Documentos de Trabajo publicados en 1993

• Lista de documentos de trabajo.
• Documentos de trabajo de otros años: 1994, 1995, 1996, 1997, 1998,1999 ,2000,2001 ,2002 en adelante

Actividades del ICAE

Nota: Pulsando sobre el título se accede al resumen del trabajo. Pulsando sobre el autor se puede enviar un mensaje de correo electrónico.

"Análisis del Comportamiento de las Cotizaciones Reales en la Bolsa de Madrid bajo la Hipótesis de Eficiencia". Rafael Flores de Frutos. Diciembre 1992. (publicado en Estadística Española, Vol. 36, nº 136, 1994)

Under efficiency, this paper studies the ability of the Efficient Markets Model with variable interest rates, to explain and to forecast the behaviour of real stock prices in the Stock Market of Madrid. The good performance showed by the Efficient Market Model gives support to the idea of using this model as a working hypothesis.

"Sobre la Estimación de Primas por Plazo dentro de la Estructura Temporal de Tipos de Interés". Rafael Flores de Frutos. Diciembre 1992. (publicado en Revista Española de Economía, Vol. 12, nº 2, 1995)

This paper highlights the shortcomings of the standard procedures to study the term premia in the term structure of interest rates, and proposes a multivariate ARMA framework to deal with this problem. Also it is carried out an empirical analysis of the term premia in the Spanish interbank money market.

"Cambios de Estructuras de Gasto y de Consumo en el Cálculo del IPC". Antonio Abadía. Febrero 1993. (Published in Revista de Economía Aplicada, Vol.1, nº1)

By way of the definition of a price-effect and of a consumption-effect, an attempt is made to demonstrate up to what point is it technically incorrect to take, as equivalents or as similar, the time evolutions of the structures of spending and of consumption, when changes are taking place in relative prices. By virtue of the interest which the application of this analysis has to the case of the weightings used in the calculation of price indexes, an analysis is carried out of the successive changes to the base of the Cost of Living Index and of its successor, the Consumer Price Index, since 1936.

"Tax Analysis in a Limit Pricing Model". Félix Marcos. Febrero 1993.

This paper deals with taxation, profits of firms and welfare. More specifically it analyses the effect of a lump sum tax on a noncompetitive market with free entry. The main result is that there are relevant situations in which the tax increases the profits of the incumbent firms. Unfortunately this goes with a reduction in consumer suplus (and in social welfare measured by consumer surplus, plus profits of firms plus revenues of the Government). But a way is suggested and some examples given in which that problem can be overcome.

"El Tipo de Cambio Propio: Reformulación del Concepto y Estimación para el Caso Español". José de Hevia Payá. Junio 1993. (Published in Revista Española de Economía, Vol.11, nº;1, 1994)

In this paper we elaborate further the concept of own exchange rate (OER), and estimate it for the Spanish case during the 1980s. The OER is defined as a geometric weighted average of nominal exchange rates, being its rate of change contemporaneously orthogonal to the rates of change of the bilateral exchange rates. This property provides the OER with some relevance in the analysis of the exchange rate policy. It also allows us to separate the rate of change into its orthogonal constituent parts, being their analysis relevant to explain and understand the evolution of such rates of change.

"Price Volatility Under Alternative Monetary Instruments". Alfonso Novales. Abril 1992.

When private agents have difficulty in interpreting price fluctuacions, they are led into suboptimal allocations of resources. Consequently, price uncertainty is an undesirable feature of a business cycle.However, the way how monetary policy is implemented may influence the size of the unpredictable component of price fluctuacions and hence, the welfare of the private agents in the economy. This paper addresses the long standing issue of the optimal choice of a monetary instrument under uncertainty. In a money-in the-utility function model, it is shown that this is far from being a purely monetary issue, and also that the optimal choice of instrument depends on the fiscal policy in effect. If the Government collects enough taxes, relative to its expenditures, a nominal interest rate policy produces a more stable price level, the opposite being true when taxes are low, relative to Government expenditures.

"Teorías del Tipo de Cambio: Una Panorámica". Oscar Bajo Rubio y Simón Sosvilla Rivero. Junio 1993. (Published in Revista de Economía Aplicada, Vol.1, nº 2).

