Documentos de Trabajo publicados en 1998

• Lista de documentos de trabajo
• Documentos de trabajo de otros años: 1993, 1994, 1995, 1996,1997, 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.

"A multifactor sector model for the stock market. Evidence from Spain". F. J. André, L. E. Nuño y J. J. Pérez-García.

A factor model which relates the macroeconomy and the stock market evolution is presentd. This relation is shown to be different among activity sectors. These differences are detected and quantified in an empirical application to the Madrid Stock Market. Forecasting experiments show that it is possible to improve the predictive ability of widely used models by means of the sensible use of the information provided by macroeconomic variables.

"Un algoritmo rápido para evaluar la función de verosimilitud exacta de modelos VARMAX periódicos". J. Casals, S. Sotoca y M. Jerez (aceptado en Estadística Española)

In this work we derive a fast algorithm to compute the exact likelihood function of periodic VARMAX process. Its computational efficiency is achieved by combining a minimal dimension state- space formulation, in steady-state innovations form, and a procedure for computing the exact likelihood function which takes advantage of the properties of this representation. The algorithm can be applied to stationary and non-stationary models, allows for deterministic and/or stochastic exogenous variables and makes easy the computation of the exact secon-order moments of the estimates. On the other hand, our approach includes representations not considered by the literature, like multivariate periodic process, and allows for nonhomogeneous dynamic structures and different number of observations in each season. Besides, it can be applied to any model with deterministic parameter variation. Some results with simulated data illustrate the good behaviour of the algorithm.

"Testing for invertibility in univariate ARIMA processes". R. Flores y M. Jerez.

We propose a test for detecting whether a differenced time series follows an invertible ARIMA process. The test follows  a chi-squared distribution, it is easy to compute and shows an excellent performance when compared with standard optimal test for overdifferencing.

"A general fixed-interval smoother with exact initial conditions". J. Casals, M. Jerez and S. Sotoca (aceptado en International Journal of Forecasting)

In this work we derive a relationship between the exact fixed- interval smoothed moments and those obtained from an arbitrarily initialized smoother. Combining this result with a conventional smoother we obtain a new algorithm with exact initial conditions, that can be applied to stationary, nonstationary or partially nonstationary systems, with deterministic and/or stochastic inputs. Besides an easy analytical derivation, other advantages of this smoother are its computational efficiency and numerical stability.

"Cost Reduction and consume Search". P. Pereira.

Some markets are characterized by a systematic relation between how costly it is for consumers to observe prices, market power, and incentives to reduce costs. This paper offers a model of such markets and discusses incentives to invest in cost reduction. I develop two partial equilibrium models, one static, other dynamic, where technology is determined endogenouslythrough stochastic investment, firms set prices, entry is free, and consumerssearch for prices. I use the static model to discuss market power and price controls, and the dynamic model to discuss cost volatility and predation.

"Testing th Expectations Hypothesis in Eurodeposits". E. Domínguez y A. Novales (publicado en International Journal of Money and Finance, 2000)

 

Analyzing data on Euro-rates for 1978-1996, we find consistent evidence in favor of the Expectations hypothesis (EH) of the term structure: a) interest rates offered on deposits in a given currency form a cointegrated system, b) the restrictions of the EH on the cointegrating relationships are not rejected, except at the longer maturities, c) forward rates contain significant explanatory power on future interest rates, unbiadsedness being an acceptable hypothesis, which d) can lead to good interest rate forecasts, specially at the shorter maturities.

"Correlations among Term Structure Slopes in Eurocurrency Markets". E. Domínguez y A. Novales.

Using data on Euro-rates for 1978-1996, we have examined the extent to which cross-country information on term structure slopes can be used to improve upon univariate slope forecasts. This is interesting from the point of view of forecasting economic activity, since term structure slopes have been shown in recent empirical work to anticipate fluctuations in the real economy. On the other hand, the Expectations Hypothesis states that the term structure slope summarizes the available information whihc is relevant for forecast future interest rates. We have found ample evidence of significant explanatory power in term structure slopes across countries. This leads to improved forecast of the term structure slope, in some countries, using a foreign slope as indicator. However, the reductions in forecast error measures are not very large.

"Solving Nonlinear Rational Expectations Models by Eigenvalue- Eigenvector Decompositions". A. Novales, E. Domínguez, J. J. Pérez y J. Ruiz (publicado en Computational Methods for the Study of Dynamic Economies, R. Marimon y A. Scott (eds.), Oxford Un. Press).

We provide a summarized presentation of solutio methods for rational expectations models, based on eigenvalue/eigenvector decompositions. These methods solve systems of stochastic linear difference equations by relying on the use of stability conditions derived from the eigenvectors associated to unstable eigenvalues of the coefficient matrices in the system. For nonlinear structure of the original model is used to produce the numerical solution. After applying the method to a baseline stochasticgrowth model, we explain how it can be used: i) to solve some identification problems that may arise is standard growth models, and ii) to solve endogenous growth models.

"A Comparison and Evaluation of some Alternative Solution Methods to Dynamic Stochastic Models". J. J. Pérez.

We compare and evaluate the performance of four widely used numerical solution methods to dynamic rational expectations stochastic models, in the context of optimal and nonoptimal Pareto setting using a wide variety of statistical measures and two sample sizes. We find that: (i) differences between methods do not necessarily increase with the complexity of the solved model. (ii) For all the example model economies we considered, a log-linear approximation behaves as well as a more complex to implement finite element method. (iii) Rejection of a particular solution method attending to the fulfilment of the rational expectation hypothesis is compatible with almost no differences between methods attending to other comparison criteria. (iv) It is proper to consider 'large' sample sizes to check the properties of a particular solution.

"Caracterización de la vivienda y determinación de su valor corriente (1980-1990)". R. Arévalo.

An interesting point in welfare evaluation is how to consider the house where the family lives. In this paper we construct an index, called Housing Quality Index, that synthesizes the characteristics of a house using spanish data. In first place, with this index we can show that house quality has improved in Spain during the decade from 1980 to 1990. In second place, using a free market rental price model, with this index and other relevant explanatory variables, allows us to analyze the influence of quality in the determination of housing rental prices. With this estimation we are also able to predict the market price for any 'tenure? housing as well as to approximate the inflation in this sector during the decade.

"A General Theory of money". Arthur B. Treadway

 

"The Welfare Cost of Fluctuations in Representative Agent Economies". F. Portier y L. A. Puch

 

"Free Entry with Cost Reducing Investment: A Note". P. Pereira

 

"Technical Appendix to Cost Reduction and Consumer Search". P. Pereira

 

"An Econometric Model for International Tourism Flows in Spain". T. Garín y T. Pérez-Amaral (publicado en Applied Economic Letters, nº 7, 2000).

 

"Relations among several efficiency concepts in Stochastic Multiple Objetive Programming". R. Caballero, E. Cerdá, M. M. Muñoz y L. Rey.

 

"Management of Surgical Waiting List in Public Hospitals". M. V. Rogríguez, M. Arenas, A. Bilbao y E. Cerdá.

 

Actividades del ICAE

Instituto Complutense de Análisis Económico