EMU sovereign debt market crisis: Fundamentals-based or pure contagion?

We empirically investigate whether the transmission of the recent crisis in euro area sovereign debt markets was due to fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to the German bund for a sample of both central and peripheral countries from January 1999 to December 2012. First we apply a dynamic approach to analyse the evolution of the degree of Grangercausality within the 90 pairs of sovereign bond yield spreads in our sample, in order to detect episodes of significantly increased causality between them (which we associate with contagion) and episodes of significantly reduced interconnection (which we associate with immunisation). We then use an ordered logit model to assess the determinants of the occurrence of the episodes detected. Our results suggest the importance of variables proxying market sentiment and of variables proxying macrofundamentals in determining contagion and immunisation outcomes. Therefore, our findings underline the coexistence of “pure” and “fundamentals-based contagion” during the recent European debt crisis.

Is the matching function Cobb-Douglas?

[cat] Estudiem les propietats teòriques que una funció d.emparellament ha de satisfer per tal de representar un mercat laboral amb friccions dins d'un model d'equilibri general amb emparellament aleatori. Analitzem el cas Cobb-Douglas, CES i altres formes funcionals per a la funció d.emparellament. Els nostres resultats estableixen restriccions sobre els paràmetres d'aquests formes funcionals per assegurar que l.equilibri és interior. Aquestes restriccions aporten raons teòriques per escollir entre diverses formes funcionals i permeten dissenyar tests d'error d'especificació de model en els treballs empírics.

Entrepreneurial skills and over-education five years later. A comparison between Spain and the Netherlands

[cat] El fenòmen de la sobre-educació és freqüent i persistent a molts països. En aquest article estudiem el paper de les habilitats emprenedores en evitar la sobre-educació a la primera feina, i en sortir d’una situació de sobre-educació cinc anys després. Comparem els resultats d’Espanya i Holanda, dos països que difereixen en el seu sistema educatiu i mercat de treball. Els resultats mostren que les habilitats emprenedores ajuden a evitar i/o sortir de la sobre-educació només a Espanya, on el sistema educatiu és més flexible i menys vinculat amb el mercat de treball. En general, els nostres resultats recolzen les polítiques que promocionen el desenvolupament d’habilitats emprenedores al sistema educatiu espanyol.

Is the matching function Cobb-Douglas?

[cat] Estudiem les propietats teòriques que una funció d.emparellament ha de satisfer per tal de representar un mercat laboral amb friccions dins d'un model d'equilibri general amb emparellament aleatori. Analitzem el cas Cobb-Douglas, CES i altres formes funcionals per a la funció d.emparellament. Els nostres resultats estableixen restriccions sobre els paràmetres d'aquests formes funcionals per assegurar que l.equilibri és interior. Aquestes restriccions aporten raons teòriques per escollir entre diverses formes funcionals i permeten dissenyar tests d'error d'especificació de model en els treballs empírics.

Entrepreneurial skills and over-education five years later. A comparison between Spain and the Netherlands

[cat] El fenòmen de la sobre-educació és freqüent i persistent a molts països. En aquest article estudiem el paper de les habilitats emprenedores en evitar la sobre-educació a la primera feina, i en sortir d’una situació de sobre-educació cinc anys després. Comparem els resultats d’Espanya i Holanda, dos països que difereixen en el seu sistema educatiu i mercat de treball. Els resultats mostren que les habilitats emprenedores ajuden a evitar i/o sortir de la sobre-educació només a Espanya, on el sistema educatiu és més flexible i menys vinculat amb el mercat de treball. En general, els nostres resultats recolzen les polítiques que promocionen el desenvolupament d’habilitats emprenedores al sistema educatiu espanyol.

Causality and Contagion in EMU Sovereign Debt Markets

This paper contributes to the literature by applying the Granger causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behaviour. A database of yields on 10-year government bonds issued by 11 EMU countries covering fourteen years of monetary union is used. The main results suggest that the 41 new causality patterns, which appeared for the first time in the crisis period, and the intensification of causality recorded in 70% of the cases, provide clear evidence of contagion in the aftermath of the current euro debt crisis.

