Post-EMS exchange risk trends: A comparative perspective between Euro, British Pound and Japanese Yen excess returns against US Dollar

This paper studies the exchange rate risk of Euro, Pound and Yen against US Dollar before and after the EMU. The key question is to analyse the impact of the Euro to exchange rate risks. The risk is measured by estimating risk price coefficient (RPC) from an excess return equation. A conditional heteroskedastic variance model with time-varying mean is estimated for this purpose. Recursive estimates are used to examine the evolution of the parameters and to find out time-varying risk premia. Results show that after a period of adaptation following the introduction of the Euro, the Euro/US Dollar RPC decreased.Exchange rate risk, GARCH-M, risk-price, times series, recursive estimation

On the impact of exchange rate regimes on tourism

The main objective of this paper is to analyze the effect of the exchange rate arrangements on international tourism. The ambiguity of literature about the effect of exchange rate volatility contrasts with the magnitude of the impact of a common currency on trade. On the basis of a gravity equation we estimate a moderate effect of a currency union on tourism of almost 12%. Furthermore, we estimate a gravity equation for international trade, obtaining that the common currency effect on trade is reduced when tourism is introduced as a regressor. This suggests that tourism flows may contribute to explain the excessive magnitude of the estimated effect of a common currency on trade in this literature. Finally, we analyze the impact of several de facto exchange rate arrangements on tourism, finding that less flexible exchange rates promotes tourism flows.Tourism, Exchange Rate Regime, Common Currency

Revisiting Rose's common currency debate

The main objective of this research is to revisit the estimation of the effect of a common currency on international trade by applying the new methodology proposed by Helpman, Melitz and Rubistein (2008) and incorporating tourism to the theoretical framework. Rose (2000) estimates an empirical model of bilateral trade, finding a significant coefficient for a currency union variable of 1.2, suggesting an effect of currency unions on trade of over a 200%. Rose (2000)’s finding did not receive full acceptance and further research was consequently devoted to find reasons of such high effect. This still remains as a major puzzle in the International Economics. Rose and Van Wincoop (2001) hold that there may still be some omitted factors that drives countries to both participate in currency unions and trade more. In this research a gravity equation for trade is estimated controlling by international tourism.Common currency, tourism, gravity equation

How does AirBnb affect local Spanish tourism markets?

This paper analyses the effects of AirBnb on the size of local tourism markets using AirBnb occupancy rates and hotel overnight stays in order to explore the causal relationship in several Spanish cities. A dynamic panel data model is applied at the city level (2014–2017). Our findings show a positive relationship between the increase in the number of properties offered on AirBnb and the implicit volume of tourists received by each city, specifically in two large cities (Madrid and Barcelona), due to higher AirBnb occupancy rate.Open Access funding provided thanks to the CRUE-CSIC agreement with Springer Nature. This study was partially funded by Fundación de Estudios de Economía Aplicada (grant 2019/04)

Regímenes cambiarios de iure y de facto. El caso de la peseta/dólar, 1965-1998

En este trabajo se aplican tres procedimientos estadísticos alternativos al tipo de cambio peseta/dólar norteamericano, con el objetivo de conocer el verdadero régimen cambiario al que estuvo sujeto durante el período 1965-1998. El estudio toma la perspectiva que señala la divergencia entre regímenes cambiario de facto y de iure. Los resultados indican que la peseta, al igual que otras monedas, no exhibió el régimen flotante que de iure tenía en relación al dólar durante las tres últimas décadas de su existencia. Por el contrario, el tipo de cambio peseta/dólar se movió dentro de un corredor más bien estrecho en dichos años.In this paper we apply three different statistical procedures to the peseta/dollar exchange rate with the aim 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.Apoyo financiero del Ministerio de Educación y Ciencia (Plan Nacional I+D: SEJ-2005 09094/ECON)Publicad

Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular

In this paper, we attempt to assess the potential importance of different types of traders (i.e., those with public and private information) in financial markets using a specification of the standardized duration. This approach allows us to test unobserved heterogeneity in a nonlinear version based on a self-exciting threshold autoregressive conditional duration model. We illustrate the relevance of this procedure for identifying the presence of private information in the final days of trading of Banco Popular, the first bank rescued by the European Single Resolution Board

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.

