114 research outputs found
The Spanish term structure of interest rates revisited: cointegration with multiple structural breaks, 1974-2010
In this paper we consider the possibility that a linear cointegrated regression model with multiples structural changes would provide a better empirical description of the term structure model of interest rates. Our methodology is based on instability tests recently proposed in Kejriwal and Perron (2010) as well as the cointegration test in Arai and Kurozumi (2007) and Kejriwal (2008) developed to allow for multiple breaks under the null hypothesis of cointegration.Term structure of interest rates; Cointegration; Multiple Structural Breaks.
External sustainability in Spanish economy: bubbles and crises, 1970â2020
We address the issue of the sustainability Spain's external debt, using data for the period 1970â2020. To detect episodes of potentially explosive behavior of the Spanish net foreign assets over GDP ratio and the current account balance over GDP ratio, as well as episodes of external adjustments over this long period, we employ a recursive unit root test approach. Our empirical analysis leads us to conclude that there is some evidence of bubbles in the ratio between Spanish net foreign assets and the GDP. In contrast, the evidence that the ratio between the Spanish current account balance and the GDP had explosive subperiods is very weak. The episode of explosive behavior identified in the position of net foreign assets during the period 2002â2015 was the result of the country's economic expansion 1995â2007. The results also show an external adjustment during the period 2008â2019 after the start of a cyclical economic recession
Testing for rational bubbles in Australian housing market from a long-term perspective
31 p.In this article, we use tests of explosive behavior in real house prices with
annual data for the case of Australia for the period 1870â 2020. The main
contribution of this paper is the use of very long time series. It is
important to use longer span data because it o€ers more powerful
econometric results. In order to detect episodes of potential explosive
behavior in house prices over this long period, we use the recursive unit
root tests for explosiveness proposed by Phillips, Wu, and Yu (2011), and
Phillips, Shi, and Yu (2015a,b). According to the results, there is clear
speculative bubble behavior in real house prices between 1997-2020,
speculative process that has not yet been adjusted
New challenges in international economics and finance
This Special Issue brings together 13 papers that examine a variety of central topics in the field of international economics and finance. These papers were presented at the 23rd Conference on International Economics held in MĂĄlaga (Spain) on 16thâ17th June 2022. The conference was organised by the Spanish Association of International Economics and Finance (AEEFI) and the University of MĂĄlaga. The selected papers make up an interesting and revealing set of information to study the new challenges of the international economics and finance in a context especially marked by the aftermath of the 2008 financial crisis, the climate change, the challenge posed by the COVID-19 crisis and the instability unleashed after the invasion of Ukraine in 2022. From different perspectives, the papers analyse how events that have particularly affected the evolution of the world economy have substantially altered the rules of international trade, foreign direct investment, as well as monetary, fiscal or sectoral policy. The conference included two keynote lectures by Per Krusell (Institute for International Economic Studies, Stockholm University) and Fabio Canova (Norwegian Business School and Budapest School for Central Banking Studies), as well as 97 selected contributions
El mecanismo de transmisiĂłn de la polĂtica monetaria en la economĂa española y en el conjunto de la UEM
Este trabajo presenta un resumen de la evidencia empĂrica disponible sobre la transmisiĂłn monetaria en la UniĂłn EconĂłmica y Monetaria (UEM). Los resultados revelan un efecto muy lento, pero duradero, sobre los precios y un efecto rĂĄpido, pero transitorio, sobre el PIB. Destacan los efectos a travĂ©s del canal de tipo de cambio y del coste de uso del capital sobre la inversiĂłn. Estos efectos difieren de los obtenidos en EE UU, donde la polĂtica monetaria incide mĂĄs sobre el consumo y el efecto riqueza juega un papel mĂĄs importante. La existencia de asimetrĂas en la transmisiĂłn de los efectos en los paĂses de la UEM es un hecho constatado, que en España alcanza notoriedad debido a la mayor rigidez de sus mercados de bienes y [email protected]
Redefining monetary policy rules: A threshold approach
In this paper, we try to analyse the extent to which a redefinition of the monetary policy rule would help to avoid the zero-lower bound, as well as to explore the conditions needed to avoid that constraint. To that aim, we estimate the threshold values of the key variables of the policy rule: the inflation gap and the output gap. The threshold model allows us to know which are the turning points from which the relationship between the key variables and the interest rate revert. In the Eurozone countries, we have found that the inflation gap always contributes to increasing the nominal interest rate. On the contrary, the output gap works differently when it reaches values above or below the threshold value, which would favour the reduction of the interest rates towards the zero levelSpanish Ministry of Economy, Industry and Competitiveness through the project ECO2015-65826-
The access to broadband services as a strategy to retain population in the depopulated countryside in Spain
The aim of this paper is to analyze at what extent the connectivity of small localities is a determinant of their demography. Specifically, we pay attention to three factors: the evolution of the population; the distance, measured both in kilometres and travel time, to the province capital, the usual city where the largest set of services is available; and finally, the coverage of different kinds of broadband services (from ADSL or 3.5 G to the fastest ones FTTH) in rural areas. An econometric model was estimated where the dependent variable captures the increase of inhabitants along 2017â2020 of the 5955 Spanish municipalities with a population between 101 and 10,000 inhabitants (73.3 % of all municipalities). The results point out to the following facts: digital connectivity of small localities is a determinant of their demography, whatever the technology used, but physical distance remains being a significant factor on the population growth (both if it is measured of physical distance or travelling time) to explain the population growth of each locality
Testing explosive bubbles with time-varying volatility: The case of the Spanish public debt, 1850-2021
22 p.In this paper the dynamics of the Spanish public debt-GDP ratio is analysed during the period 1850-2021. We use recent procedures to test for explosive bubbles in the presence under time-varying volatility (Harvey, Leybourne, Sollisand Taylor (2016), Harvey, Leybourne and Zu (2019,2020),Kurozumi, Skorobotov and Tsarev (2022)) in order to test the explosive behavior of Spanish public debt over this long period. We extend previous analysis of Esteve and Prats (2022) where assume constant unconditional volatility in the underlying error process
External sustainability in Spanish economy:Bubbles and crises, 1970â2020
We address the issue of the sustainability Spainâs exter-nal debt, using data for the period 1970â2020. To detect episodes of potentially explosive behavior of the Spanish net foreign assets over GDP ratio and the current account balance over GDP ratio, as well as episodes of external adjustments over this long period, we employ a recursive unit root test approach. Our empirical analysis leads us to conclude that there is some evidence of bubbles in the ratio between Spanish net foreign assets and the GDP. In contrast, the evidence that the ratio between the Spanish current account balance and the GDP had explosive subperiods is very weak. The episode of explosive behavior identified in the position of net foreign assets during the period 2002â2015 was the result of the countryâs economic expansion 1995â2007. The results also show an external adjustment during the period 2008â2019 after the start of a cyclical economic recession
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