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E-PrintsUCM (58,036 recursos)
This site is a university repository providing access to the publication output of the institution. The site interface is available in English or Spanish.

Tipo = Documento de trabajo o Informe técnico

Mostrando recursos 1 - 20 de 1,349

1. A general test for univariate seasonality - Flores de Frutos, Rafael; Novales Cinca, Alfonso
We propose a general test for univariate seasonality. Starting from a multivariate model for the seasons. some constraints must hold both, on the covariance matrix of the innovations, as well as among coefficients across equations, for a univariate representation of seasonality to be appropriate. Appied to a set of 23 U.K. macroeconomic variables, our test shows that a multivariate representation of seasonality should be preferred in at least 8 cases.

2. Efectos dinámicos de perturbaciones de demanda y oferta en la economía española - Fernández Casillas, María Esther; Fernández Serrano, José Luis; Manzano González, Baltasar; Ruiz Andújar, Jesús
Se analiza la importancia de los shocks de oferta y demanda de origen nacional en la explicación de las fluctuaciones de la economía española estimando un vector autorregresivo para el PIB y la tasa de paro. Se obtiene, en primer lugar, que las perturbaciones de demanda de origen interno no inducen cambios a largo plazo sobre ninguna de las variables. Sin embargo, las innovaciones de oferta afectan al PIB permanentemente. En segundo lugar, los shocks de demanda internos tienen un papel decisivo en las fluctuaciones de la economía real. Finalmente, los resultados apuntan hacia una elevada rigidez laboral.

3. Capital público y redistribución presupuestaria gubernamental - Blázquez, Jorge; Sebastian, Miguel
La literatura sobre los efectos económicos de la inversión pública suele centrarse en la relación entre capital público y productividad, estimando funciones de producción agregada. Este procedimiento sesga al alza el efecto beneficioso del capital público al ignorar la reasignación de recursos, fundamentalmente de capital privado, necesaria para financiarlo. En este trabajo consideramos conjuntamente la externalidad en la producción y la restricción presupuestaria gubernamental, 10 que permite calcular un nivel óptimo de capital público. Se demuestra que los criterios puramente tecnológicos sobredimensionan el capital publico y que, para un rango específico de parámetros tecnológicos, esta sobredimensión ocurre incluso cuando hay...

4. A model of appointing governors to the Central Bank - García de Paso, José I.
In this paper, a formal model has been developed to analyze the appointment of individuals to serve as central bank governors in a two-party political system when confinnation hearings exist and monetary policy is determined according to a majority-rule voting system. lile major results of the paper are that appointed governors will tend to be more moderate (i) if the nominating party and the confirming party do not coincide, (H) the lower the chance the nominating party and the confrrming party coincide in the future, (in) if the term governors must serve out overlaps an electian, (iv) as the next...

5. Cointegration, Error Correction Models and Forecasting: The U.K. Demand for Money - García Ferrer, Antonio; Novales Cinca, Alfonso
We analyze the ability of recent methods proposed for the specification and estimation of relationships among nonstationary variables, to overcome the traditional instability of empirical money demand functions. We use a 1964-1982 sample for the UK which has been widely used in the literature. The forecasting ability of the resulting model is then compared with that of alternative, reduced form specifications.

6. Horizontal and vertical inequality in a social welfare framework - Salas, Rafael
In this paper a new definition of horizontal inequality is adopted. It is defined in terms of the distributional change within intervals of similar households, produced by the Tax System. We believe that this definition is better suited for measurement of the comparative injustice that may be caused by the Tax System among similar households. In particular a within-group Atkinson inequality index applied to one minus the tax rates of similar households is proposed. It enables us to introduce this concept in a general social welfare framework together with efficiency and vertical equity redistribution considerations, where the horizontal equity and...

7. On univariate forecasting comparisons: the case of the spanish automobile industry - García-Ferrer, Antonio; Hoyo, Juan del; Martín-Arroyo, Antonio; Young, Peter
This paper investigates the forecasting ability of a new univariate models family of unobservable components, when compared with other more standard univariate methodologies. A forecasting exercice is carried out with each method, in monthly time series of automobile sales. The accuracy of the differents methods is assesed by comparing several measures of forecasting performance on the out of sample predictions for various horizons as well as differents assumptions on the models parameters.

