La burbuja inmobiliaria americana

Resumen: Axel Leijonhufvud, economista reconocido internacionalmente por sus trabajos sobre la literatura de John Maynard Keynes y el keynesianismo (Leijonhufvud, 1968), ofreció su lectura de la crisis subprime de 2008, reconociendo que la misma encaja más con la teoría austríaca del ciclo económico de Ludwig von Mises y Friedrich Hayek, que con el marco teórico keynesiano. En este artículo ofrecemos evidencia para tal afirmación.

Cyclical Features of Uzawa-Lucas Endogenous Growth Model

This paper analyzes the cyclical properties of a generalized version of Uzawa-Lucas endogenous growth model. We study the dynamic features of different cyclical components of this model characterized by a variety of decomposition methods. The decomposition methods considered can be classified in two groups. On the one hand, we consider three statistical filters: the Hodrick-Prescott filter, the Baxter-King filter and Gonzalo-Granger decomposition. On the other hand, we use four model-based decomposition methods. The latter decomposition procedures share the property that the cyclical components obtained by these methods preserve the log-linear approximation of the Euler-equation restrictions imposed by the agent’s intertemporal optimization problem. The paper shows that both model dynamics and model performance substantially vary across decomposition methods. A parallel exercise is carried out with a standard real business cycle model. The results should help researchers to better understand the performance of Uzawa-Lucas model in relation to standard business cycle models under alternative definitions of the business cycle.

Data Revisions in the Estimation of DSGE Models

Revisions of US macroeconomic data are not white-noise. They are persistent, correlated with real-time data, and with high variability (around 80% of volatility observed in US real-time data). Their business cycle effects are examined in an estimated DSGE model extended with both real-time and final data. After implementing a Bayesian estimation approach, the role of both habit formation and price indexation fall significantly in the extended model. The results show how revision shocks of both output and inflation are expansionary because they occur when real-time published data are too low and the Fed reacts by cutting interest rates. Consumption revisions, by contrast, are countercyclical as consumption habits mirror the observed reduction in real-time consumption. In turn, revisions of the three variables explain 9.3% of changes of output in its long-run variance decomposition.

Long-Term Growth and Persistence with Endogenous Depreciation: Theory and Evidence

Previous research has shown a strong positive correlation between short-term persistence and long-term output growth as well as between depreciation rates and long-term output growth. This evidence, therefore, contradicts the standard predictions from traditional neoclassical or AK-type growth models with exogenous depreciation. In this paper, we first confirm these findings for a larger sample of 101 countries. We then study the dynamics of growth and persistence in a model where both the depreciation rate and growth are endogenous and procyclical. We find that the model s predictions become consistent with the empirical evidence on persistence, long-term growth and depreciation rates.

The impact of the great recession on employment polarization in Spain

This article analyzes changes in the occupational employment share in Spain for the period 1997-2012 and the way particular sociodemographic groups adapt to those changes. There seems to be clear evidence of employment polarization between 1997 and 2012 that accelerates over the recession. Changes in the composition of the labour supply cannot explain the increase in the share of occupations at the low end of the wage distribution. Sector reallocation may have partially contributed to explain the polarization process in Spain during the years of expansion (1997-2007) but it is a minor factor during the recession. The polarization of occupations within sectors observed, especially during the recession, appears to be related to a decline in routine tasks which is compensated by an increase in occupations with non-routine service contents, which are found both in the low and high end of the wage distribution. Instead, jobs with a higher degree of abstract contents do not appear to increase their share in total employment during these 15 years. The paper finds that this process has affected males more strongly than females because of their higher concentration in occupations more focused on routine tasks. Among males, for workers under 30 years old, we find a decrease in the share of occupations with more routine tasks which turns into increases in those with more abstract content and particularly with more non-routine service content. Instead, male workers over 30 years old seem to remain in declining occupations to a greater extent. Females of different ages are not affected by the abovementioned changes.

