Institutos Universitarios


The Department of Economic Analysis and ICAE organize a weekly research seminar that takes place at the meeting room of the ICAE (Room N101) on Wednesday at 13:00 h. unless otherwise announced. 



 Jimenez-Martin, Juan-Angel   -   Finance & Econometrics
 Rodríguez Álvarez, Carmelo   -   Microecomics &  Game Theory
 Sartarelli, Marcello                   -   Microeconometrics


Jun 2024


Wed, 19 Jun 2024 @ 12:30. WebinarOnsite  Finance Seminar   

  • Speaker: C. Frau (UIB)
  • Title: Calendar Spread Options on Energy Commodities
  • Invited by: M. D. Robles (ICAE)


May 2024

Wed, 29 May 2024 @ 12:30. Webinar / Onsite   Finance Seminar 

  • Speaker: H. Veiga (UC3M)
  • Title: TBA
  • Invited by: M Fernanda Rivas (UCM)
  • Abstract:


Wed, 08 May 2024 @ 12:30. Webinar / Onsite  Finance Seminar  

  • Speaker: T-M. Niguez (U. of Westminster)
  • Title: Analytic moments of TGARCH(1,1) models with polynomially adjusted densities
  • Invited by: J-A. Jimenez-Martin (ICAE-UCM)
  • Abstract: This paper extends He et al. (2008) and Francq and Zakoïan (2010) by providing analytical expressions for the moments of the unconditional distribution of the TGARCH(1,1) under alternative specifications for the conditional mean and different skewed distributions for the innovations. We consider polynomially adjusted (PA) densities, such as the PA Logistic, PA hyperbolic secant and the PA Gaussian or Gram-Charlier (GC), along with the skewed Student-t. Our results show that: (i) the main driver of the skewness of the TGARCH(1,1) is the skewness of the innovations, while the excess kurtosis has a comparatively lesser impact. However, both skewness and kurtosis of the innovations affect significantly the TGARCH(1,1) kurtosis; (ii) if the conditional mean is not constant, returns can be asymmetric even if innovations are symmetric; (iii) skewed innovations can generate cross-correlations different from zero, indicating leverage effect, even when the volatility model is symmetric. Finally, we illustrate our theoretical results with two empirical applications.


Apr 2024


Wed, 24 Apr 2024 @ 12:30. Webinar / Onsite  Macro Seminar 

  • Speaker: J. V. Rodriguez-Mora (CUNEF)
  • Title: The role of industries in rising inequality
  • Invited by: A. Díaz (ICAE-UCM)
  • Abstract: We find that majority of the rise in earnings and wage inequality in Italy between 1985 and 2018 took place between firms and that this was mainly driven by the divergence of pay between firms in different industries. The growth in inequality was extremely concentrated with just 5% of industries accounting for all of the increase in between-industry variance. The rise in inequality was predominantly driven by rising employment in low-paying industries and to a lesser extent by increasing earnings of high-paying industries. The patterns of rising inequality in Italy are remarkably similar to the ones identified for the USA which suggests a common explanation centred around industry-level labour demand shifts.


Wed, 17 Apr 2024 @ 12:30. Webinar!!!  Onsite  Finance Seminar   

  • Speaker: Runfeng Yang (Università Ca' Foscari, Venice)
  • Title: The Artificial Intelligence Premium
  • Invited by: J-A. Jimenez-Martin (ICAE-UCM)
  • Abstract: We study whether the Artificial Intelligence (AI) adoption is priced in the cross-section of US stocks. Firms with a higher level of adoption of AI exhibit higher stock returns. A one-standard deviation increase in the AI adoption level indicates an 18 basis-point increase in expected monthly stock returns. We study several economic channels. The AI premium is related to the slow realization of early AI investments and digital benefits. It is influenced by shifting investor perceptions of AI technology. The AI premium is associated with the market AI sentiment and technological adoption risk. The premium varies across sectors.


Wed, 10 Apr 2024 @ 12:30. Webinar / Onsite   Macro Seminar 

  • Speaker: Javier Quintana (Banco de España)
  • Title: Carbon Pricing, Border Adjustment and Renewable Energy Investment: a Network approach
  • Invited by: A. Díaz (ICAE-UCM)
  • Abstract: We develop a dynamic open economy model with production networks, investment networks and renewable energy sector to analyze the economic and environmental consequences of the extension of the European Union (EU) carbon pricing initiatives under alternative carbon border adjustment scenarios. The introduction of an incremental carbon price of €100 per tonne in the EU implies a reduction in carbon footprint by 14% in the EU but does so at the cost of a reduction in GDP by up to 2.3% in the short term. The fall is concentrated in the most energy-intensive sectors, especially in upstream sectors such as metals and chemicals. We also considered the impact that endogenous investment in renewables in the medium. The increase in carbon prices in the EU creates an important incentive to invest in renewable energy (which is not the case in third countries due to the higher cost of fossil fuels, which leads to a reduction of electricity prices and we calculate the induced aggregate and sectoral effects. In the EU as a whole, the loss of GDP would be reduced up to 1.1% while the reduction in carbon footprint would reach 16%. The increase in carbon prices also originates carbon leakage, due to import substitution and higher consumption of fossil fuels in foreign countries, while a import tariff partly reverses it. However, we find that it does so at the cost of a marginally negative effect on GDP and inflation, as the competitive gain is offset by the additional increase in the cost of imported intermediate inputs, which affects differently sectors with higher shares of inputs imported. We also consider the effects of policy alternatives such as the introduction of export subsidies as well as retaliatory tariffs from third countries.