Market Index Biases and Minimum Risk Indices

Markets, in the real world, are not efficient zero-sum games where hypotheses of the CAPM are fulfilled. Then, it is easy to conclude the market portfolio is not located on Markowitz"s efficient frontier, and passive investments (and indexing) are not optimal but biased. In this paper, we define and analyze biases suffered by passive investors: the sample, construction, efficiency and active biases and tracking error are presented. We propose Minimum Risk Indices (MRI) as an alternative to deal with to market index biases, and to provide investors with portfolios closer to the efficient frontier, that is, more optimal investment possibilities. MRI (using a Parametric Value-at-Risk Minimization approach) are calculated for three stock markets achieving interesting results. Our indices are less risky and more profitable than current Market Indices in the Argentinean and Spanish markets, facing that way the Efficient Market Hypothesis. Two innovations must be outlined: an error dimension has been included in the backtesting and the Sharpe"s Ratio has been used to select the"best" MRI

Causality and Contagion in EMU Sovereign Debt Markets

This paper contributes to the literature by applying the Granger causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behaviour. A database of yields on 10-year government bonds issued by 11 EMU countries covering fourteen years of monetary union is used. The main results suggest that the 41 new causality patterns, which appeared for the first time in the crisis period, and the intensification of causality recorded in 70% of the cases, provide clear evidence of contagion in the aftermath of the current euro debt crisis.

First-passage and escape problems in the Feller process

The Feller process is an one-dimensional diffusion process with linear drift and state-dependent diffusion coefficient vanishing at the origin. The process is positive definite and it is this property along with its linear character that have made Feller process a convenient candidate for the modeling of a number of phenomena ranging from single-neuron firing to volatility of financial assets. While general properties of the process have long been well known, less known are properties related to level crossing such as the first-passage and the escape problems. In this work we thoroughly address these questions.

La crisis en las políticas de empleo. La modélica Dinamarca y la situación en España

[spa] A través de las siguientes páginas nos adentraremos en la diferencia abismal de dos sistemas de protección del empleo, España y Dinamarca, producto de una concepción y evolución distinta del Estado del bienestar surgido tras la Gran Depresión de los años 30 y la II Guerra Mundial. Las políticas de empleo danesas gozan de una gran estabilidad y eficacia desde la década de 1990. España, por el contrario, tiene una amalgama de políticas desordenada y caótica que pone su acento en los incentivos a la contratación. Mirarse en el espejo danés, de vez en cuando, es una buena idea.

Growth, unemployment and wage inertia

We introduce wage setting via efficiency wages in the neoclassical one-sector growth model to study the growth effects of wage inertia. We compare the dynamic equilibrium of an economy with wage inertia with the equilibrium of an economy without it. We show that wage inertia affects the long run employment rate and that the transitional dynamics of the main economic variables will be different because wages are a state variable when wage inertia is introduced. In particular, we show that the model with wage inertia can explain some growth patterns that cannot be explained when wages are flexible. We also study the growth effects of permanent technological and fiscal policy shocks in these two economies.

Economics breeds culture

Several recent papers document the influence and long lasting effects of technology on preferences. Simultaneously, cultural factors are often invoked to explain heterogeneity in preferences. These two ideas suggest that culture determines the short run equilibrium values of economic variables, but, in the long run, culture changes in response to the underlying economic fundamentals. We build a model in which preferences are endogenous and the diversity in preferences (the "cultural" diversity) is explained by the variation in the relevant economic fundamentals. This can help explain observed differences in labor market attachment among groups defined e.g., by citizenship, ethnicity or gender.

One-seller assignment markets with multi-unit demands

We consider one-seller assignment markets with multi-unit demands and prove that the associated game is buyers-submodular. Therefore the core is non-empty and it has a lattice structure which contains the allocation where every buyer receives his marginal contribution. We prove that in this kind of market, every pairwise-stable outcome is associated to a competitive equilibrium and viceversa. We study conditions under which the buyers-optimal and the seller-optimal core allocations are competitive equilibrium payoff vectors. Moreover, we characterize the markets for which the core coincidences with the set of competitive equilibria payoff vectors. When agents behave strategically, we introduce a procedure that implements the buyers-optimal core allocation as the unique subgame perfect Nash equilibrium outcome.

Educació per a la felicitat i felicitat per a l'educació.

No fa gaire, en el lapse de pocs anys, en el mercat editorial espanyol hi va haver una petita eclosió d'obres dedicades al tema de la felicitat.2 Això fou, més o menys, durant la segona meitat deis vuitanta, i potser aquesta moda va tenir alguna cosa a veure amb el fet que aquells foren uns anys d'una certa eufòria econòmica i de grans projectes. (És probable que alguns, per acompanyar l'enriquiment ràpid, també busquessin la fórmula d'un «enfelicitament» ràpid). La major part de les obres tractaven la felicitat des de la filosofia, però algunes també ho feien des de la psiquiatria, la biologia o la narrativa.