Fluctuaciones cíclicas y raíces unitarias en la economia española, 1850-1990

En este artículo se analiza el grado de persistencia de las fluctuaciones cíclicas en la economía española. En concreto, se estudia si el PIB y el PIB por capita de esta economía presentan una raíz unitaria. Con el fin de evitar el sesgo a aceptar raíces unitarias cuando se producen cambios en la función de tendencia, como el originado por la Guerra Civil española (1936-1939), se han aplicado varios contrastes que tienen en cuenta los cambios en la función de tendencia. Los resultados obtenidos muestran que existe una importante evidencia en el sentido que el logaritmo del PIB presenta una raíz unitaria. La principal implicación de este resultado es que los shocks sobre el producto tienen efectos permanentes en el nivel del PIB de la economía española, aun cuando esta hipótesis es más difícil de aceptar por el PIB por capita vista la evidencia contradictoria encontrada a favor de la misma.

Regional economic dynamics and convergence in the european union

Deepening in the European Union (EU) integration process has enhanced the question of economic disparities at a regional level. Theconvergence process observed until the late seventies was exhausted onwards incoincidence with important changes in the economic activity. The paper showshow these factors would have provoked a regional differenciated response that,despite being important, would have not strengthened the decrease in regionalinequalities. We use an alternative and (in our opinion) richer approach to thetraditional convergence analysis, where the evolution of the whole regionaldistribution is what matters and not that of a representative economy. Moreover,when analysing inequalities among regional economies, the geographical spaceacquire an outstanding role. Hence, we apply spatial association tests and relatethem to the convergence analysis

An eclectic third generation model of financial and exchange rate crises

[cat] En aquest treball es presenta un model eclèctic que sistematitza la dinàmica de les crisis que s’autoconfimen, usant els principals aspectes de les tres tipologies dels models de crisis canviàries de tercera generació, amb la finalitat de descriure els fets que precipiten la renúncia al manteniment d’una paritat fixada. Les contribucions més notables són les implicacions per a la política econòmica, així com la pèrdua del paper del tipus de canvi com instrument d’ajust macroeconòmic, quan els efectes de balanç són una possibilitat real.

Fluctuaciones cíclicas y raíces unitarias en la economia española, 1850-1990

En este artículo se analiza el grado de persistencia de las fluctuaciones cíclicas en la economía española. En concreto, se estudia si el PIB y el PIB por capita de esta economía presentan una raíz unitaria. Con el fin de evitar el sesgo a aceptar raíces unitarias cuando se producen cambios en la función de tendencia, como el originado por la Guerra Civil española (1936-1939), se han aplicado varios contrastes que tienen en cuenta los cambios en la función de tendencia. Los resultados obtenidos muestran que existe una importante evidencia en el sentido que el logaritmo del PIB presenta una raíz unitaria. La principal implicación de este resultado es que los shocks sobre el producto tienen efectos permanentes en el nivel del PIB de la economía española, aun cuando esta hipótesis es más difícil de aceptar por el PIB por capita vista la evidencia contradictoria encontrada a favor de la misma.

Regional economic dynamics and convergence in the european union

Deepening in the European Union (EU) integration process has enhanced the question of economic disparities at a regional level. Theconvergence process observed until the late seventies was exhausted onwards incoincidence with important changes in the economic activity. The paper showshow these factors would have provoked a regional differenciated response that,despite being important, would have not strengthened the decrease in regionalinequalities. We use an alternative and (in our opinion) richer approach to thetraditional convergence analysis, where the evolution of the whole regionaldistribution is what matters and not that of a representative economy. Moreover,when analysing inequalities among regional economies, the geographical spaceacquire an outstanding role. Hence, we apply spatial association tests and relatethem to the convergence analysis

An eclectic third generation model of financial and exchange rate crises

[cat] En aquest treball es presenta un model eclèctic que sistematitza la dinàmica de les crisis que s’autoconfimen, usant els principals aspectes de les tres tipologies dels models de crisis canviàries de tercera generació, amb la finalitat de descriure els fets que precipiten la renúncia al manteniment d’una paritat fixada. Les contribucions més notables són les implicacions per a la política econòmica, així com la pèrdua del paper del tipus de canvi com instrument d’ajust macroeconòmic, quan els efectes de balanç són una possibilitat real.

Venture capital financing : screening and contracting under assymetric information

Structure of the Thesis This thesis consists of 5 sections. Section 1 starts with the problem definition and the presentation of the objectives of this thesis. Section 2 introduces a presentation of the theoretical foundations of Venture financing and a review of the main theories developed on Venture investing. It includes a taxonomy of contracting clauses relevant in venture contracting, the conflicts they address, and presents some general observations on contractual clauses. Section 3 presents the research findings on the analysis of a European VC's deal flow and investment screening linked to the prevailing market conditions. Section 4 focuses an empirical study of a European VC's investment process, the criteria it uses to make its investments. It presents empirical findings on the investment criteria over time, business cycles, and investment types. It also links these criteria to the VC's subsequent performance. Finally, section 5 presents an empirical research on the comparison of the legal contracts signed between European and United States Venture Capitalists and the companies they finance. This research highlights some of the contracting practices in Europe and the United States.

Essays in equilibrium asset pricing

Introduction This dissertation consists of three essays in equilibrium asset pricing. The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence. The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models. Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.