8. Equívocos y singularidades en el sistema financiero español - Terceiro Lomba, Jaime
En este trabajo se reúnen un conjunto de análisis y opiniones, fruto de la experiencia del autor, que giran en tomo a las peculiaridades del sector financiero en España, tanto en lo que hace referencia a los análisis más frecuentes del mismo, como a situaciones institucionales singulares que en él tienen lugar, El trabajo se estructura, por tanto, desde una doble vertiente, cuantitativa y cualitativa. Con respecto a la primera, se analiza la posible existencia de disparidades detectables entre la actividad de cajas y bancos a partir de sus estados financieros y se discute si tiene algún sentido el uso...

9. A retrial model at nonstationary regime - Vázquez, Mercedes
In this article we analyze a model of a retrial queueing system where customers in the orbit join a queue with FCFS discipline. We adopt a nostationary regime. We derive some probabilities using fue theory of semiregenerative processes. We obtain an integral estimator for the blocking probability. We also find lower and upper bounds for the l1 distance between the probability distributions in an M/G/1/oo retrial model and the M/G/1/ queue at stationary regime.

10. A retrial system with constant attempts - Vázquez, Mercedes
In this article we study a retrial queueing system in which customers in orbit join a queue with a FIFO discipline. We use the process (M(t),N(t) where M(t) represents the number of arrivals during a elapsed service time until t while N(t) stands for the random number of customers in orbit al time t. We obtain the probabitity in the steady state in the M/M/1 case. The joint generating function in the M/G/1 case is also studied.

11. Trade balances: do exchange rates matter? - Peruga, Rodrigo
The concern about the persistence of the US trade deficit has generated a lively debate over its causes and the role of exchange rates in restoring external balance. While some authors argue that the traditional adjustment process linking the behavior of the trade balance to movements in the real exchange rate and the domestic and foreign income levels has worked, recent research has found no empirical evidence in support of a stable long-run relationship between these variables, In this paper I use the approach in Johansen (1988,1991) to test for coiontegration between US bilateral trade balances, exchange rates and incomes...

12. Testing theories of economic fluctuations and growth in early development. (The case of the Chesapeake tobacco economy) - Flores de Frutos, Rafael; Pereira, Alfredo M.
This paper suggests a general econometric approach to the empirical testing of the staple theory. The methodology is based upon a multivariate stochastic time series analysis adjusted to accommodate the presence of co-integration. Consistent with the nature of the problem under consideration, the methodology does not require any a priori strucrural assumptions about the dynamic relations among relevant variables. The empirical part of the paper focuses on the dynamic relationships among tobacco prices in the colonial Chesapeake economy and tobacco demand and supply conditions. The empirical evidence gives strong support to the basic tenets of the staple theory: the central...

13. Distribución de la renta y resdistribución a través del IRPF en España - Salas del Marmol, Rafael
En este papel se analiza la influencia de la distribución de la renta antes de impuestos sobre la redistribución del IRPF. Para ello se requiere estudiar la influencia de la distribución inicial sobre la progresividad y los tipos impositivos medios. El tema es importante por dos motivos. En primer lugar, esta metodología nos permite aislar el efecto puro del Sistema Fiscal y, en segundo término, nos permite detectar el grado de redistribución automática inherente al IRPF. Contrastamos empíricamente algunos resultados teóricos y demostramos la importancia de la distribución antes de impuestos en la evolución de la capacidad rcdistribuliva del IRPF....

14. Una nota sobre la estimación eficiente de modelos con parámetros cambiantes - Sotoca López, Sonia
Standard estimation procedures for the time-varying parameters model suppose that the variances of the noises in the model are known. Obviously, this assumption is not realistic in most econometric applications. Besides, the results of these methods are sensitive to the initial conditions of the algorithm, a fact that is often overlooked by the literature. In this paper, we propose an extension of the recursive algorithm proposed by Cooley, Rosenberg y Wall (1977), which is independent of initial conditions and includes on-line estimation of all the relevant variances. The results obtained with this method compare favourably with those obtained by standard...