Mar 2024


Wed, 20 Mar 2024 @ 12:30. Webinar / Onsite  Macro Seminar 

  • Speaker: B. de Blas Pérez (UAM)
  • Title: “Structural policy, growth and welfare in the medium-term of advanced countries” (joint with Mónica Correa-López)
  • Invited by: C. Rodríguez-Alvarez (ICAE-UCM)
  • Abstract: 

    In this paper, we use a two-country asymmetric model of endogenous growth in varieties, cross-country firm heterogeneity and trade (Correa-López and de Blas, 2021) to explore the quantitative effects of policy shifts in both, the balanced growth path and, especially, the transition between paths in the medium-term cycle. Endogenous growth is driven by embodied technical change in new intermediate varieties for the capital goods sector (Romer, 1990; Comin and Gertler, 2006). The model also features international spillovers in research. The second source of growth in the model is disembodied technological change, assumed to be exogenous. Countries trade in intermediate varieties (Comin et al., 2014; Santacreu, 2015) which are produced by heterogeneous firms (e.g. Melitz, 2003; Ghironi and Melitz, 2005; Melitz and Redding, 2014).

    We analyze changes across balanced growth paths and transitional dynamics after a policy shift has occured, such as variations in iceberg costs and barriers to adoption, among others. Very preliminary results show that a permanent shift in iceberg transportation costs at the Home country generates a strong and gradual contraction in real GDP and wages of Foreign relative to Home. The adjustment is more dramatic in investment and imported varieties. We also observe a sharp reduction in stock of adopted varieties at Foreign, and indication of a widening of the technology gap.

    Regarding the transitional dynamics, we find that a bilateral trade restrictiveness has asymmetric effects across countries, being the degree of interdependence of countries the key driver. Worldwide trade is affected negatively: there is a contraction in the number of varieties both imported and exported. All this widens the technology gap between Home and Foreign. Finally, in welfare terms, Home is better off than Foreign along the transition.


Wed, 13 Mar 2024 @ 12:30. Webinar!!! / Onsite  Micro Seminar 

  • Speaker: A. Hernando Veciana (UC3M)
  • Title: Designing Price Benchmarks Robust to Manipulation
  • Invited by: C. Rodríguez-Alvarez (ICAE-UCM)
  • Abstract: Price benchmarks are utilized to incorporate the evolution of prices within a market into a contract. However, their usage implies that parties involved in the contract may benefit from manipulating the prices used for computing the benchmark. This paper examines this phenomenon within a realistic and tractable model inspired by the practical intricacies of smart contracts implemented in blockchains such as Ethereum. Our first main result is that trimmed means or Winsorized means perform worse than either the standard mean or the median. Our second main result is that the median outperforms the mean if and only if either the intensive margin of manipulation is sufficiently large or both the extensive margin and price dispersion are sufficiently small, a set of circumstances common in blockchain.


 Tue, 12 Mar 2024 @ 12:30. Webinar!!! / Onsite  Macro Seminar  

  • Speaker: T. Kehoe (U. Of Minnesota & FDR)
  • Title: Default and Interest Rate Shocks: Renegotiation Matters
  • Invited by: A. Díaz (ICAE-UCM)
  • Abstract: We develop a sovereign default model with debt renegotiation in which interest-rate shocks affect default incentives through two mechanisms. The first is the standard mechanism through which higher rates tighten the budget constraint. The second rests on how risk-free rates affect lenders’ opportunity cost of holding delinquent debt. When rates are high, this cost increases and lenders accept larger haircuts, which makes default more attractive ex-ante. We use the model to study the 1982 Mexican default, which followed a large increase in US interest rates. Our novel renegotiation mechanism is key for reconciling sovereign default models with the narrative that US monetary tightening triggered the crisis.


Feb 2024


Wed, 28 Feb 2024 @ 12:30. Webinar / Onsite Finance Seminar

  • Speaker: M. A. Yagüe (UCM)
  • This is an ICAE-Department of Economic Analysis Ph.D. seminar meant to Ph.D. candidates to show their work to the teaching staff and their peers. M. A. Yagüe is presenting the initial paper of his doctoral thesis under the supervision of A. García-Henaux and M. Jeréz.
  • Invited by: Alfredo García-Hiernaux (ICAE-UCM)
  • Abstract: We develop a theoretical framework that explains banks’ credit allocation to either households seeking real estate assets or companies requiring capital for consumer goods production. By analyzing the interaction between the credit and the real estate markets, the model shows that when banks have high lending capacity, they have a natural incentive to bias the credit allocation towards real estate acquisition, fostering the emergence of real estate bubbles. Then we analyze the specific conditions (real estate and credit markets, banks’ characteristics, household preferences and overall economy’s productivity growth) that favor this process, setting direction for a more effective macroprudential regulation.