Produkcja w spadkowej fazie cyklu koniunkturalnego w Polsce

Opracowanie ma charakter teoretyczno-empiryczny. Jego głównym celem jest weryfikacja dwóch zasadniczych dla austriackiej teorii cyklu koniunkturalnego hipotez. Pierwsza hipoteza mówi, że restrykcyjna polityka pieniężna powoduje skracanie struktury produkcji, druga ¬– że podwyżki stóp prowadzą do względnych różnic w spadku produkcji branż wytwarzających dobra w różnych odległościach od konsumenta. Przeprowadzona w opracowaniu analiza, oparta na przyjętych wskaźnikach, pozwala pozytywnie zweryfikować obie hipotezy. Podwyżki stóp procentowych dokonane przez Narodowy Bank Polski prowadziły do powstawania spadkowych faz cyklu. W tym okresie w polskiej gospodarce zmniejszał się czas produkcji dóbr finalnych oraz występowały względne różnice w spadkach produkcji w branżach oddalonych w różnym stopniu od ostatecznego odbiorcy.

An examination of the effects of government purchases in an open economy

This paper examines the effects of permanent and transitory changes in government purchases in the context of a model of a small open economy that produces and consumes both traded and nontraded goods. The model incorporates an equilibrium interpretation of the business cycle that emphasizes the responsiveness of agents to intertemporal relative price changes. It is demonstrated that transitory increases in government purchases lead to an appreciation of the real exchange rate and an ambiguous change (although a likely worsening) in the current account, while permanent increases have an ambiguous impact on the real exchange rate and no effect on the current account. When agents do not know whether a given increase in government purchases is permanent or transitory the effect is a weighted average of these separate effects. The weights depend on the relative variances of the transitory and permanent components of government purchases. © 1985.

Do technology shocks drive hours up or down? A little evidence from an agnostic procedure

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to choose between a specification in levels or in first differences. We find that a positive productivity shock has a negative impact effect on hours, but the effect is much shorter lived, and disappears after two quarters. The effect becomes positive at business-cycle frequencies, although it is not significant. © 2005 Cambridge University Press.

The trade unions membership dynamics and union members’ trajectories

This text presents an analysis of aggregated membership’s dynamics for Spanish trade unions, using ECVT data, as well as union memberships’ trajectories, or members’ decisions about joining the organization, permanency and responsibilities, and subsequent attrition. For the analysis of trajectories we make use of information of the records of actual memberships and the record of quitting of CCOO, and of a survey-questionnaire to a sample of leavers of the same union. This study allows us to confirm a linkage between the decision and motivations to become union member, to participate in union activities, the time of permanency, and the motives to quit the organization. We also identify five types of union members’ trajectories, indicating that, far from views that assert a monolithic structure, unions are complex organizations.

Cooperativism, entrepreneurship and economic development: a linking theoretical model

Cooperatives, as a kind of firms, are considered by many scholars as an remarkable alternative for overcoming the economic crisis started in 2008. Besides, there are other scholars which pointed out the important role that these firms play in the regional economic development. Nevertheless, when one examines the economic literature on cooperatives, it is detected that this kind of firms is mainly studied starting from the point of view of their own characteristics and particularities of participation and solidarity. In this sense, following a different analysis framework, this article proposes a theoretical model in order to explain the behavior of cooperatives based on the entrepreneurship theory with the aim of increasing the knowledge about this kind of firms and, more specifically, their contribution to regional economic development.

Social economy and economic crisis in the basque country abstract

This article examines the socio-economic evolution of the social economy sector in the Basque Country during the 2008-2014 period of economic crisis. Data have been obtained within a framework of collaboration between university, Basque Government and private sector of the social economy. The results suggest that such entities have evolved better, both in terms of number of enterprises and employment, than the general economy of the Basque Country, while the context of public policies aimed at social economy has worsened over the years. However, in economic terms (measured through the Gross Value Added generated), they have not been able to cope with the crisis in equal conditions to the general economy. The main contribution of this research lies in that, unlike similar studies, it discusses the evolution of the whole sector of the social economy, taking as reference a broad period of the current economic crisis.

