Recursos de colección

E-Prints Complutense (95.840 recursos)

En este archivo los docentes e investigadores de la UCM depositan sus documentos en acceso abierto (open access)

Tipo documental = Documento de trabajo o Informe

Mostrando recursos 1 - 20 de 338

  1. Nuevas perspectivas de la solvencia en el sector asegurado

    Pérez Sánchez, Mª Concepción
    La principal preocupación de las autoridades en el ámbito de la economía ha sido el mantenimiento de la estabilidad de la misma a nivel mundial, de tal forma, que, la búsqueda de la estabilidad financiera y de la solvencia formará parte de esa gran preocupación. En el presente artículo nos vamos a centrar en los nuevos planteamientos sobre la solvencia en las entidades aseguradoras y su papel en el sector financiero. En la primera parte, hemos tratado la evolución del Marco regulador desde los noventa hasta la actual normativa vigente en España, incluyendo la adaptación de las directivas. A continuación, profundizaremos...

  2. Seasonal fluctuations and dynamic equilibrium models of exchange rate

    Jimenez-Martin, Juan-Angel; Flores de Frutos, Rafael
    Most dynamic equilibrium models of exchange rate are not able to generate monthly time series with the typical properties of actual exchange rate. If the exogenous endowments in an equilibrium exchange rate model contain seasonal variations, then the exchange rate will as well. In this paper, we show how in this framework, seasonal preferences can help to remove seasonality of the exchange rate simulated time series.

  3. Macroeconomic and policy uncertainty and exchange rate risk premium

    Jiménez Martín, Juan Ángel; Peruga Urrea, Rodrigo
    The goal of this paper is to identify the main determinants of the risk premium in some European currency markets just before the EMU. To that extent, we start from Lucas (1982) exchange rate model and derive an analytical expression for the forward premium. This expression includes money and production variables and it is quite standard, except for the inclusion of macroeconomic policy risk. Under some standard assumptions, this formula simplifies substantially and becomes amenable to regression analysis. Then, using standard measures of money and production, as well as interest rate swap spreads as indicators of macroeconomic policy risk, the...

  4. The fit of dynamic equilibrium models of exchange rate

    Jimenez-Martin, Juan-Angel; Flores de Frutos, Rafael
    The two-country monetary model has become a fundamental tool for explaining the behavior of the exchange rate. However, the popularity of this approach is not justified by its empirical support. One of the reasons for the empirical “failure” of exchange rate models could be the econometric approach applied. In this paper, an alternative procedure for evaluating the fit of dynamic equilibrium models of exchange rate is suggested. This approach is applied to three theoretical models: Lucas (1982), Svensson (1985), and Grilli and Roubini (1992).

  5. Component versus tradicional models to forecast quarterly national account aggregates: a Monte Carlo experiment

    Marrero, Gustavo A.
    Econometric models applied to observed data, specified and estimated using traditional Box-Jenkins techniques, have been widely used to forecast Quarterly National Account (QNA) aggregates. We assess the extent to which an alternative forecasting procedure, based on component models, improves the forecasting accuracy of traditional methods. Component models distinguish between the stochastic processes underlying the low- and the high-frequency component of time series, while traditional methods do not. Relationships between QNA aggregates and their coincident indicators are often significantly different for diverse frequencies, as suggested by even an informal examination of empirical evidence. Under these circumstances, a Monte Carlo out-of-sample experiment reveals that...

  6. Characterizing the optimal composition of government expenditures

    Pérez Sánchez, Rafaela María
    This paper extends the neoclassical growth model with productive public capital by including an infrastructure efficiency index, which is assumed to depend on a public choice variable, in particular, the share of public spending allocated to productive public consumption. A golden rule for the allocation of public expenditure between productive consumption and investment is specified. Under this framework, the observed path for the stock of infrastructures and the proposed efficiency index in the US economy during the last fifty years have been close to optimal: a lower stock of infrastructures has been accumulated, but it has been used more efficiently. Este artículo extiende el...

  7. Global and local indeterminacy and optimal environmental public policies in an economy with public abatement activities

    Pérez Sánchez, Rafaela María; Ruiz Andújar, Jesús
    We study the dynamic properties of an endogenous growth model with pollution in which the government can control the pollution through distorting taxes on the pollutant firms and through public abatement activities. First, we characterize the conditions for indeterminacy of equilibria when the government is benevolent and chooses its tax policy by taking into account the decentralized competitive equilibrium. Under this second best setup we show that two balanced growth paths can be found (one with a low level of pollution and the other with a high level) both of which can be locally indeterminate. Therefore, under indeterminacy, the optimal...