Thu, 22 Feb 2024 @ 12:30. Webinar / Onsite  Micro Seminar 

  • Speaker: Carlos Vidal (U. Valencia)
  • Title: The implicit (un)healthy life expectancy used for pricing long-term care insurance and life care annuities (with Ventura-Marco and Garvey).
  • Invited by: T. Pérez-Amaral (ICAE-UCM)
  • Abstract: This paper examines the implicit healthy life expectancy (HLE) used for actuarial calculations in some selected biometric data sets from Australia, China, Portugal, Spain and the US. We are interested in checking the demographic and epidemiological coherence of these data sets because this health indicator is rarely presented when authors build their biometric data sets, nor when they are used to calculate long-term care insurance (LTCI) and life care annuity (LCAs) premiums, nor when they are employed in research articles to estimate the future demand for LTC services in a particular country.


Wed, 21 Feb 2024 @ 12:30. WebinarOnsite Micro Seminar 

  • Speaker: A. Nieto Castro (LISER)
  • Title: Television and Academic Achievement: Evidence from the Digital Television Transition in the UK.
  • Invited by: M. Sartarelli  (ICAE-UCM)
  • Abstract: This paper exploits exogenous variation in the transition date from analogue to digital television signal in the UK across more than 32,000 geographical units to examine the causal impact of television on academic performance and potential mechanisms. Using a large administrative dataset on the universe of students in state-funded education in England, I show that the switchover increases pupil test scores and that the effect is driven by economically disadvantaged students and low achievers. Using TV market data and a child survey dataset, I investigate possible mechanisms. I find evidence supporting a displacement effect: the digital transition considerably increases TV viewing time and displaces forms of socialization implying risky behaviour for children. Instead, I find no evidence of an information effect: the switchover does not increase the availability of educational TV content, nor does it change children’s motivation towards school or emotional state.


Wed, 14 Feb 2024 @ 13:00. Webinar!!!   Onsite!!!!

  • Speaker: Gerard Llobet (CEMFI)
  • Title: Understanding Power Contracts: The Role of Counterparty Risk (joint with Natalia Fabra, UC3M)
  • Invited by: C. Rodríguez-Alvarez (ICAE-UCM)
  • Abstract: The promotion of investment in renewable energy relies on Purchasing Power Agreements (PPAs). PPAs are contracts between electricity generators and their customers which establish a long-term price for the energy they trade. However, there is a concern that markets fail to provide enough liquidity for these long-term contracts. In this paper, we propose a model for this market and characterize its main features. We show that the buyers' counterparty risk enlarges the probability of default on the contract, giving rise to under-investment in renewable energy. We also study the effects on the performance of the electricity market and investment incentives of proposed market interventions, such as public support for long-term contracting, public guarantees, regulatory-backed contracts, and buyers' obligations to enter into long-term contracts.



Jan 2024


Wed, 31 Jan 2024 @ 13:00. Webinar!!!  Onsite!!!!

  • Speaker: D. Andrés (UCM)
  • Title: 

    Storage and Renewable Energies:

    Friends or Foes?

  • Invited by: M. Sartarelli  (ICAE-UCM)
  • Abstract: Conventional wisdom claims that renewables and storage are complements. However, we show that this relationship does not always hold from the investors’ point of view. In markets where renewable energies move procyclically relative to demand and their capacity is small, increasing storage (renewable) capacity negatively impacts renewable (storage) firms’ profits. In markets with multiple technologies, at least one of them is negatively impacted by storage. These findings have policy implications for the optimal timing and effectiveness of mandates or subsidies for renewables and storage. Simulations of the Spanish wholesale electricity market illustrate our main results.


Wed, 24 Jan 2024 @ 13:00. Webinar!!!  Onsite!!!!

  • Speaker: E. García Miralles (BdE)
  • Title: When Death was Postponed: The Effect of HIV Medication on Work, Savings, and Marriage.
  • Invited by: M. Sartarelli  (ICAE-UCM)
  • Abstract: Longer life expectancy can affect individuals’ incentives to work, save, and marry, net of any changes in their underlying health. We test this hypothesis by using the sudden arrival of a new treatment in 1995 that dramatically increased life expectancy for HIV-infected individuals. We compare the behavioral responses of HIV-infected individuals who were still in good health but who differed in their access to the new treatment. Those with access to treatment work substantially more, marry later, but do not save more. Our results highlight the importance of accounting for such incentive effects when valuing increases in life expectancy.


Dec 2023


Wed, 20 Dec 2023 @ 13:00. Webinar!!!  Onsite!!!!

  • Speaker: A. Hidalgo (UCM/IMT)
  • Title: Your room is ready: Tourism and urban revival
  • Invited by: M. Sartarelli  (ICAE-UCM)
  • Abstract: 


Thu, 14 Dec 2023 @ 13:00. Webinar!!!  Onsite!!!!

  • Speaker: Juan Miguel Londoño (Board of Governors of the Federal Reserve System)
  • Title: The Price of Macroeconomic Uncertainty: evidence from Daily Options
  • Invited by: E. Fernández (ICAE-UCM)
  • Abstract: Using recently available daily S&P 500 index option expirations, we examine the ex ante pricing of uncertainty surrounding key economic releases and the determinants of risk premia associated with these releases. The cost of insurance against price, variance, and downside risk is higher for options that span U.S. CPI, FOMC, Nonfarm Payroll, and GDP releases compared to neighboring expirations. We calculate release-driven forward equity and variance risk premia and find that premia vary considerably across economic releases and increase with risk aversion as well as with monetary policy and real economic uncertainty. The empirical framework presented in this paper can be used to examine the ex ante pricing of a wide variety of events.


