(2010) "State-Uncertainty preferences and the Risk Premium in the Exchange rate market", Economic Modelling, Volume 27 (5), September 2010, 1043-1053 (with Alfonso Novales Cinca).

(2010). “What Happened to Risk Management during the 2008-09 Financial Crisis? Forthcoming in Lessons from the Financial Crisis: Causes, Consequences, and Our Economic Future, edited by Robert W. Kolb, Hoboken, NJ, John Wiley & Sons, Inc.(with M. McAleer and T. Perez-Amaral), April 2010

(2009). “Optimal Risk Management Before, During and After the 2008-09 Financial Crisis”, Medium for Econometric Applications, 17(3), 20-27 (with M. McAleer and T. Perez-Amaral). http://ssrn.com/abstract=143191

(2009). “A Decision Rule to Minimize Daily Capital Charges in Forecasting Valu-at-Risk”, forthcoming in Journal of Forecasting. (with M. McAleer and T. Perez-Amaral). http://ssrn.com/abstract=1349844

(2009). “The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord”, Journal of Economic Surveys,Volume 23(5), 850-855.(with M. McAleer and T. Perez-Amaral). http://ssrn.com/abstract=1356803

(2009). "Seasonal fluctuations and equilibrium models of exchange rate”, Applied Economics, 41 (20), 2635-2652, (with R. Flores)

(2009). "PPP: Delusion or Reality? Evidence from a Nonlinear Analysis”, Open Economies Review, (with D. Robles). DOI 10.1007/s11079-009-9113-0. http://ssrn.com/abstract=1356809

(2008). “ Los mercados financieros y los desequilibrios globales: sostenibilidad y ajuste”, Papeles de Economía Española, 116, 19-34 (with M. José Moral-Rincon).

(2007). "The Effects of Macroeconomics and Policy Uncertainty on Exchange Rate Risk Premium", International Business & Economic Research Journal, 6, 3, 29-48 . (with R. Peruga)- Tables and figures of this paper

(2006). "Strategic Alliances as a mechanism for wealth creation in the biopharmaceutical industry: An Empirical Analysis of the Spanish Case", Journal of Commercial Biotechnology, 12, 229-236. (with E. Gutiérrez de Mesa y J.Mascareñas)

(2006). "¿Se pueden replicar las propiedades estocásticas del tipo de cambio con un modelo de Equilibrio?", Estudios de Economía aplicada, 24-1, 361-395. ISSN 1133-3197. On-line, ISSN: 1697-573

(2004). "Los modelos de equilibrio general y el tipo de cambio", Estudios de Economía aplicada, Res 22328, Vol. 22-3. ISSN: 1697-5731

(2010). Toolbox for Econometrics I and II (Caja de Herramientas de Econometría I y II), Cersa Publishers, Madrid, Spain. ISBN: 978-84-693-4414-9.

(2004). Stochastic Equilibrium Models of Exchange Rate (Los Modelos de Equilibrio General Estocástico y el Tipo de Cambio), dissertation supervised by Professor Rafael Flores de Frutos, Complutense University Press, ISBN: 84-669-2261-X

(2006) Introducción a la Microeconomía, chapters 1-4. ISBN 84-291-2631-7 (With S. Benito, E. Fernández, R. Pérez, and J. Ruiz). English version: Microeconomics (2006), P. Krugman and R. Wells, Worth Publishers, New York and Basingstoke. ISBN:0716752298

WORKING PAPERS

·         (2009) “Optimal Risk Management Before, During and After the 2008-09 Financial Crisis?

ü      (2009) Center for Advanced Research in Finance, CARF Working Paper Series, The University of Tokio, # CARF-F-171.

ü      (2009) Center for International Research on the Japanese Economy, CIRJE Discussion Papers, University of Tokio, CIRFE-F-667

ü      (2009) Instituto Complutense de Análisis Económico, Complutense University of Madrid. WP 9478

·         “What Happened to Risk Management during the 2008-09 Financial Crisis?, (with M. McAleer and T. Perez-Amaral),

ü      (2009) Center for Advanced Research in Finance, CARF Working Paper Series, The University of Tokio, , # CARF-F-155.

ü      (2009) Center for International Research on the Japanese Economy, CIRJE Discussion Papers, University of Tokio, CIRFE-F-635

ü      (2009) Instituto Complutense de Análisis Económico, Complutense University of Madrid. WP 8849

·         “Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? (with M. McAleer and T. Perez-Amaral),

ü      (2009) Timbergen Institute, Erasmus University Rotterdam, The Netherlands, # TI 09-039/4

ü      (2009) Instituto Complutense de Análisis Económico, Complutense University of Madrid. http://eprints.ucm.es/8849/,

ü      (2009) Center for Advanced Research in Finance, CARF Working Paper Series, The University of Tokio, # CARF-F-159.