Safety Traps

Fear of risk provides a rationale for protracted economic downturns. We develop a real business cycle model where investors with decreasing relative risk aversion choose between a risky and a safe technology that exhibit decreasing returns. Because of a feedback effect from the interest rate to risk aversion, two equilibria can emerge: a standard equilibrium and a "safe" one in which investors invest in safer assets. We refer to the dynamics of this second equilibrium as a safety trap because it is self-reinforcing as investors accumulate more wealth and show it to be consistent with Japan's lost decade.

Best practice report on policy learning infrastructures in innovative labour market policies

This report synthesizes the findings of 11 country reports on policy learning in labour market and social policies that were conducted as part of WP5 of the INSPIRES project, which is funded by the 7th Framework Program of the EU-Commission. Notably, this report puts forward objectives of policy learning, discusses tools, processes and institutions of policy learning and presents the impacts of various tools and structures of the policy learning infrastructure for the actual policy learning process. The report defines three objectives of policy learning: evaluation and assessment of policy effectiveness, vision building and planning, and consensus building. In the 11 countries under consideration, the tools and processes of the policy learning, infrastructure can be classified into three broad groups: public bodies, expert councils, and parties, interest groups and the private sector. Finally, we develop four recommendations for policy learning: Firstly, learning processes should keep the balance between centralisation and plurality. Secondly, learning processes should be kept stable beyond the usual political business cycles. Thirdly, policy learning tools and infrastructures should be sufficiently independent from political influence or bias. Fourth, Policy learning tools and infrastructures should balance out mere effectiveness, evaluation and vision building.

Globaalien toimijoiden kilpailuseuranta-analyysi paperipigmenttialalla

Työssä tarkastellaan paperipigmenttialaa ja globaaleja paperipigmenttitoimittajia. Työn tarkoituksena on selvittää merkittävät paperipigmenttivalmistajat ja heidän roolinsa kyseisellä toimialalla. Tärkeimpiä paperipigmenttejä ovat kalsiumkarbonaattipitoiset pigmentit, kaoliini ja talkki. Paperipigmenttien toimittajia on ympäri maailmaa. Toimialan kilpailu on kasvanut viimeisen kymmenen vuoden aikana ja globaalien toimittajien osuus on ollut merkittävää kilpailun kehityksessä. Paperiteollisuus on suurin paperimineraalien kuluttaja. Mineraalipohjaisilla paperipigmenteillä voidaan parantaa paperin laadullisia ominaisuuksia sekä vähentää tuotantokustannuksia. Paperipigmenttien kysyntä on riippuvainen paperiteollisuuden tarpeista. Paperipigmenttialan kehitys on vahvasti sidoksissa paperiteollisuuden rakenteen muutoksiin. Paperipigmenttialan sisäisessä kilpailussa globaalit yritykset ovat suunnan näyttäjiä. Kilpailua käydään sekä paikallisella että kansainvälisellä tasolla. Globaaleilla yrityksillä on suuremmat voimavarat vastata paperiteollisuuden tuomiin haasteisiin. Kilpailua käydään niin asiakkaista kuin raaka-ainelähteistä. Yrityksiltä vaaditaan entistä enemmän tiettyjä ominaisuuksia, kuten raaka-aineita, rahoituksellista voimaa ja osaamista pärjätäkseen globaalissa toimintaympäristössä.

Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors

In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a novelty, the idiosyncratic volatility is obtained by conditioning upon macro-finance factors as well as upon traditional asset pricing factors. The macro-finance factors are constructed from a large pool of macroeconomic and financial variables. Cleaning for macro-finance e§ects reverses the puzzling negative relation between returns and idiosyncratic volatility documented previously. Portfolio analysis shows that the effects from macro-finance factors are economically strong. The relation between idiosyncratic volatility and returns does not vary with the NBER business cycles. The empirical results are highly robust. Keywords: Idiosyncratic volatility puzzle; Macro-finance predictors; Factor analysis; Business cycle. JEL Classifications: G12; G14

Combine to compete: improving fiscal forecast accuracy over time

Budget forecasts have become increasingly important as a tool of fiscal management to influence expectations of bond markets and the public at large. The inherent difficulty in projecting macroeconomic variables – together with political bias – thwart the accuracy of budget forecasts. We improve accuracy by combining the forecasts of both private and public agencies for Italy over the period 1993-2012. A weighted combined forecast of the deficit/ ratio is superior to any single forecast. Deficits are hard to predict due to shifting economic conditions and political events. We test and compare predictive accuracy over time and although a weighted combined forecast is robust to breaks, there is no significant improvement over a simple RW model.

Combine to compete: improving fiscal forecast accuracy over time

Budget forecasts have become increasingly important as a tool of fiscal management to influence expectations of bond markets and the public at large. The inherent difficulty in projecting macroeconomic variables – together with political bias – thwart the accuracy of budget forecasts. We improve accuracy by combining the forecasts of both private and public agencies for Italy over the period 1993-2012. A weighted combined forecast of the deficit/ ratio is superior to any single forecast. Deficits are hard to predict due to shifting economic conditions and political events. We test and compare predictive accuracy over time and although a weighted combined forecast is robust to breaks, there is no significant improvement over a simple RW model.