Lo visual como construcción. Desarrollo de un modelo pictórico de representación de la imagen

903 páginas, bibliografía en páginas 854-895, glosario en páginas 896-903

Does the Term Spread play a role in the FED's reaction function? An Empirical Investigation

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of a Fed’s reaction function (FRF) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an alternative monthly indicator of general economic activity suggested by Stock and Watson (1999), and (iv) considers interest rate smoothing. The estimation results show the existence of three switching regimes, two characterized by low volatility and the remaining regime by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the rate of inflation and the economic activity index depends on the regime. The estimation results also show robust empirical evidence that the importance of the term spread in the FRF has increased over the sample period and the FRF has been more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period.

An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.

Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.

Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates

This paper considers the basic present value model of interest rates under rational expectations with two additional features. First, following McCallum (1994), the model assumes a policy reaction function where changes in the short-term interest rate are determined by the long-short spread. Second, the short-term interest rate and the risk premium processes are characterized by a Markov regime-switching model. Using US post-war interest rate data, this paper finds evidence that a two-regime switching model fits the data better than the basic model. The estimation results also show the presence of two alternative states displaying quite different features.

Is there a Phillips Curve in the US and the EU15 Countries? An empirical investigation

This paper studies the comovement between output and inflation in the EU15 countries. Following den Haan (2000), I use the correlations of VAR forecast errors at different horizons in order to analyze the output-inflation relationship. The empirical results show that eight countries display a significant positive comovement between output and inflation. Moreover, the empirical evidence suggests that a Phillips curve phenomenom is more likely to be detected in countries where inflation is more stable.

The role of the term spread in an augmented Taylor rule: An empirical investigation

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of an augmented version of the Taylor rule (ATR) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an alternative monthly indicator of general economic activity suggested by Stock and Watson (1999), and (iv) considers interest rate smoothing. The estimation results show the existence of switching regimes, one characterized by low volatility and the other by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the term spread, inflation and the economic activity index depend on the regime. The estimation results also show robust empirical evidence that the ATR has been more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period. However, a closer look at the Greenspan period shows the existence of two alternative regimes and that the response of the Fed funds rate to inflation has not been significant during this period once the term spread is considered.

Key business factors for eco-innovation: an overview of recent firm-level empirical studies

[EN] The increasing interest in eco-innovation or environmental innovation as a strategy not only to address the serious global environmental problems but also as a source of competitive advantages for companies and for the emergence of new business areas, leads us to try to identify the different factors that act as determinants of its development and adoption at the micro level.

Consumer Expertise or Credit Risk? An empirical analysis of mortgage pricing

Loan mortgage interest rates are usually the result of a bank-customer negotiation process. Credit risk, consumer cross-buying potential, bundling, financial market competition and other features affecting the bargaining power of the parties could affect price. We argue that, since mortgage loan is a complex product, consumer expertise could be a relevant factor for mortgage pricing. Using data on mortgage loan prices for a sample of 1055 households for the year 2005 (Bank of Spain Survey of Household Finances, EFF-2005), and including credit risk, costs, potential capacity of the consumer to generate future business and bank competition variables, the regression results indicate that consumer expertise-related metrics are highly significant as predictors of mortgage loan prices. Other factors such as credit risk and consumer cross-buying potential do not have such a significant impact on mortgage prices. Our empirical results are affected by the credit conditions prior to the financial crisis and could shed some light on this issue.

Are Bar Associations Anticompetitive? An Empirical Analysis of Recommended Prices for Legal Services in Spain

The European Commission Report on Competition in Professional Services found that recommended prices by professional bodies have a significant negative effect on competition since they may facilitate the coordination of prices between service providers and/or mislead consumers about reasonable price levels. Professional associations argue, first, that a fee schedule may help their members to properly calculate the cost of services avoiding excessive charges and reducing consumers’ searching costs and, second, that recommended prices are very useful for cost appraisal if a litigant is condemned to pay the legal expenses of the opposing party. Thus, recommended fee schedules could be justified to some extent if they represented the cost of providing the services. We test this hypothesis using cross‐section data on a subset of recommended prices by 52 Spanish bar associations and cost data on their territorial jurisdictions. Our empirical results indicate that prices recommended by bar associations are unrelated to the cost of legal services and therefore we conclude that recommended prices have merely an anticompetitive effect.