ü      (2009) Center for International Research on the Japanese Economy, CIRJE Discussion Papers, University of Tokio, CIRFE-F-643

·         (2009) “The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord” (with M. McAleer and T. Perez-Amaral) 2009, Instituto Complutense de Análisis Economómico, Complutense University of Madrid. http://eprints.ucm.es/8691/

·         (2009) “State-uncertainty preferences and the exchange rate premium”, submitted to Economic Modelling (with A. Novales). 2009, Instituto Complutense de Análisis Económico, Complutense University of Madrid. http://eprints.ucm.es/8711/

·         (2009) “A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk”,

ü      (2008) Econometric Institute Research Report Series, Erasmus University Rotterdam, ISSN: 1566-7294, Nº. 2008-38.

ü      (2009) Instituto Complutense de Análisis Económico, Complutense University of Madrid, 2009 (with T. Perez-Amaral y M. McAleer) http://eprints.ucm.es/8593/

ü      (2009) Center for Advanced Research in Finance, CARF Working Paper Series, The University of Tokio, #CARF-F-158

·         (2005), "Non-linear adjustment to purchasing power parity: an analysis using Fourier approximations" (with D. Robles), Complutense University , WP #05/6

·         (2004), "Seasonal Fluctuations and Dynamic Equilibrium Models of Exchange Rate" (with R.. Flores), Complutense University , WP #04/13.

·         (2004). "Macroeconomic and Policy Uncertainty and Exchange Rate Risk Premium" (with R..Peruga), Complutense University , WP # 04/12

·         (2004), "The Fit of Dynamic Equilibrium Models of Exchange Rate", (with R.. Flores), Complutense University , WP # 04/11

·         (2004). "Alianzas Estratégicas como Mecanismo de Creación de Valor: Un estudio empírico para la industria (bio)farmacéutica española" (with J. A, Gutierrez, E. y Mascareñas, J.) (Strategic Alliances as a mechanism for wealth creation in the biopharmaceutical industry: An Empirical Analysis of the Spanish Case), Corporative Finance Working Papers, ISSN 1698-8183.

·         (2003). "La Transición al Euro y la Prima de Riesgo en el Mercado de Divisas" (R. Peruga) (Euro transition and the Risk Premium in the Foreign Exchange Rate Markets"), Complutense University , WP # 06/03.

·         (1998). "Macroeconomic Uncertainty and the Risk Premium in the Foreign Exchange rate Markets" (R. Peruga) (Incertidumbre Macroeconómica y la Prima de Riesgo en el Mercado de Divisas), European University-CEES, WP  3/98.

WORK IN PROGRESS

• "The European Spirit and Macroeconomic uncertainty and exchange rate risk premium"
• "Public Investment, Economic Performance and Budgetary Consolidation: Evidence for the Latino American Countries" (with Alfredo M. Pereira)

2. Research Proyects

• Fiscal and Monetary Policy: i) theoretical analysis and ii) effects on financial markets, project DGICYT SEJ2006-14354/ECON Financed by DGICYT, Spanish Minister of Education and Science. Project director: Alfonso Novales Cinca, 2007-2010.
• Labor Panorama 2005-2008, Financed by Community of Madrid. Project director: Victoriano Martín.
• Risk Analysis in Bond Markets: Empirical Evidence and Theoretical Characterization, project: BEC2003-03965 (Análisis Del Riesgo en Mercados de Renta Fija: Evidencia Empírica Y Caracterización Teórica), Financed by DGICYT, Spanish Minister of Education and Science. Project director: Alfonso Novales Cinca.
• Risk Analysis in Bond Markets: Empirical Evidence, Project PR1 / 03, financed by Complutense University of Madrid. Project director: Alfonso Novales Cinca, 2003

3. Research Interests

• Macro-Econometrics
• International Finance.
• Time Series

4. Teaching

5. Contact Information

Department of Economics (Fundamentos del Análisis Economico II)
Complutense University
Campus de Somosaguas, Building 1 suite 120
Pozuelo de Alarcon, Madrid, 28223
Phone: 91 394 2355
Fax: 91 394 2613
Email: juanangel@ccee.ucm.es

6. Visiting Positions

• Visiting Scholar, George Washington University, August 2005-October 2006

7. Links

• On-line Journals
• Madrid stock exchange
• Exchange Rate
• Share prices of Spanish firms