This paper surveys the main theoretical contributions to the literature on exchange-rate determination. To this end, it discusses the purchasing power parity theory, the traditional flow model, and the asset-market model (in both its monetary and portfolio-balance versions), as well as some developments that have been recently proposed in an attempt to improve their bad empirical performance. Finally, we review the available empirical evidence of these models for the Spanish Peseta case.

"Testing Theories of Economic Fluctuations and Growth in Early Development (the case of the Chesapeake tobacco economy)". Rafael Flores de Frutos y Alfredo M. Pereira. Diciembre 1992. (Published in Review of International Economics, Vol. 6, nº 4, 1998)

This paper suggests a general econometric approach to the empirical testing of the staple theory. The methodology is based upon a multivariate stochastic time series analysis adjusted to accommodate the presence of co-integration. Consistent with the nature of the problem under consideration, the methodology does not require any a priori structural assumptions about the dynamic relations among relevant variables. The empirical part of the paper focuses on the dynamic relationships among tobacco prices in the colonial Chesapeake economy and tobacco demand and supply conditions. The empirical evidence gives strong support to the basic tenets of the staple theory: the central role of the exogenous British demand; the existence of fluctuations in the price of tobacco; and, the high responsiveness of tobacco production with respect to prices relative to tobacco demand.

"Maastricht Convergence Conditions: A Lower Bound for Inflation?". Jorge Blázquez y Miguel Sebastián. Marzo 1992.

We show that the convergence conditions agreed in the Maastricht Treaty, when considered on a steady state basis, may yield unpleasant results. In particular, they may result in coordinated higher levels of inflation, as the allowed deficit and debt ratios may require a high nominal GDP growth.

"Recursive Identification, Estimation and Forecasting of Nonstationary Economic Time Series with Applications to GNP International Data". A. García-Ferrer. J. del Hoyo. A. Novales y P.C. Young. Marzo 1993. (Published in Berry et al. eds. Bayesian Analysis in Statistics and Econometrics: Essays in Honour of Arnold Zellner, Jonh Wiley, New York, 1995)

In this paper, we propose a novel, unobserved components model for annual GNP variations in a number of countries. The model is formulated in state space terms and estimated using recursive methods of filtering and fixed interval smoothing. The annual real output for nine countries are analyzed under both univariate and transfer function versions of the unobserved components model, the latter using money supply as a leading indicator. The forecasting performance of these models is compared with the forecasting results obtained in previous research on the same data set.

"General Dynamics in Overlapping Generations Models". Carmen Carrera y Manuel Morán. Enero 1993. (published in Journal of Economic Dynamics and Control, 1995)

In this article we analyse the dynamics generated by the equilibrium solution in an overlapping generations model with production.we adopt an inverse approach to characterise and construct the class of economies that generates any twice continuously differentiable dynamics. To do this we introduce a technique based on the theory of partial differential equations.

"Further Evidence on Forecasting International GNP Growth Rates Using Unobserved Components Transfer Function Models". A. García-Ferrer, J. del Hoyo, A. Novales y P.C. Young. Septiembre 1993.

Forecast of international GNP growth rates are computed using a novel, onobserved components model that allows for estimating the trend and the perturbational components in GNPdata. The model is formulated in state space terms, and estimating using recursive methods of filtering and fixed interval smoothing. The decomposition crucially hinges on the choice of the Noise-Variance Ratio parameter. As any other signal extraction method, the choice of the relevants parameters affects the statistical characteristics of the estimated components. Here, we incororate a priori beliefs on the values of the NVR pparameter leading to a decomposition with reasonable business cycle properties. Throughout the paper, forecast comparisons are made withother Bayesian and non-Bayesian alternatives.

"Public Capital and Aggregate Growth in the United States: Is Public Capital Productive?". Rafael Flores de Frutos y Alfredo M. Pereira. Julio 1993 (aceptado para publicar en Journal of Urban Economics).