Nov 2023


Wed, 29 Nov 2023 @ 13:00. Webinar!!!  Onsite!!!!

  • Speaker: Marc Vorsatz (UNED)
  • Title: The structure of strategy-proof rules (conjunto con Jorge Alcalde-Unzu, UPNA).
  • Invited by: M Fernanda Rivas (ICAE-UCM)
  • Abstract: We establish that all strategy-proof social choice rules in strict preference domains follow necessarily a two-step procedure. In the first step, agents are asked to reveal some specific information about their preferences. Afterwards, a subrule that is dictatorial or strategy-proof of range 2 must be applied, and the selected subrule may differ depending on the answers of the first step. As a consequence, the strategy-proof rules that have been identified in the literature for some domains can be reinterpreted in terms of our procedure and, more importantly, this procedure serves as a guide for determining the structure of the strategy-proof rules in domains that have not been explored yet.


Wed, 22 Nov 2023 @ 13:00. Webinar!!!  Onsite!!!!

  • Speaker: J. Penalva (UC3M)
  • Title: Operate, not Amputate: Rule 201 as an Example of a Surgical Approach to Dealing with Toxic Short Selling
  • Invited by: Luis Puch (ICAE-UCM)
  • Abstract: In 2011 the SEC introduced Rule 201 aimed at striking a balance between limiting the threat of short sellers on price stability while interfering as little as possible with the provision of liquidity and the process of price discovery. In this paper we provide a novel evaluation of this Rule using over two years of intraday data, carefully matching restricted and control assets, and separating local effects around the implementation from those over the remainder of the trading day. We find that the Rule achieves its objectives: despite a 4% drop in volume, liquidity and volatility improve (the spreads fall by 7% and the range by 13%). Our analysis indicates that the restrictions achieve this by increasing the cost of short selling in a way that primarily affects toxic short sellers.


Wed, 15 Nov 2023 @ 13:00. Webinar!!!  Onsite!!!!

  • Speaker: A. Nuevo (UAM)
  • Title: The Birth Order Effect: A Modern Phenomenon?
  • Invited by:  A. Díaz (ICAE-UCM)
  • Abstract: We provide a historical perspective on the birth order effect by examining differences in adult occupational rank among brothers in 19th and early 20th century Netherlands. Using a rich historical dataset compiling administrative birth and marriage registry records linking family members, we further analyze the role of family composition and socio-economic status in modulating the birth order effect. While consistent with findings in modern developed countries, we find that later-born males hold lower-ranked occupations than their older male siblings, we also find that consistent with modern evidence from emerging economies like India and China, this negative birth order effect is primarily driven by differences between the first- and the last-born and their siblings, and by the number of brothers in the family. Birth order differences – particularly the first-born advantage – are larger among socio-economically advantaged families and in more urbanised areas, while the opposite is true for the last-born effect. Surprisingly, the first-born advantage or sonpreference is not driven by inheritance rules or transmission of occupations to children born earlier in the family. Taken together, our findings suggest that birth order effects and quantity-quality tradeoffs in families, are not merely modern phenomena but have been a source of context-dependent intrahousehold inequality throughout the centuries


Wed, 08 Nov 2023 @ 13:00. Webinar!!!  Onsite!!!!

  • Speaker: E. Zucchelli (UAM)
  • Title: Intergenerational persistence of socioeconomic status, smoking and birth weight
  • Invited by: M. Sartarelli  (ICAE-UCM)
  • Abstract: The identification of key factors affecting infant health is a relevant issue in human development due to its established association with long-term health, educational and labour-market outcomes. This paper exploits intergenerational information on three generations (grandparents-parents-children) to aid the identification of the effects of parental education and smoking behaviour on offspring health at birth. We employ rich intergenerational data drawn from the US National Longitudinal Study of Adolescent to Adult Health (Add Health) and a two-stage empirical approach. We find that there is a strong intergenerational persistence of education and smoking across generations. Higher parental education reduces the likelihood of children’s low birth weight while maternal smoking during pregnancy as well as parental regular smoking increase it. Results are confirmed using a battery of robustness checks, including the use of an instrumental variable. Moreover, heterogeneity analyses by biological sex show that fathers might play an important role in affecting offspring’s health.


Oct 2023


Wed, 25 Oct 2023 @ 13:00. Webinar!!!  Onsite!!!!

  • Speaker: Jordi Paniagua (UV)
  • Title: Mind the gaps: Gender complementarities in migration and FDI
  • Invited by: Luis Puch (ICAE-UCM)
  • Abstract: This paper analyzes the effect of increasing the share of female migrants on Foreign Direct Investment (FDI). We develop a model that introduces gendered labor and discrimination in a structural model of FDI. Our estimates reveal that the increasing feminization of the immigration labor force is positively associated with FDI. Furthermore, the model disciplines the quantification of the elasticity of substitution between male and female labor for 27 OECD countries (1.3 on average) and three job types: managers (3.2), professionals (2.1), and non-qualified workers (6.0). The elasticity of substitution is lower in countries with low gender gaps (e.g., 0.3 in Sweden) than in countries with high gender gaps (e.g., 6.1 in Mexico). Our analysis offers novel perspectives on the impacts of migration and the potential implications of policies targeted at enhancing female workforce participation.
    Keywords— FDI, migration, elasticity of substitution, gender, discrimination.


