Recursos de colección

E-Prints Complutense (103.246 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 - 14 de 14

  1. 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.

  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. 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).

  6. 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...

  7. 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...

  8. 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...

  9. 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...

  10. 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.

  11. Experimentos de política fiscal por el lado de la oferta en un modelo monetario de crecimiento endógeno

    Ruiz Andújar, Jesús
    En este trabajo nos preguntamos, en el marco de un modelo de crecimiento endógeno con acumulación de capital humano, en un contexto determinista, si es posible reducir el tipo impositivo de diferentes impuestos financiadores de una senda predeterminada de gasto de modo que se permita equilibrar el presupuesto en el largo plazo (sin incrementar en períodos posteriores los impuestos). Si se encuentran estas menores tasas impositivas que equilibran el valor presente del presupuesto del gobierno, estará justificada la reducción de impuestos ya que se generarán incrementos en el bienestar. Además nos preguntamos qué tipo impositivo es adecuado reducir, desde el punto de...

  12. Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market

    Novales Cinca, Alfonso; Lafuente Luengo, Juan Ángel
    We provide an analytical discussion of the optimal hedge ratio under discrepancies between the futures market price and its theoretical valuation according to the cost-of-carry model. Assuming a geometric Brownian motion for spot prices, we model mispricing as a speci…c noise component in the dynamics of futures market prices. Empirical evidence on the model is provided for the Spanish stock index futures. Ex-ante simulations with actual data reveal that hedge ratios that take into account the estimated, time-varying, correlation between the common and speci…c disturbances, lead to using a lower number of futures contracts than under a systematic unit ratio,...

  13. Volatility transmission acros the term structure of swap markets: international evidence

    Abad , Pilar; Novales Cinca, Alfonso
    We characterize the behavior of volatility across the term structure of interest rate swaps in three currencies (Deutsche mark, Japanese yen and US Dollar)

  14. A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach

    Pérez Amaral, Teodosio; Gallo, Giampiero M.; White, Halbert
    A new method, called relevant transformation of the inputs network approach (RETINA) is proposed as a tool for model building and selection. It is designed to improve some of the shortcomings of neural networks. It has the flexibility of neural network models, the concavity of the likelihood in the weights of the usual likelihood models, and the ability to identify a parsimonious set of attributes that are likely to be relevant for predicting out of sample outcomes. RETINA expands the range of models by considering transformations of the original inputs; splits the sample in three disjoint subsamples, sorts the candidate regressors by...

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