This paper deals with the empirical relationships between public capital and aggregate economic growth in the United States, and in particular the question of whether or not public capital is productive. It develops a theoretical framework which allows for full consideration of feedback among variables without imposing a priori dynamic structural constraints. Parameter estimates are obtained through a VARMA model. This approach departs from the current literature, which relies on a single equation approach to estimate production functions and implicitly assumes the absence of feedback relations. In this paper estimates for the period 1956-1989 suggest that public capital has a substantial effect on production as well as on private capital formation and on labor. Furthermore, decisions on public capital seem to follow a policy rule that relates the current stock of public capital positively with lagged output and negatively with lagged labor. Our results are shown to be compatible with different specifications of production functions, in which public capital mayor may or may not be present. Therefore, current interpretations of the importance of the effects of public capital in terms of the size of the estimated parameters in a production function framework are not conclusive.

"Central Bank Structure and Monetary Policy Uncertainty". José I. García de Paso. Abril 1993.

Recent research has shown that partisanship causes monetary policy uncertainty. Since monetary policy is implemented by central banks, this paper models alternative central banks structure to analyze their effects on policy uncertainty in a two-party political system. the major result of the paper is that the length of governors' terms plays a more important role than the number of governors on the board. Moreover, it is shown that both postelectoral appointments and the membership of administration officials on the central bank board raise monetary policy uncertainty. The paper's results are illustrated by analyzing alternative structures of the Federal Reserve Board of Governors.

"Monetary Policy with Private Information: A Role for Monetary Targets". José I. García de Paso. Julio 1993 (published in Revista Española de Economía, Vol. 14, nº 1, 1997).

This paper examines the optimal design of a set of legislative rules which balances credibility in monetary policy when the central bankerhas some private information. The main result is that the best legislative package should include a monetary target set by Congress, a targeting horizon consisting of one period of time and a small punishment on the central banker if it deviates from the target. Moreover, it is shown that both the discretionary and the average targeting approaches to monetary policy are nested into our more comprehensive approach.

"Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models". José Alberto Mauricio. Julio 1993. (published in Journal of the American Statistical Association, Vol. 90, nº 426)

The problems of evaluating and maximizing the exact likelihood function of vector ARMA models are considered separately. A new and efficient procedure for evaluating the exact likelihood function is presented. This method puts together a set of useful features which can only be found separately in currently available algorithms. A procedure for maximizing the exact likelihood function, which takes full advantage of the properties offered by the evaluation algorithm, is also considered. Combining these two procedures, a new algorithm for exact maximum likelihood estimation of vector ARMA models is obtained. Comparisons with existing procedures, in terms of both analytical arguments and a numerical example , are given in order to show that the new estimation algorithm performs at least as well as existing ones, and that relevant real situations occur in which it does better.

"The Exact Likelihood Function of a Vector ARMA Model". José Alberto Mauricio. Julio 1993 (published in Applied Statistics, Vol. 46, nº 1, 1997).

This paper implements in Fortran 77 a new algorithm which has the same purpose as algorithm AS 242 of Shea (1989), namely to compute the exact likelihood function of a vector ARMA model. The new algorithm turns out to be faster in many relevant cases and not appreciably slower in any. In addition to advantages offered by the algorithm of Shea (1989), including the calculation of an appropiate set of residuals, it also permits the automatic detection of noninvertible models as a byproduct. The Fortran 77 code presented here combines improved versions of the algorithms due to Ljung and Box (1979) and Hall and Nicholls (1980) with an algorithm of Kohn and Ansley (1982). The resulting procedure puts together a set of useful features which can only be found separately in other existing methods.

"Business Telephone Traffic Demand in Spain: 1980-1991, An Econometric Approach". Teodosio Pérez Amaral, Francisco Alvarez González, Bernardo Moreno Jiménez. Septiembre 1993. (published in Information Economics and Policy, Vol. 7, nº 2, 1995).

In this paper we use a theoretical model for the demand of telecommunication services to derive econometric models of the business demand for telephone traffic in Spain for the period 1980-1991. Using quaterly data, we estimate separate equations for the different types of toll traffic: local, long distance, national and international. We use cointegration techniques to obtain long run and short run equations, both estimated separately in two steps and jointly, in one step. A battery of diagnostics is applied to each of the equations. Price and output elasticies agree with previous findings and could be used for analizing the revenue effects of changes in tariffs and medium term forecasting of traffic and revenues.

Actividades del ICAE

Instituto Complutense de Análisis Económico