  8. Infraestructuras de transportes: medición y análisis de los efectos desbordamiento para los sectores productivos españoles

    Álvarez Ayuso, Inmaculada; Delgado Rodríguez, Jesús
    Este trabajo analiza la contribución de las infraestructuras de transportes a la producción privada de las provincias españolas, destacando el papel desempeñado por las red viaria de gran capacidad sobre el resto de equipamientos. Para ello se han elaborado distintas medidas que permiten evaluar los efectos de esta infraestructura y se ha utilizado una mayor desagregación territorial y sectorial en este análisis. El objetivo es estimar tanto el impacto directo de estos equipamientos como avanzar en el estudio de los efectos desbordamientos.

  9. Air pollution convergente and economic growth across european countries

    Álvarez, Francisco; Marrero, Gustavo A.; Puch, Luis A.
    This paper analyses the role of macroeconomic performance in shaping the evolution of air pollutants in a panel of European countries from 1990 to 2000. The analysis is addressed in connection with EU environmental regulation and taking into account macroeconomic performance. We start by documenting the patterns of crosscountry differences among different pollutants. We then interpret these differences within a neoclassical growth model with pollution. Three main pieces of evidence are presented. First, we analyze the existence of convergence of pollution levels within European economies. Second, we rank countries according to its performance in terms of emissions and growth. Third, we evaluate the evolution of emissions in terms...

  10. EU polluting emissions: an empirical analysis

    Álvarez, Francisco; Contestabile, M.; Gómez, C.; Marrero, Gustavo A.; Puch, Luis A.
    We provide an empirical study of the evolution of emissions of some specific air pollutants on a panel of EU member states from 1990 to 2000, and we relate observed patterns to macroeconomic performance. The ratio pollution emission to GDP, so-called emission intensity, has decreased over the period considered in most EU member states. However, a non-parametric analysis reveals that the relative positions of different countries in terms of GDP growth and reduction of emissions have remained basically unchanged. More specifically, remarkable differences can be detected between the richest and the poorest EU members notwithstanding. Also, more dispersion in emissions levels can be found in those countries with lower per capita GDP.

  11. Entrada y competencia en los servicios de telecomunicaciones

    Muñoz Hernández, Israel J.; Huergo, Elena
    Este trabajo analiza la entrada y la competencia en servicios de telecomunicaciones, en los que las empresas se diferencian por sus costes hundidos y por la valoración que reciben de los consumidores. En este marco de análisis desaparece el problema de coordinación presente en la literatura sobre entrada con costes hundidos, debido a que ahora la competencia en precios se ve modificada por el parámetro de valoración. Cuando se introduce heterogeneidad en los consumidores, la entrada queda definida por la combinación de costes y valoración, mientras los consumidores dirigen su demanda hacia la empresa que mejor se adapta a su...

  12. The welfare cost of business cycles in an economy with nonclearing markets

    Portier, Franck; Puch González, Luis Antonio
    In this paper we measure the welfare cost of fluctuations in a simple representative agent economy with nonclearing markets. The market friction we consider involves price rigidities and a voluntary exchange rationing scheme. These features are incorporated into an otherwise standard neoclassical growth model. We show that the frictions we introduce make the losses from fluctuations much bigger than in a frictionless environment.

  13. Corn market integration in porfirian Mexico

    Dobado González, Rafael; Marrero, Gustavo A.
    This paper deals with a polemic and relevant aspect of the economic history of Porfirian Mexico: the integration of agricultural domestic markets. Since corn was the staple product of the commercial agricultural sector and also the main subsistence crop, it is the protagonist of this story. Panel techniques, similar to those used by Barro and Sala-i-Martín (1992), are applied to a price convergence model. Our analysis reveals that Mexico was not an exception in the international panorama of market integration in late 19th and early 20th centuries [O’Rourke and Williamson (1999)]. Although still incomplete on the eve of the Mexican...