Wed, 04 Oct 2023 @ 13:00. Webinar!!!  Onsite!!!!

  • Speaker: Boris Ginzburg (UC3M)
  • Title: Troll Farms and Voter Disinformation
  • Invited by: C. Rodríguez-Alvarez (ICAE-UCM)
  • Abstract: Political agents often attempt to influence elections through troll farms – organisations that flood social media platforms with messages emulating genuine information. We model the behaviour of a troll farm that faces a heterogeneous electorate of partially informed voters, and aims to achieve a desired political outcome by targeting each type of voter with a specific distribution of messages. We show that such tactics are more effective when voters are otherwise well-informed. Consequently, societies with high-quality media are more vulnerable to electoral manipulation, and counteracting troll farms may require promotion of informative but non-expert opinions. At the same time, increased polarisation, as well as deviations from Bayesian rationality, can reduce the negative effect of troll farms and restore efficiency of electoral outcomes.


Jun 2023


Thu, 15 Jun 2023 @ 13:00. Webinar!!!    And Onsite also!!!!

  • Invited by: Alfredo García-Hiernaux (ICAE-UCM)
  • Abstract: This note provides a methodology to measure inflation volatility under the P measure based on a model of prices and assuming rational inattention. We apply this methodology to estimate the inflation volatility for the Eurozone, Germany, Spain, and the US from 2002 to 2022. We find significant differences between the Eurozone and the US in the dynamics of inflation volatility in turmoil periods. As a robust test, we apply this methodology to estimate the 10-year Government bond yield volatility in Germany, Spain and the US, and the S&P 500 volatility, finding higher information content than standard approaches. This methodology can be used to assess useful volatility measures for several macro and financial series.


Wed, 14 Jun 2023 @ 13:00. Webinar!!!    And Onsite also!!!!

  • Speaker: Lior Cohen (Institut Barcelona d'Estudis Internacionals, Universitat Pompeu Fabra)
  • Title: Cents and Sensibility: Exploring Non-Proportional Reasoning During Stock Market Declines
  • Invited by: Simon Sosvilla-Rivero (ICAE-UCM)
  • Abstract: The paper explores how individuals assess and respond to a stock market decline, using a survey that presents scenarios involving several stocks with prices at different orders of magnitude that all fall by the same percentage but are only presented in dollar terms. The results indicate that people's reactions to risk differ depending on the nominal value of the stock. Specifically, individuals perceived higher-priced stocks as riskier and tended to sell them more than lower-priced ones. In addition, certain factors, such as risk aversion and following stock-related news, were associated with more robust non-proportional reasoning. These findings suggest that individuals rely on nominal value rather than percentage change when evaluating the risk of a stock market decline.




Thu, 8 Jun 2023 @ 13:00. Webinar!!!    Onsite!!!!

  • Speaker: Antonio Cabrales (UC3M)
  • Title:

    The Interactions of Social Norms about Climate Change: Science, Institutions and Economics (joint with 

    Manu García, WU Saint Louis, David Ramos Muñoz, UC3M, Angel Sánchez UC3M)

  • Invited by: Luis Puch (ICAE-UCM)
  • Abstract: We study the evolution of interest about climate change between different actors of the population, and how the interest of those actors affect one another. We first document the evolution individually, and then provide a model of cross influences between them, that we then estimate with a VAR. We find large swings over time of said interest for the general public by creating a Climate Change Index for Europe and the US (CCI) using news media mentions, and little interest among economists (measured by publications in top journals of the discipline). The general interest science journals and policymakers have a more steady interest, although policymakers get interested much later.


Wed, 7 Jun 2023 @ 13:00. Webinar!!!   Onsite!!!!

  • Speaker: Mattia Bevilacqua (University of Liverpool & Systemic Risk Center at LSE)
  • Title: Uncovering the Asymmetric Information Content of High-Frequency Options
  • Invited by: J-A. Jimenez-Martin (ICAE-UCM)
  • Abstract: We propose option realized semivariances and signed jumps which can be seen as new “observable quantities” to summarize the asymmetric information contained in the sign of high-frequency options returns. We show that these measures successfully capture the direction of the discontinuities related to the underlying asset and risk factor, resulting in additional incremental information neither contained in the aggregate option realized measures nor in other end-of-day stock and options data. In specific, using options data on SPDR S&P 500 ETF (SPY) and 15 individual equities, we find that the negative (positive) semivariance and signed jump of out-of-the-money call (put) options play a prominent role in predicting future variance, variance risk-premia, and excess monthly returns.


May 2023


Wed, 31 May 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: G. Correa Lopera (UPNA)
  • Title: Voting Equilibria and Public Funding of Political Parties (joint with Bernardo Moreno, U Málaga)
  • Invited by: E. Huergo (ICAE-UCM)
  • Abstract: In most OECD countries direct public funding to political parties is provided and its allocation is executed on the basis of two principles, i.e., (i) proportional to the votes (or alternatively the number of seats), and (ii) equal distribution. We consider the existence of an optimal policy and study in a setting where the public political financing is a linear function of the received number of votes. First, we find that direct public funding to political parties necessarily has to be provided when implementing optimal policy as the goal. Second, sums to be allocated both proportionally and evenly between parties depend on the quality of voters’ information, the size of non-partisan voters and nature of parties, and the distribution of supporters of each party.