15. Quality Weighted Citations Versus Total Citations in the Sciences and Social Sciences, with an Application to Finance and Accounting - Chang, Chia-Lin; McAleer, Michael
The premise underlying the use of citations data is that higher quality journals generally have a higher number of citations. The impact of citations can be distorted in a number of ways. Journals can, and do, inflate the number of citations through self citation practices, which may be coercive. Another method for distorting journal impact is through a set of journals agreeing to cite each other, that is, by exchanging citations. This may be less coercive than self citations, but is nonetheless unprofessional and distortionary. Both journal self citations and exchanged citations have the effect of increasing a journal’s impact...

16. Permanent components in seasonal variables - Flores de Frutos, Rafael; Novales Cinca, Alfonso
We propose considering a seasonal time series as the realization of a s-variate stochastic process, s being the seasonal periodo In this paper we propose a test statistic for the hypothesis of a univariate versus a multivariate representation of seasonality. We find evidence against the more standard univariate representation for some key variables of the U.S. economy. When a VAR representation is chosen for each of these variables and its residuals are properly orthogonalized, forecasting perfomance is improved, relative to univariate ARIMA models. Also, a Permanent-Transitory decomposition of each variable reveals that permanent components exhibit important seasonal fluctuations. This supports...

17. Observaciones anómalas en modelos de elección binaria - Gracia-Díez, Mercedes; Serrano García, Gregorio R.
En este trabajo se trata el problema de la existencia de observaciones anómalas en modelos de elección binaria. Se demuestra que la presencia de estas observaciones afecta a la consistencia de los estimadores de máxima verosimilitud. En cuanto a su detección: (i) se muestra que el análisis de residuos no es un instrumento adecuado, debido a la censura de la variable dependiente y (ii) se deriva un estadístico. similar al propuesto por Cook (1977) para modelos lineales, que resulta apropiado para la detección de anomalías en este tipo de modelos. Los resultados teóricos se contrastan con datos simulados.

18. Effects of public investment in infraestructures on the spanish economy - Flores de Frutos, Rafael; Gracia Díez, Mercedes; Pérez Amaral, Teodosio
The objetive of this paper is to evaluate the short and long term effects of public investment in infraestructure on aggregate output, labor and capital formation in the private sector. The problem is analyzed in a dynamic multivariate framework, which allows for explicit consideration of feedback among all the variables. This approach departs from the current literature, which relies on a single equation model to estimate production functions. The results suggest a positive long term effect of public investment on the private sector variables.

19. Estadísticos para la detección de observaciones anómalas en modelos de elección binaria: una aplicación con datos reales - Serrano García, Gregorio R.
Este trabajo trata el problema de la detección de observaciones anómalas en modelos de elección binaria. Partiendo del estadístico propuesto en Gracia-Díez y Serrano (1994) que mide la influencia individual de cada observación sobre el vector de parámetros estimado, se derivan otros estadísticos que evalúan la influencia individual y de grupos de observaciones sobre i) el vector de probabilidades estimadas e ii) sobre subconjuntos de parámetros y combinaciones lineales de los mismos. También, se generaliza el método de Peña y Yohai (1991) para la detección de observaciones enmascaradas en modelos lineales al caso de los modelos de elección binaria. Finalmente,...

20. A partisan explanation of political monetary cycles - García de Paso, José I.
This paper develops a political monetary model based on partisanship and commitment arguments that explains the likely existence of expansionary monetary policy in pre-election periods irrespective of the incumbent party and of permanent partisan differences in monetary policy. The approach taken is to incorporate the option that political parties elaborate electoral economic programs into a rational partisan electoral model. Our results are consistent with the recent empírical findings of Alesina, Cahen, and Roubini (1992, 1993) for a sample including three decades in 18 OECD economies but without relying on opportinistic governmental behavior.

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