Documentos de Trabajo publicados en 1996

• Lista de documentos de trabajo.
• Documentos de trabajo de otros años: 1993, 1994, 1995, 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.

"Time Varying Risk Premia in General Equilibrium with Production". Emilio Domínguez y Alfonso Novales.

Endowement economies have generally been considered when trying to reproduce the empirical rejection of the expectation hypothesis of the term structure as an implication of equilibrium asset pricing models. Previous attempts have not been successful: large risk aversion parameters are needed to produce sizeable risk premia and even then, the expectation hypothesis is not rejected. We present an economy with a time-to-build technology, in which consumption is subject to cash-in-advance constraints, in which, the expectations hypothesis of the term structure does not hold. Monetary shocks are much more important than real demand or supply shocks in producing the result.

"Análisis Econométricos del Proceso de Oferta de Dinero". Victor M. Gonzalo Angulo (publicado en Applied Economics, Vol. 3, 1999)

This paper presents a theoretical framework for the study of the money supply process. It is based on the behaviour of the institutional sectors determining money multiplier components: monetary authority, private non-banking sector and private banking sector. This framework is employed on Spanish monetary data, to build an empirical VARMA structure for the series, and to provide an structural interpretation to the multivariate model for money multiplier components. Structural change of statistical structures describing the data is tested in three potentially different regimes of the Spanish monetary history.

"A Solution Method for a Class of Learning by Doing Models". Francisco Alvarez González y Emilio Cerdá Tena.

We obtain in the closed-form the optimal policy for a class of learning by doing models, in which a monopolist operating in a market with linear demand and finite time horizon, faces a lower bound in the cost reduction that can be achived through production. By using Dynamic Programming principles we show that the existence of a lower bound in the unit production cost implies that the optimal decision for output is a function which is indexed by initial unit cost. There is an optimal set of threshold values beyond which the parameters of the production rule change. Some examples with specific parameter values are provided.

"Un Análisis del Ultimo Ciclo de la Economía Española (1989-94)". Rafael Flores y Carlos Sebastián Gascón.

In this paper we study the last Spanish economic cycle. A new approach for this kind of objective is proposed. Our procedure is based on the detection and economic rationalization of important behaviour changes in a wide set of economic variables. Both, in detecting and evaluating such changes, intervention models, as proposed in Box and Tiao (1975), are used. The economic explanation of all different changes in the behaviour of macroeconomic variables found by the numerical analysis is made within a common theoretical framework, which is summarized in an Appendix.

"Consumo Público e Inflación Dual". José María Martín Moreno (publicado en Investigaciones Económicas, Vol. XXIII, 2, 1999).

The aim of this paper is to analize the effects of fiscal policy on production, employment and relative prices in a economy made up by two sectors, the tradeable one (competitive) and the non-tradeable sector (monopoly). We study the fiscal policy effects in two different frameworks. On the hand, the monopoly does not consider the public expenditure as a component in the aggregate demand and, on the other hand it does.

"A Business Cycle Characterization of the Spanish Economy: 1970-1994". Antonio García Ferrer y Carlos Sebastián.

Every procedure used to characterize business cycles by filtering macroeconomic series have some arbitrary elements and, therefore, they should, at least, satisfied the weak criterion of replicating the peaks and throughs of business cycles from a historical perspective. In order to characterize Spanish business cycles from 1970 to 1994 we propose a trend-cycle model characterization based on a particular class of unobserved component models, that fulfils the above mentioned criterion (which other procedure, like Hodrick-Prescott filter, do not). We carry out sensitivity analysis with respect to the arbitrary element of our procedure, in order to check for the robustness of our results.

"Modelling and Forecasting a Balance of Payments". Raquel del Río Paramio y Arthur B. Treadway.

This paper reports on the development of methods for modelling and forecasting a complete national Balance of Payments (BP), employing an extended version of the Box and Jenkins approach to time series analysis. The full BP is treated, findings on the properties typical of such data are described, new approaches to modelling capital flow variables, net flow (balance) variables and the official foreign exchange reserves flow are offered. Illustrations are taken from the authors'study for the Spanish case with monthly data.

"A Model of Spain-Europe Telecommunications". Teresa Garín Muñoz y Teodosio Pérez Amaral (publicado en Applied Economics,Vol. 31, 1999).

