Explorations of electric-current system in solar active regions .1. Empirical inferences of the current flows

In this paper we explore techniques to identify sources of electric current systems and their channels of flow in solar active regions. Measured photospheric vector magnetic fields (VMF) together with high-resolution white-light and H filtergrams provide the data base to derive the current systems in the photosphere and chromosphere. Simple mathematical constructions of fields and currents are also adopted to understand these data. As an example, the techniques are then applied to infer current systems in AR 2372 in early April 1980. The main results are: (i) In unipolar sunspots the current density may reach values of 103 CGSE, and the Lorentz force on it can accelerate the Evershed flow, (ii) Spots exhibiting significant spiral pattrn in the penumbral filaments are the sources of vertical major currents at the photospheric surface, (iii) Magnetic neutral lines where the transverse field was strongly sheared were channels along which strong current system flows, (iv) The inferred current systems produced oppositely-flowing currents in the area of the delta configuration that was the site of flaring in AR 2372.

More on Identification on Detailed Wage Decompositions

Revised: 2006-05.-- Published as an article in: The Review of Economics and Statistics, 2004, vol. 86, issue 4, pp. 1034-1036.

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.

Unemployment rates and population changes in Spain

Published as an article in: Journal of Applied Economics, 2004, vol. VII, pages 47-76.

A factor model of seasonality in stock returns

Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.

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.

Fishing effort validation and substitution possibilities among components: the case study of the VIII division European anchovy fishery

Command and control regulation programs, particularly input constraints, typically fail to achieve stated objectives, because fishermen may substitute unregulated for regulated inputs. It is, thus, essential to have an understanding of the internal structure of production technology. A primal formulation is used to estimate a translog production function at the vessels level that includes fishing effort and fisherman’s skill. The flexibility of the selected functional permits the analysis of the substitution possibilities among inputs by estimating the elasticity of substitution with no prior constraints. Particular attention is paid to the empirical validation of fishing effort as an aggregate input, which implies either, the acceptation of the joint hypothesis that inputs making up effort are weakly separable from the inputs out of the subgroup or considering that effort is an intermediate input produced by a non-separable two stage technology. Cross sectional data from the Spanish purse seine fleet operating in the VIII Division European anchovy fishery provide evidence of limited input substitution possibilities among the inputs making up the empirically validated fishing effort translog micro-production function.