Empirical Doppler Characterization of Signals Scattered by Wind Turbines in the UHF Band under Near Field Condition

Time variability of the scattering signals from wind turbines may lead to degradation problems on the communication systems provided in the UHF band, especially under near field condition. In order to analyze the variability due to the rotation of the blades, this paper characterizes empirical Doppler spectra obtained from real samples of signals scattered by wind turbines with rotating blades under near field condition. A new Doppler spectrum model is proposed to fit the spectral characteristics of these signals, providing notable goodness of fit. Finally, the effect of this kind of time variability on the degradation of OFDM signals is studied.

USP1 deubiquitinase: cellular functions, regulatory mechanisms and emerging potential as target in cancer therapy

12 p.

Daily scale wintertime sea surface temperature and IPC-Navidad variability in the southern Bay of Biscay from 1981 to 2010

The combination of remotely sensed gappy Sea surface temperature (SST) images with the missing data filling DINEOF (data interpolating empirical orthogonal functions) technique, followed by a principal component analysis of the reconstructed data, has been used to identify the time evolution and the daily scale variability of the wintertime surface signal of the Iberian Poleward Current (IPC), or Navidad, during the 1981-2010 period. An exhaustive comparison with the existing bibliography, and the vertical temperature and salinity profiles related to its extremes over the Bay of Biscay area, show that the obtained time series accurately reflect the IPC-Navidad variability. Once a time series for the evolution of the SST signal of the current over the last decades is well established, this time series is used to propose a physical mechanism in relation to the variability of the IPC-Navidad, involving both atmospheric and oceanic variables. According to the proposed mechanism, an atmospheric circulation anomaly observed in both the 500 hPa and the surface levels generates atmospheric surface level pressure, wind-stress and heat-flux anomalies. In turn, those surface level atmospheric anomalies induce mutually coherent SST and sea level anomalies over the North Atlantic area, and locally, in the Bay of Biscay area. These anomalies, both locally over the Bay of Biscay area and over the North Atlantic, are in agreement with several mechanisms that have separately been related to the variability of the IPC-Navidad, i.e. the south-westerly winds, the joint effect of baroclinicity and relief (JEBAR) effect, the topographic beta effect and a weakened North Atlantic gyre.

Viability Conditions for a Compartmentalized Protometabolic System: A Semi-Empirical Approach

In this work we attempt to find out the extent to which realistic prebiotic compartments, such as fatty acid vesicles, would constrain the chemical network dynamics that could have sustained a minimal form of metabolism. We combine experimental and simulation results to establish the conditions under which a reaction network with a catalytically closed organization (more specifically, an (M, R)-system) would overcome the potential problem of self-suffocation that arises from the limited accessibility of nutrients to its internal reaction domain. The relationship between the permeability of the membrane, the lifetime of the key catalysts and their efficiency (reaction rate enhancement) turns out to be critical. In particular, we show how permeability values constrain the characteristic time scale of the bounded protometabolic processes. From this concrete and illustrative example we finally extend the discussion to a wider evolutionary context.

Downscaling of surface moisture flux and precipitation in the Ebro Valley (Spain) using analogues and analogues followed by random forests and multiple linear regression

In this paper, reanalysis fields from the ECMWF have been statistically downscaled to predict from large-scale atmospheric fields, surface moisture flux and daily precipitation at two observatories (Zaragoza and Tortosa, Ebro Valley, Spain) during the 1961-2001 period. Three types of downscaling models have been built: (i) analogues, (ii) analogues followed by random forests and (iii) analogues followed by multiple linear regression. The inputs consist of data (predictor fields) taken from the ERA-40 reanalysis. The predicted fields are precipitation and surface moisture flux as measured at the two observatories. With the aim to reduce the dimensionality of the problem, the ERA-40 fields have been decomposed using empirical orthogonal functions. Available daily data has been divided into two parts: a training period used to find a group of about 300 analogues to build the downscaling model (1961-1996) and a test period (19972001), where models' performance has been assessed using independent data. In the case of surface moisture flux, the models based on analogues followed by random forests do not clearly outperform those built on analogues plus multiple linear regression, while simple averages calculated from the nearest analogues found in the training period, yielded only slightly worse results. In the case of precipitation, the three types of model performed equally. These results suggest that most of the models' downscaling capabilities can be attributed to the analogues-calculation stage.