Wed, 24 May 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: Antoni-Italo Moragas (CUNEF)
  • Title: Geographical Mobility as a Bridge to Opportunity: Evidence from the Spanish Military Service (joint with J Cáceres-Delpiano, UC3M;, Gabriel Facchini Royal Holloway; Ignacio González, American University)
  • Invited by:  C. Rodríguez-Alvarez (ICAE-UCM)
  • Abstract: We study the effects of a temporary and forced migration shock on individuals’ fu-ture geographical mobility and labor market outcomes. We exploit a feature of the mandatory military service in Spain, where individuals were randomly allocated to a military camp in their own region or in one of the other sixteen regions of the country. Using data from a nationally representative survey in Spain, we find that conscripts assigned to military service in a region different from their own have a substantially higher probability (8 pp) of changing their province of residence at some time in the future. The size of this effect is larger for the older cohorts. We find that most of the effect is driven by migrations to provinces different from that of the military ser- vice, which is consistent with the hypothesis that the decision to migrate does not rely on the individual having a preference for that destination, but on featuring a greater propensity to move after a previous migration experience. Furthermore, we find that the individuals who were sent out during the military service were more likely to be employed (5 pp), work more hours per week (1.8 hours), and were more likely to make social security contributions (6.2 pp) around five years after the service. All in all, our estimates suggest that a temporary migration shock during the early adulthood years had a positive effect on the future geographical mobility of conscripts and on their labor market outcomes.


Tue, 23 May 2023 @ 13:00. Webinar!!!    Onsite !!!!

  • Speaker: Runfeng Yang (UCM-Phd. candidate)
  • This is an ICAE-Department of Economic Analysis Ph.D. seminar meant to Ph.D. candidates to show their work to the teaching staff and their peers. Pass this seminar is a requirement for satisfactory progress in the Doctoral joint Program in Quantitative Finance and Economics/Programa de Doctorado en Finanzas y Economía Cuantitativas (UCM-UPV-UV-UCLM)
  • Title: Measuring the Climate Transition Risk Spillover
  • Invited by: J-A. Jimenez-Martin (ICAE-UCM)
  • Abstract: Climate transition risk, the generated from the transition to a low-carbon economy due to changing policies, can have cross-border impacts. In this paper, we study the transition risk spillover among six major financial markets globally from 2013 to 2021. We evidence the transition risk spillover. We find that Canada and the US are main transition risk transmitters, and Europe and Japan are the main receivers of the transition risk. Such role of transmission could change over time and change according to different types of transition risk shocks. It takes around three weeks for transition risk to be fairly transmitted. On average, around 40% – 50% of local climate transition risk shocks comes from outside. The transition risk spillover is also affected by other factors. When the financial markets are more connected, the risk spillover is higher. A more tense geopolitical relationship could mean higher risk spillover. A more stringent local climate policy means lower risk received and higher risk given. We also find that a higher climate sentiment is associated with higher level of risk transmission.


Fri, 19 May 2023 @ 12:00. Webinar   Onsite !!!!

  • Speaker: Amir Shmueli (Hebrew University Jerusalem)
  • Title: Social Solidarity in Healthcare: The Israeli Case
  • Invited by: Manuel García-Goñi (UCM)
  • Abstract: While solidarity is at the basis of all social health insurance systems, little has been done to define and analyze it empirically. Equity in the delivery of medical care and progressivity of its finance are socially important, but miss the main principle of social health insurance systems – mutual help. The present study views social solidarity not as a value but as cross-subsidies among individuals, which are necessary to achieve a separation between finance and delivery of care in order to make healthcare affordable universally. A solidarity index, derived from the Kakwani Progressivity Index, is suggested and applied to the Israeli national health insurance system in 2010. The observed solidarity index for 2010 Israel is 0.242. Adjusting for possible barriers in use does not change the index. About 85% of the solidarity index originates from income solidarity. If the entire health budget was financed by the general revenue, the solidarity index would rise to 0.259. The level of solidarity in Israel is close to the one found in Canada, Finland and France. More comparative results over time and over systems will enable further insights and uses. The sustainability of solidarity requires, however, some altruism among the rich with respect to the health state of the poor.


Wed, 17 May 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: Corrado di Maria (East Angllia)
  • Title: The effect of climate policy on cost pass-through in the German manufacturing sector
  • Invited by: P. André (ICAE-UCM)
  • Abstract: We investigate productivity and cost pass-through of German manufacturing firms using administrative data from 2001 to 2018. Our framework allows for the estimation of quantity-based production functions for multi-product firms while controlling for unobserved productivity shocks and unobserved input quality. Using our parameter estimates, we can compute total factor productivity, markups and
    marginal costs. We find no effect of the EU ETS on firm productivity or profits for the whole sector, and a positive effect for some industries. Firms pass on shocks to materials costs completely, or even more than completely, whereas pass-through of energy costs is around 35-60%. Although the pass-through of energy costs is incomplete, it nevertheless allowed firms to recover more than their total carbon costs due to the generous free allocation of allowances. Our results add to the recent literature concerning the causal effects of climate policy on firms and are relevant for policymakers when defining the level of free allowance allocation to industry.