  14. The short-run dynamics of optimal growyh models with delays

    Collard, Fabrice; Licandro, Omar; Puch, Luis A.
    Differential equations with advanced and delayed time arguments may arise in the optimality conditions of simple growth models with delays. Models with investment gestation lags (time-to-build), consumption gestation lags (habit formation) or learning by using lie in this category. In this paper, we propose a shooting method to deal with leads and lags in the Euler system associated to dynamic general equilibrium models in continuous time. We introduce the discussion describing the dynamics that emerge under various assumptions on learning by using and gestation lags. Then, we implement the numerical method we propose to solve for the short run dynamics of...

  15. The public investment rule in a simple endogenous endogenous growth model with public capital: active or pasive?

    Marrero, Gustavo A.
    In dynamic settings with public capital, it is common to assume that the government claims a constant fraction of public investment to total output each period, which is clearly a restrictive assumption. The goal of the paper is twofold: first, to find out a more reasonable rule for public investment, consistent with US data, than the constant-ratio rule; second, to analyze the impact of that rule on welfare and judge the public investment downsizing process held in US since the end of the sixties. Calibrating for US, the model simulation captures the public investment downsizing process held during 1960-2001, as well as the post-1970 slowdown in private...

  16. Double dividend in an endogenous growth model with pollution and abatement

    Fernández Casillas, Esther; Pérez Sánchez, Rafaela María; Ruiz Andújar, Jesús
    This paper discusses wether by implementing an environmental tax reform, a government may achieve a double dividend. We consider the simplest endogenous growth model (AK model) and include a negative environmental externality in the utility function. Pollution flow can be reduced by means of private abatenment activities. There is a predetermined non-optimal level of public spending financed by environmental taxes and pre-existing taxes on income and consumption. The major contribution of the paper is to show that, under this simple framework, a double dividend may arise if tax reform consists of substituing environmental tax for income tax, in such a...

  17. Environmental fiscal polices might be ineffective to control pollution

    Fernández Casillas, Mª Esther; Pérez Sánchez, Rafaela María; Ruiz Andújar, Jesús
    In a one sector growth model with pollution in the utility function, the competitive equilibrium can be indeterminate for plausible values of the intertemporal substitution elasticity of consumption and under constant returns to scale. The tax rate on pollution does not enter the condition characterizing indeterminacy. This means that the government is not able to control emissions in the economy by using environmental policies. Non-separability between private consumption and pollution in the utility function is crucial for this result.

  18. La transición al euro y la prima de riesgo en el mercado de divisas

    Jimenez-Martin, Juan-Angel; Peruga Urrea, Rodrigo
    Este artículo trata de identificar los determinantes de las primas de riesgo en algunas de las monedas europeas justo antes de la Unión Monetaria. Los autores proponen un modelo de determinación del tipo de cambio y derivan una expresión para la prima forward. Esta expresión incluye variables monetarias y de producción y como novedad incorpora el efecto de la incertidumbre derivada de la política macroeconómica del estado. Esto es la principal contribución teórica del papel. Bajo supuestos estándar, esta fórmula se simplifica sustancialmente y permite aplicar el análisis de regresión. Después se estiman regresiones para cada una de las monedas,...

  19. Comparación de la eficiencia técnica de los sectores productivos regionales: 1980-1995

    Delgado Rodríguez, María Jesús; Álvarez Ayuso, Inmaculada
    The aim of this article is to estimate the technical efficiency of the productive regional sectors and explore the influence of the infrastructure endowments in this analysis. To do this, we used the non parametric approach of DEA to compute Malmquist productivity indexes that allow us to descompose productivity growth into efficiency change and technical progress. Our results suggest that productive infrastructure allows to obtain gains in pure and scale technical efficiency that have contributed to productivity in growth in the Spanish economy over the period 1980-1995.

  20. Contenido informativo de los cambios de rating en el mercado de valores español

    Abad Romero, Pilar; Robles Fernández, María Dolores
    En este trabajo se analiza el efecto de los cambios de rating de la deuda corporativa sobre los precios de las acciones. Este tema no ha sido analizado previamente en el mercado de valores español. Se analizan los cambios en la calificación del riesgo de la deuda otorgada por agencias como Moody’s o Standard and Poor’s, entre otras. En un mercado eficiente, si los cambios de rating contienen información nueva se debería observar algún tipo de respuesta. La metodología utilizada es el estudio de eventos. La evidencia encontrada indica que los cambios de rating contienen información útil. Las bajadas de calificación...

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