germany and only for Poland towards the US economy

Subjective survival probabilities and their role in labour supply decisions

According to the Life Cycle Model (LCM) an economic agent would take a retirement decision so that she maximizes lifetime utility. However, because there is uncertainty about when someone will die, longevity expectations should play a significant role on deciding when to stop working. This Thesis analyses these issues in three different Chapters using data drawn from the ¿Survey of Health, Ageing and Retirement in Europe¿ (SHARE). It seeks two concrete objectives. Firstly, we explore individuals¿ longevity expectations ¿ more commonly known in economic literature as Subjective Survival Probabilities (SSPs) ¿ in order to determine if we could confidently use them as main input in a retirement model. Secondly, once SSPs are validated, in the third Chapter we to test if they play a role in labour supply decisions in the same fashion the LCM suggests. Overall, we have found that SSPs do satisfy the three specific properties that expectations should satisfy according to Hurd and McGarry (1997) and therefore they can be used confidently to estimate models of decision-making under uncertainty. Specifically, we found that SSPs in SHARE covary with other variables in the same way actual outcomes vary with the variables. Furthermore, their evolution is coherent with epidemiological evidence and with previous studies, and they predict mortality. We have also found that expectations of longevity do play a significant role when taking retirement decisions only in the case of females. In particular, it is found that females who expect to live longer have a lower probability of retiring. This finding is consistent with the LC

Real convergence in Central and Eastern Europe: an analysis for the period 1950-2008

Este trabajo contrasta la hipótesis de convergencia en PIB per capita durante el período 1950-2008 para una muestra de países de Europa Central y del Este, utilizando técnicas de series temporales. La aplicación de los contrastes de raíces unitarias indica que ha habido convergencia real entre los países de la región, aunque no cuando definimos la convergencia respecto a Alemania, país de referencia de la Unión Europea. Sin embargo, cuando permitimos la existencia de cambios estructurales, se observa un proceso de acercamiento de algunos países (Albania, Bulgaria y la antigua Checoslovaquia) respecto a Alemania desde los años 90, sugiriendo que los cambios ocurridos en estos países desde esa década han afectado positivamente a la convergencia.This article examines the real convergence hypothesis for the period 1950-2008 in some Central and Eastern European countries using time series techniques and allowing for structural breaks. We find convergence within the countries when applying unit root tests on per capita GNP differences, but not when per capita GNP differences are defined with respect to Germany, the point of reference for the EU. However, when we allow for the existence of structural breaks in the convergence process, we find evidence of some countries (Albania, Bulgaria, former Czechoslovakia) catching-up with the German economy since the nineties. This suggests that the changes taking place since then in those countries have had a positive impact on convergence.Instituto Complutense de Estudios InternacionalesTRUEMinisterio de Educaciónpu