Identifying economic periods and crisis with the multidimensional scaling

This paper applied MDS and Fourier transform to analyze different periods of the business cycle. With such purpose, four important stock market indexes (Dow Jones, Nasdaq, NYSE, S&P500) were studied over time. The analysis under the lens of the Fourier transform showed that the indexes have characteristics similar to those of fractional noise. By the other side, the analysis under the MDS lens identified patterns in the stock markets specific to each economic expansion period. Although the identification of patterns characteristic to each expansion period is interesting to practitioners (even if only in a posteriori fashion), further research should explore the meaning of such regularities and target to find a method to estimate future crisis.

An equity wealth preservation strategy: Following the macro trend

Financial crisis have happened in the past and will continue to do so in the future. In the most recent 2008 crisis, global equities (as measured by the MSCI ACWI index) lost a staggering 54.2% in USD, on the year. During those periods wealth preservation becomes at the top of most investor’s concerns. The purpose of this paper is to develop a strategy that protects the investment during bear markets and significant market corrections, generates capital appreciation, and that can support Millennium BCP’s Wealth Management Unit on their asset allocation procedures. This strategy extends the Dual Momentum approach introduced by Gary Antonacci (2014) in two ways. First, the investable set of securities in the equities space increases from two to four. Besides the US it will comprise the Japanese, European (excl. UK) and EM equity indices. Secondly, it adds a volatility filter as well as three indicators related to the business cycle and the state of the economy, which are relevant to decide on the strategy’s exposure to equities. Overall the results attest the resiliency of the strategy before, during and after historical financial crashes, as it drastically reduces the downside exposure and consistently outperforms the benchmark index by providing higher mean returns with lower variance.

Firing and training costs and labour market segmentation

This dissertation consists of three essays on the labour market impact of firing and training costs. The modelling framework resorts to the search and matching literature. The first chapter introduces firing costs, both liner and non-linear, in a new Keynesian model, analysing business cycle effects for different wage rigidity degrees. The second chapter adds training costs in a model of a segmented labour market, accessing the interaction between these two features and the skill composition of the labour force. Finally, the third chapter analyses empirically some of the issues raised in the second chapter.

Using a Bayesian model for bankruptcy prediction : a comparative approach

The purpose of this study is to examine the impact of the choice of cut-off points, sampling procedures, and the business cycle on the accuracy of bankruptcy prediction models. Misclassification can result in erroneous predictions leading to prohibitive costs to firms, investors and the economy. To test the impact of the choice of cut-off points and sampling procedures, three bankruptcy prediction models are assessed- Bayesian, Hazard and Mixed Logit. A salient feature of the study is that the analysis includes both parametric and nonparametric bankruptcy prediction models. A sample of firms from Lynn M. LoPucki Bankruptcy Research Database in the U. S. was used to evaluate the relative performance of the three models. The choice of a cut-off point and sampling procedures were found to affect the rankings of the various models. In general, the results indicate that the empirical cut-off point estimated from the training sample resulted in the lowest misclassification costs for all three models. Although the Hazard and Mixed Logit models resulted in lower costs of misclassification in the randomly selected samples, the Mixed Logit model did not perform as well across varying business-cycles. In general, the Hazard model has the highest predictive power. However, the higher predictive power of the Bayesian model, when the ratio of the cost of Type I errors to the cost of Type II errors is high, is relatively consistent across all sampling methods. Such an advantage of the Bayesian model may make it more attractive in the current economic environment. This study extends recent research comparing the performance of bankruptcy prediction models by identifying under what conditions a model performs better. It also allays a range of user groups, including auditors, shareholders, employees, suppliers, rating agencies, and creditors' concerns with respect to assessing failure risk.