TUEm, 16 May 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: Buhong Zheng (Colorado University, Denver)
  • Title: Minimum Inequality Aversion and Welfare Ranking of Income Distributions
  • Invited by: J.G. Rodríguez (ICAE-UCM)
  • Abstract: 

    This paper takes on a well-known issue in applying the generalized Lorenz (GL) dominance as a welfare ranking criterion, proposes absolution and provides a characterization. The issue is the lack of equity-efficiency trade-off in the GL dominance and the cause is the inclusion of inequality-neutral social welfare function (SWF) in the set of SWFs that support the GL dominance. We propose to set a minimum inequality aversion and derive an extended dominance condition which is simply the GL dominance condition applied to utility profiles instead of income profiles. The extended condition is equivalent to Meyerís (1977) second degree stochastic dominance with respect to a function and it can be characterized by a sequence of the Diamond-Stiglitz (1974) type mean-utility-preserving transfers of income.

    We illustrate the extended GL dominance and its associated Lorenz dominance with the US income data. Finally, we briefly outline how the newly developed idea of "almost dominance" (Leshno and Levy, 2002; Zheng, 2018) can be further utilized to make the GL dominance a more versatile tool for welfare evaluation.

Buhong Zheng, PhD



Tue, 9 May 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: Joan Llull (UAB)
  • Title:Selective Immigration Policies and the US Labor Market
  • Invited by: L. Puch (ICAE-UCM)
  • Abstract: While immigration of unskilled workers often generates controversy in the political arena, there is often more consensus in favor of selec- tive immigration policies. This paper studies the effects of selective immigration policies on the labor market. High skilled immigration introduces two potentially confronting forces on labor market prospects of native workers: first, it increases the competition for skilled jobs, reducing labor market opportunities, and, as a result, reducing native incentives to invest in human capital; second, it increases productivity through spillovers and technological progress. I pose and estimate a labor market equilibrium dynamic discrete choice model that can account for these effects. The estimated model is used to evaluate the labor market consequences of the two most important skill-biased immigration policies in recent U.S. history: the introduction of H-1B visa program in 1990, and the elimination of the National Origins Formula in 1965. I also use the model to simulate the level of selectivity of immigration policy that maximizes native workers’ well-being.


Wed, 3 May 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: Galina Zudenkova (Dortmund University)
  • Title: Can public policy increase paternity acknowledgment? Evidence from earnings-related parental leave (with Anna Raute and Andrea Weber)
  • Invited by: E. Huergo (ICAE-UCM)
  • Abstract: A child's family structure is a fundamental determinant of future well-being, making it essential to understand how public policies affect the involvement of fathers. In this paper, we exploit a reform of the German parental leave system---which increased mother's income and reduced legal father's financial support burden---to measure the impact on the relationship contract choices of parents who were unmarried at conception. Based on detailed birth record data, we demonstrate that short-run reform incentives during the first period after birth nudge unmarried fathers into the long-term commitment of acknowledging paternity. This shift reduces single motherhood by 6% but leaves the share of marriages at birth constant. Moreover, the change in relationship contract choices is mostly driven by parents of boys. These findings are compatible with predictions from a model where parents choose between three types of relationship contracts based on the mother's and father's incomes and support obligations. Our results highlight the necessity of studying intermediate relationship contracts (i.e., between the extremes of marriage and single motherhood) to improve our understanding of potential risk groups among the rising number of children growing up outside of marriage.


Apr 2023


Wed, 26 April 2023 @ 13:00. Webinar Online!!!!

  • Speaker: Francesca Foliano (UCL/LSE)
  • Title: Perseverance in the classroom: results from a randomised educational intervention in primary schools in England (joint with  S Hoskins U Portsmouth & H Rolfer, Britsh Future)
  • Invited by: M. Sartarelli  (ICAE-UCM)
  • Abstract: 

    This paper studies the effect of a randomised educational intervention aimed at increasing perseverance in the classroom on cognitive outcomes, beliefs and attitudes towards learning. The trial is carried out in 100 primary schools in England. The subjects are Year 6 pupils who are introduced to the idea of resilience, perseverance and incremental intelligence by their teachers over several sessions. Pupils in the intervention group have significantly lower perception that their intelligence is a fixed trait. The intervention also has a small positive effect on the positive attitude towards learning of treated pupils. However, unlike other related trials in psychology, education and economics, our analysis finds that the intervention has no impact on literacy nor numeracy overall, and that this applies across all pupils including those eligible for Free School Meals.



