Level shifts in a panel data based unit root test : an application to the rate of unemployment

Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the unidimensional case, it was found to perform poorly when there is a structural break in the time series under the alternative. Here we derive the asymptotic distribution of the test allowing for a shift in the mean, and assess the small sample performance. We apply this new test to show how the hypothesis of (perfect) hysteresis in Spanish unemployment is rejected in favour of the alternative of the natural unemployment rate, when the possibility of a change in the latter is considered.

Regional structure of wages and external economies in Spain

Regional data on wages for the Spanish economy show that workers who live in developed regions earn more than workers in other regions.Literature on external economies provides a possible explanation of why firms do not move from these regions to others where wages are lower. Previous studies for the Spanish case use aggregated sectoral data to explain in terms of external economies why average wages are different across regions. The originalcontribution of this paper consists of using individual data to detect the existenceand nature of external economies as an explanatory cause of territorial wagedifferences. With this aim, we have used individual data from the EPF 1990-91(INE). This information permits us to control the influence of individual and jobcharacteristics on wages to, first, detect the existence of external economies and,second, to test alternative explanations of their presence. The empirical evidenceobtained confirms the relevance of territorial external economies and their influence on wages, as a result of improvements in the productive efficiency of the firm. In concrete terms, the more relevant external economies are associatedwith the regional human capital stock and geographical productive specialisation

An analysis of inflation rates in the European Union using wavelets : strong evidence against unit roots

In this paper we assume inflation rates in European Union countries may in fact be fractionally integrated. Given this assumption, we obtain estimations of the order of integration by means a method based on wavelets coefficients. Finally, results obtained allow reject the unit root hypothesis on inflation rates. It means that a random shock on the rate of inflation in these countries has transitory effects that gradually diminish with the passage of time, that this, said shock hasn¿t a permanent effect on future values of inflation rates

Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series

Potencial de mercado y estructura espacial de los salarios en las regiones españolas, 1955-1995

En este artículo se examina la relación existente entre los salarios de las regiones españolas y su potencial de mercado en el período 1955-1995. Se prueba la existencia de una estructura espacial de los salarios, en la que los salarios disminuyen al alejarnos de las regiones de renta elevada. Este resultado refuerza la hipótesis de la existencia de una dinámica aglomerativa en España durante la segunda mitad del siglo XX. Sin embargo, el efecto del potencial de mercado sobre los salarios disminuye en la segunda parte del período (1975-1995). Este resultado es consistente con la apertura de una senda de dispersión en la localización de la actividad industrial a partir de mediados de los setenta

Objetivo: cuantificar la reproducción

Se estudian en este trabajo algunas magnitudes relacionadas con el enfoque de la reproducción social. Ante todo se hace hincapié en tres ideas fundamentales, las nociones de: a) Salidas menos entradas; b) Salidas dividido por entradas; c) Subsistemas. A continuación se subrayan los obstáculos para la cuantificación directa de estos conceptos, y se repasan las vías sugeridas para sortear las dificultades (por medio de constructos teóricos propuestos por Leontief, von Neumann y Sraffa). Luego se examinan dos nuevos indicadores: la ¿tasaespecífica de excedente¿, que se refiere a los bienes autorreproducibles, y el ¿coeficiente neto de reproducción¿, que se predica de todos los bienes básicos. De pasada se apuntan algunas pistas para establecer indicadores del mismogénero en campos como la economía ecológica y la economía feminista. Por último, se anotan algunas conjeturas relacionadas con la dirección adecuada del cambio técnico

The work of Spanish men. A quantitative analysis based on census data, 1900-1970

This paper presents a historical examination of employment in old age in Spain, in order to characterize this labour segment and identify and analyse its specific problems. One of these problems is the life-cycle deskilling process, already shown for certain national cases. This study explores whether this hypothesis also holds in Spain. The perspective used is essentially quantitative, as our analysis is based on the age-profession tables in Spanish population censuses from 1900 to 1970.

Potencial de mercado y estructura espacial de los salarios en las regiones españolas, 1955-1995

En este artículo se examina la relación existente entre los salarios de las regiones españolas y su potencial de mercado en el período 1955-1995. Se prueba la existencia de una estructura espacial de los salarios, en la que los salarios disminuyen al alejarnos de las regiones de renta elevada. Este resultado refuerza la hipótesis de la existencia de una dinámica aglomerativa en España durante la segunda mitad del siglo XX. Sin embargo, el efecto del potencial de mercado sobre los salarios disminuye en la segunda parte del período (1975-1995). Este resultado es consistente con la apertura de una senda de dispersión en la localización de la actividad industrial a partir de mediados de los setenta

Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series

Vertical Syndication-Proof Competitive Prices in Multilateral Markets

[eng] A multi-sided Böhm-Bawerk assignment game (Tejada, to appear) is a model for a multilateral market with a finite number of perfectly complementary indivisible commodities owned by different sellers, and inflexible demand and support functions. We show that for each such market game there is a unique vector of competitive prices for the commodities that is vertical syndication-proof, in the sense that, at those prices, syndication of sellers each owning a different commodity is neither beneficial nor detrimental for the buyers. Since, moreover, the benefits obtained by the agents at those prices correspond to the nucleolus of the market game, we provide a syndication-based foundation for the nucleolus as an appropriate solution concept for market games. For different solution concepts a syndicate can be disadvantageous and there is no escape to Aumman’s paradox (Aumann, 1973). We further show that vertical syndicationproofness and horizontal syndication-proofness – in which sellers of the same commodity collude – are incompatible requirements under some mild assumptions. Our results build on a self-interesting link between multi-sided Böhm-Bawerk assignment games and bankruptcy games (O’Neill, 1982). We identify a particular subset of Böhm-Bawerk assignment games and we show that it is isomorphic to the whole class of bankruptcy games. This isomorphism enables us to show the uniqueness of the vector of vertical syndication-proof prices for the whole class of Böhm-Bawerk assignment market using well-known results of bankruptcy problems.

Potencial de mercado y estructura espacial de los salarios en las regiones españolas, 1955-1995

En este artículo se examina la relación existente entre los salarios de las regiones españolas y su potencial de mercado en el período 1955-1995. Se prueba la existencia de una estructura espacial de los salarios, en la que los salarios disminuyen al alejarnos de las regiones de renta elevada. Este resultado refuerza la hipótesis de la existencia de una dinámica aglomerativa en España durante la segunda mitad del siglo XX. Sin embargo, el efecto del potencial de mercado sobre los salarios disminuye en la segunda parte del período (1975-1995). Este resultado es consistente con la apertura de una senda de dispersión en la localización de la actividad industrial a partir de mediados de los setenta

Graduate labor mismatch in Central and Eastern Europe

[cat] Utilitzant l’enquesta REFLEX/HEGESCO, aquest article explora la probabilitat de desajustament entre educació i treball a l’Europa de l’Est i Central. Classifiquem els països en dos grups segons la transparència dels títols educatius al mercat de treball. Polònia, la República Txeca i Eslovènia formen el grup amb més transparència, i Hongria, Lituània i Estònia formen el grup amb més opacitat. Analitzem tres tipus de desajustaments: el vertical (infra‐, sobre‐educació), l’horitzontal (desajustament del camp d’estudi) i el desajust en habilitats. Focalitzem l’anàlisi en l’efecte dels camps d’estudi i les competències dels individus en el desajustament del mercat laboral en aquests països. Els resultats mostren importants diferències entre els dos grups de països estudiats.

The Unemployment Benefit System: a Redistributive or an Insurance Institution?

[eng] In this paper we analyze how the composition of labor taxation affects unemployment in a unionized economy with capital accumulation and an unemployment benefit system. We show that if the unemployment benefit system is gross Bismarckian then the unemployment rate is reduced if wage taxes are decreased (and thus payroll taxes are increased). However, if the unemployment benefit system is net Bismarckian then the unemployment rate does not depend on how the system is financed. Besides, in a Beveridgean system the labor tax composition does not affect the unemployment rate if and only if the unemployed do not pay taxes and the employed pay a constant marginal tax rate. We also analyze when an unemployment benefit budget-balanced rule makes the economy to have a hysteresis process.

Inter-firm labor mobility and knowledge diffusion: a theoretical approach

[cat] Analitzem una economia amb dues característiques principals: la mobilitat dels treballadors implica transferència de coneixement i la productivitat de l’empresa augmenta amb l’intercanvi de coneixement. Cada empresa desenvolupa un tipus de coneixement que serà trasmès a la resta de la indústria mitjançant la mobilitat de treballadors. Estudiem dues estructures de mercat laboral i utilitzant un anàlisi comparatiu derivem les implicacions del model. Els resultats revelen com la mobilitat de treballadors depèn en la varietat i nivell del coneixement, la presència de costos de mobilitat, les institucions, la capacitat d’absorvir coneixement per part de les empreses i la mida de la indústria. Els resultats no depenen de l’estructura del mercat laboral.

Migration Flows and Quality of Life in a Metropolitan Area: the Case of Barcelona-Spain

The phenomenon of human migration is certainly not new and it has been studied from a variety of perspectives. Yet, the attention on human migration and its determinant has not been fading over time as confirmed by recent contributions (see for instance Cushing and Poot 2004 and Rebhun and Raveh 2006). In this paper we combine the recent theoretical contributions by Douglas (1997) and Wall (2001) with the methodological advancements of Guimarães et al. (2000, 2003) to model inter-municipal migration flows in the Barcelona area. In order to do that, we employ two different types of count models, i.e. the Poisson and negative binomial and compare the estimations obtained. Our results show that, even after controlling for the traditional migration factors, QoL (measured with a Composite Index which includes numerous aspects and also using a list of individual variables) is an important determinant of short distance migration movements in the Barcelona area.