Analyzing How the Social Security Reserve Fund in Spain Affects the Sustainability of the Pension System

Faced with the need to adjust public pension systems to meet changing demographic, economic and social conditions, most developed countries have created government reserve funds to ensure macroeconomic sustainability. This paper aims to study the importance that this reserve fund plays in the sustainability of the Spanish public pension system. Using data for the 2000 to 2019 period (20 observations) on the main variables impacting on the system, we calculate probabilities and other indicators of its unsustainability in relation to the reserve fund. Our model accurately reflects certain aspects of the data, and suggests that the probability of unsustainability is inversely associated with the size of the reserve fund, but that this relation is moderated by the heterogeneity of the members of the pension system. Moreover, the probability of unsustainability increases in line with the pension system deficit, the time elapsed until unsustainability is reached is shorter when the Reserve Fund balance falls, and the size of this fund at which the system becomes unsustainable diminishes with the probability of unsustainability

Development and Validation of a Multi-Pollutant Method for the Analysis of Polycyclic Aromatic Hydrocarbons, Synthetic Musk Compounds and Plasticizers in Atmospheric Particulate Matter (PM₂.₅)

[Abstract] Exposure to atmospheric particulate matter (PM) associated pollutants is a global concern due to the risk posed in human health after inhalation. In this study, a simple and sensitive multi-residue method is developed for the analysis of 50 organic pollutants, comprising 18 polycyclic aromatic hydrocarbons (PAHs), 12 phthalate esters (PAEs), 12 organophosphorus flame retardants (OPFRs), 6 synthetic musk compounds (SMCs) and 2 bisphenols in PM₂.₅ samples. The method consists of three cycles of ultrasonic assisted solvent extraction and vortex (UASE + vortex), followed by a vortex-assisted dispersive solid phase extraction (d-SPE) clean-up and a final determination step by using programmed temperature vaporization-gas chromatography-tandem mass spectrometry (PTV-GC-MS/MS). Experimental conditions concerning clean-up adsorbents (alumina, silica gel and Florisil®) and filters (glass fibre, PTFE and nylon), as well as PTV-GC-MS/MS conditions were studied. In addition, the use of SRM (selected reaction monitoring) mode in MS-MS, as well as matrix-matched calibration together with labelled subrogate standards, resulted in successfully validation results for most of the compounds due to the high sensitivity, minimization of matrix effects and recovering losses compensation. The proposed method was validated in terms of linearity, limits of detection and quantification (LODs and LOQs), analytical recoveries by analysing a spiked composite sample (PM₂.₅) at three spiking levels and intra-day and inter-day precision. Moreover, an urban particulate matter standard reference material (SRM 1648a) was analysed to assess PAHs determination accuracy. Furthermore, applicability of the method was proved by analysing 12 PM₂.₅ samples from an industrial area. Among all studied pollutants, bisphenol A (BPA) was the most predominant with an average concentration of 5000 pg m⁻³, followed by bis(2-ethylhexyl) phthalate (DEHP) and diisobutyl phthtalate (DiBP) with 1990 pg m⁻³ and 632 pg m⁻³, respectively. Concerning OPFRs, average concentrations between 345 – 253 pg m⁻³ were found for triphenyl phosphine oxide (TPPO), tris(chloropropyl) phosphate (TCPP), tri-iso-butyl phosphate (TiBP) and tris(2-butoxyethyl) phosphate (TBOEP). Finally, the highest PAHs levels were found for 5-6 ring-number PAHs (Σ5-6 rings PAHs) with an average concentration of 2680 pg m⁻³, while only 2 SMCs were quantitated accounting for 17.5 pg m⁻³ by average.This work was supported by the Ministerio de Ciencia, Innovación y Universidades (MCIU), Agencia Estatal de Investigación (AEI) and Fondo Europeo de Desarrollo Regional (FEDER) (Programa Estatal de I+D+i Orientada a los Retos de la Sociedad, ref: RTI 2018-101116-B-I00) and the Xunta de Galicia (Programa de Consolidación y Estructuración de Unidades de Investigación Competitivas ref: ED431C 2017/28-2017-2020). Joel Sánchez-Piñero acknowledges the Xunta de Galicia and the European Union (European Social Fund - ESF) for a predoctoral grant (ED481A-2018/164). The Laboratorio de Medio Ambiente de Galicia (LMAG) of the Subdirección Xeral de Meteoroloxía e Cambio Climático (Xunta de Galicia) is also acknowledged for providing the samples used in the present research workXunta de Galicia; ED431C 2017/28-2017-2020Xunta de Galicia; ED481A-2018/16

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