Análisis de la evolución de los réditos de los bonos soberanos, utilizando las técnicas de ondículas

The term "wavelets" covers a set of resources from the mathematical analysis that has proven their efficiency in system identification on areas such as hydrology, geology, glaciology, climatology and energy resources optimization. The methodology undergone on systems engineering could be extrapolated to everything conceptualized as "complex system" whatever its nature be. The wavelet techniques provide the description of non-stationary components and the evolution of macroeconomic variables in the frequency domain. The identification of predominant frequential scales and transient effects in time series highlights the multiresolutional analysis that would be more difficult to treat with traditional methods of econometrics. A review of the literature will show the potential problems that can be solved with these techniques, including prediction of benefits calculated on the evolution of the risk premium of a country, the extraction of symmetric macroeconomic shocks in country clusters, or detection of transient effects on the mutual influence of sovereign bonds between pairs of countries, among others. The dissertation will culminate in specific applications that show the power of wavelet techniques in identifying possible determinants and correlation of the evolution of sovereign bond yields in the euro area countries.El término ‘‘ondículas’’ cubre un conjunto de recursos del análisis matemático que ha demostrado su eficacia en la identificación de sistemas en áreas tales como la hidrología, geología, glaciología, climatología y optimización de los recursos energéticos. La metodología utilizada en la ingeniería de sistemas podría extrapolarse a todo lo conceptualizado como‘‘sistema complejo’’, fuere cual fuere su naturaleza. Las técnicas de ‘‘ondículas’’ aportan la descripción de los componentes no estacionarios y la evolución de las variables macroeconómicas en el campo de la frecuencia. La identificación de las escalas frecuenciales predominantes y los efectos transitorios en las series temporales enfatiza el análisis multi -resolución, que podría ser más difícil de tratar con el uso de métodos econométricos tradicionales. Una revisión dela literatura reflejará los problemas potenciales que pueden solucionarse utilizando estas técnicas, tales como la predicción de los beneficios calculados sobre la evolución de la prima de riesgo en un país, la extracción de los shocks macroeconómicos simétricos en los clusters del país, o la detección de los efectos transitorios sobre la influencia mutua de los bonos soberanos entre los pares de países, entre otros. La disertación desembocará en aplicaciones específicas que reflejarán el poder de las técnicas de ondículas en la identificación de posibles determinantes, y la correlación de la evolución de los réditos de los bonos soberanos en los países de la zona Euro

Office Market Dynamics in Madrid : Modelling with a Single-Equation Error Correction Mechanism

This paper seeks to explain the office market dynamics in Madrid by using cointegration models. Specifically, we focus on the equilibrium path of stock, vacancy rate and letting rents, and feedback with two exogenous economic determinants, namely, service sector employment and gross domestic product. We apply for the first time a single-equation error correction mechanism (ECM) to a system of equations for the commercial property market of Madrid and examine its accuracy when compared to the more frequently used classical two-step ECM. The main findings to emerge from our empirical analysis are that rents and vacancy rates react rapidly when they do not correspond to their equilibrium level. Stock, as expected, responds more slowly when it does not correspond to its long-term path. We draw on quarterly observations for the Madrid market between 2001:Q1 and 2015:Q2

Cointegration and unit roots : a survey

Presenta una vision actualizada de los ultimos estudios en test, estimacion y especificacion de modelos con la presencia de variables integradas. Dichas variables son una clase especifica de variables no estacionarias que parecen caracterizar fielmente las propiedades de muchas series temporales macroeconomicas. El analisis de la cointegracion se deriva de la existencia de raices unidad y ofrece una ruta generica para contrastar a traves de test, la validez de las predicciones de equilibrio de las teorias economicas. Se pone especial enfasis en el punto de vista del investigador empiric

Regímenes cambiarios de iure y de facto. El caso de la Peseta/Dólar, 1965-1998

In this paper we apply three different statistical procedures to the peseta/dollar exchange rate with the objective of discovering the true foreign exchange regime followed by the monetary authorities during the 1965-1998 period. The study´s perspective emphasizes the divergence between de jure and de facto exchange regimes. The results seem to imply that the peseta, as well as other currencies, did not exhibit the floating regime that de jure had in relation to the US dollar in the last three decades of its existence. On the contrary, the peseta/dollar exchange rate moved within rather narrow fluctuation bands during those years.Foreign exchange regime; fluctuation bands; fixed and floating exchange rates, peseta/dollar exchange rate.

EXPECTATIVAS, APRENDIZAJE Y CREDIBILIDAD DE LA POLÍTICA MONETARIA EN ESPAÑA

In this paper we assess the credibility of Bank of Spain’s monetary and interest rate announcements as perceived by the agents. Firstly, we analyze the convergence between the objectives of monetary policy and the evolution of the monetary aggregate and the market interest rates. Secondly, we estimate an index of credibility that recognizes the presence of regime changes from the 1979-1998 period. The results point out the convergence between announcements and market variables. Moreover the marginal credibility increased in the sample period for most of the interest rates studied. Classification-JEL : C22, D83, D84.Monetary policy, credibility, expectations, learning

An empirical examination of the determinants of the shadow economy

Using a statistical methodology guided only by data and based on a genetic algorithm, we select the best econometric model for explaining the determinants of the size of the shadow economy, its main determinants being: taxes on capital gains of individuals, corporate taxes on income, profits and capital gains, domestic credit, bank secrecy, ethnic fractionalization, urban population, globalization, corruption and the socialist legal origin of country

Efficiency in the Peseta Forward Exchange Rate Market

This paper applies recent cointegration techniques to analyse whether the forward market for the peseta/US dollar is efficient in both the one-month and the three-month segments of the market. Under the assumption of rationality, the premiums are small and they suggest a possible linear relationship between the premium and the expiry date of the contract. As a by-product of the analysis, an explanation is offered for the conflicting results which have been obtained in testing forward market efficiency, when such efficiency is tested with series in levels or with the deviations thereof in relation to the current spot rates.Cointegration; Efficient Markets; Exchange Rates; Risk Premiums