In this study we present a model for the outgoing telephone traffic from Spain to a group of 24 European countries. The model incorporates the specific characteristics of the international long distance service and the socio-economic relationships between Spain and this group of countries. Using annual panel data for the period 1981-1991, we estimate a significant elasticity of the minutes of outgoing traffic per line with respect to its own real price of -0.81. Other significant variables are: the volume of trade, the number of visitors from each country, the number of foreing residents and the minutes of incoming traffic. This last variable measures the so-called reciprocal calling effect which is highly significant with a positive elasticity of 0.78. Appropriate panel data techniques are used for controlling for individual specific unobservable variables and correcting for possible simultaneity between incoming and outgoing traffic. A battery of diagnostics suggest that the model is appropriate for estimation and inference.

"Econometric Modelling of Spanish Very Long Distance International Calling". Teresa Garín Muñoz.

This study estimates a demand model for the outgoing telephone calling from Spain to a group of African and oriental countries. The traffic to those countries is called very long distance calling because of the high tariffs applicable to all of them even when some of them are geographically not very distant. In this study a theoretical framework is used which takes into account the specific characteristics of the international long distance services and the socio-economic relationships between Spain and this group of countries. The analysis of annual data for minutes of calling between Spain and 27 countries from 1982 to 1991, using panel data techniques, reveals a significant own-price elasticity of -1.31 and a positive reciprocal calling effect of +0.69. The estimated elasticity of the outgoing traffic to the volume of foreing tourism is +0.22. The estimated elasticities are in the range that is reported in other empirical studies. The favorite equation passes a battery of diagnostics.

"Un Método de Inicialización del Filtrado para Modelos en Espacio de los Estados con Inputs Estocasticos". José Casals y Sonia Sotoca.

We derive exact expressions for the conditional mean and variance of the initial state of a state space system with stochastic inputs, under stationarity or nonstationarity. These results generalize those of De Jong and Chu-Chun-Lin (1994) and provide a useful initialization method to obtain maximum likelihood estimates of the model parameters. As final estimates are sensitive to initial conditions, the presence of stochastic inputs -a frequent situation in Econometrics- should be considered when computing the mean and variance of the initial state. The results obtained with this method compare favourably with those obtained by standard procedures.

"A Generalized Least Squares Estimation Method for Vector Moving Average Models". Rafael Flores de Frutos y Gregorio R. Serrano (publicado en Economics Letters, Vol. 57, 1997).

A new GLS procedure for estimating VMA models is proposed. Its main feature is to consider explicitly the stochastic structure of the approximation errors arising when lagged VMA innovations are replaced with lagged residuals from a long VAR.

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"Time Varying Term Premia and Risk: The Case of the Spanish Interbank Money Market". Mª; Dolores Robles Fernández y Rafael Flores de Frutos (publicado en Applied Financial Economics, Vol. 10, 2000).

This paper examines some standard procedures, in the term structure of interest rates, for evaluating the importance of risk in explaining time varying term premia. It highlightes their shortcomings and proposes an alternative VARMA model based approach for dealing with this problem. This procedure is illustrated with the analysis of risk, measured as proposed by Luce (1980), in explaining the behavior of two important term premia in the Spanish interbank money market.

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"Forecasting with Periodic Models: A Comparison with Time Invariant Coefficient Models". Alfonso Novales y Rafael Flores de Frutos (publicado en International Journal of Forecasting, Vol. 13, 1997).

Working with seventeen UK macroeconomic variables, characterized as periodically integrated in Franses and Romijn (1993), we have found that unconstrained periodic models do not beat time invariant alternatives in forecasting, even when cointegrating relationships among the seasons are taken into account. However, when appropriately constrained, the forecasting performance of periodic models can be much better than that of non-periodic models. Homogeneity restrictions among some seasons seem to be very important in that respect, which motivates us to propose a switching procedure between a periodic model and a non-periodic univariate AR as a representation of the behaviour of these variables. Once season homogeneity is taken into account, incorporating the cointegrating relationships among the seasons through periodic error correction models achieves a substantial additional forecasting improvement.

Actividades del ICAE

Instituto Complutense de Análisis Económico