Wed, 19 April 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: Francesca Lipari (UC3M)
  • Title: When the design of climate policy meets public acceptance: an adaptive multiplex network mode
  • Invited by: M. Sartarelli  (ICAE-UCM)
  • Abstract: The socio-political processes which determine climate policy acceptance are of paramount importance for the design of mitigation policies. In this paper we identify relevant feedback processes between social and political levels that can affect climate policy using a stylized model of the climate–social system that seeks to understand how to achieve higher support for climate change mitigation policies. The factors influencing policy support include, among others social norms, self-efficacy, income, and participation. The research questions the paper addresses are: To what extent are public attitudes toward climate policies affected by social norms and self-efficacy when regressive and progressive policies are implemented? Do social norms and individual self-efficacy impair the efficacy of the policies? The current study addresses climate mitigation policy, with changing or even endogenous preferences, and shows how individuals engage in processes of social change. Simulation results show that even limited peer pressure has a positive and significant effect in citizen’s green propensity in both regressive and progressive green policy scenarios. Moreover, assuming homogeneous self-efficacy across society leads to overestimating society’s acceptance of green policies.
    Our results show that fostering existing competences or developing new ones, through complementary interventions (i.e. energy literacy, financial literacy), could help increase self-efficacy which would in turn increase acceptance of climate policies


Wed, 12 April 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: David Medina (U. Padua/UMA)
  • Title: Life Pension and Parliamentarian Effort
  • Invited by: P. Álvarez (ICAE-UCM)
  • Abstract: Many democracies grant their parliamentarians access to an exclusive pension system. While there has been much debate about the financial cost of such schemes, little attention has been paid to their effect on parliamentary effort. We propose a model that captures the two main features of life pension schemes: i) the pension amount is increasing with seniority, and ii) age determines parliamentarians’ eligibility. Our model highlights heterogeneous incentives to exert parliamentarian effort: introducing a life pension decreases the effort of eligible parliamentarians with high accumulation levels and increases or maintains the effort of all other parliamentarians. We test this model using the introduction of the life pension in Italy in 1955 where the eligibility of parliamentarians depends on their age and the amount accumulated depends on their seniority. Our empirical results show that the prospects of accumulating a higher pension stimulates parliamentarians to exert more effort, especially when parliamentarians are not eligible. In contrast, eligible parliamentarians face a trade-off between accumulating further benefits or enjoying the life pension straight away. Senior eligible parliamentarians decrease their effort while all other parliamentarians maintain or increase their effort.


Mar 2023


Wed 22 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: Pietro Salmaso (U. Padova)
  • Title: Dynamic One-Sided Matching (joint with Antonio Nicolò & Riccardo Saulle, U Padova)
  • Invited by: P. Alvárez (ICAE-UCM)
  • Abstract: We introduce a solution concept for one-sided dynamic matching models, called the dynamic core. The dynamic core is defined for a general class of dynamic markets where agents and objects arrive over time, and objects can be privately or collectively owned. We prove that the dynamic core is not empty and discuss the relation with the static notions of core and strong core. We show that the output of a dynamic extension of the Top Trading Cycle algorithm, the Intertemporal Top Trading Cycle (ITTC), is in the dynamic core and the mechanism induced by the ITTC is efficient and group strategy-proof. In private economies the output of the ITTC can be supported as a dynamic competitive equilibrium.


Wed 15 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: J. Stuhler (UC3M)
  • Title: Immigration and Monopsony: Evidence Across the Distribution of Firms (joint with Michael Amior, Hebrew University)
  • Invited by: A. Díaz (ICAE-UCM)
  • Abstract: We argue that immigration can strengthen the monopsony power of firms. If migrants have low reservation wages, firms can profit from “cheap” migrant labor by offering lower wages, at the cost of foregoing native workers with higher reservations. This monopsonistic trade-off can generate large negative effects on native employment that exceed those in competitive models, and which are concentrated among low-paying firms. We validate these predictions using firm-level evidence from a large immigration wave in Germany, and we corroborate our findings using more aggregated data from the US. These adverse effects are not inevitable, and may be ameliorated throughpolicies which constrain monopsony power.


Wed 08 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: A. Romero-Medina (UC3M)
  • Title: Reasonable Stability
  • Invited by: C. Rodríguez-Alvarez (ICAE-UCM, joint with Matteo Triossi,  U Ca' Foscari-Venezia)
  • Abstract: We present reasonable stability, a concept of stability for many-to-many matching markets with contracts where agents can sign more than one con- tract with each other. We show that reasonably stable allocations always exist if agents' preferences are substitutable. The set of reasonably stable allocations is a superset of the set of pairwise stable allocations and forms a lattice. Reasonably stable allocation can be obtained as an SPNE of a simple mechanism.


Wed 01 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: L. Franjo (U Alicante)
  • Title:  Growth, Housing and Global Imbalances (jont with

    Luisa Lambertini ,EPFL;

     and Serhiy Stepanchuk, U Southampton)

  • Invited by: A. Díaz (ICAE-UCM)
  • Abstract: In the decade leading to the Great Recession, the United States experienced persistent current account deficits and rising house prices, while China, one of its major trading partners, experienced rapid house price growth coupled with large current account surpluses. Besides China, other Asian fast-growing economies also displayed a positive correlation between house prices and the current account. The existing literature, however, points towards a cross-country negative correlation. In this paper, we develop a two-country life-cycle model with housing in which both economies become financially integrated when one of the countries is a fast-growing economy in transition to its autarky steady state. We allow for asymmetries across countries in terms of productivity growth, the loan-to-value ratio, the wage profile over the life-cycle, and the population structure. We then calibrate the model economy to the U.S. and China and open both countries to trade. The model matches the observed relationship between the house prices and the current account in both economies. We then carry out two exercises: first, we reduce the importance of housing in the economy and find an amplification effect of housing on global imbalances; and, second, we study the counterfactual financial autarky paths and find a negative correlation between the current account and the difference between house prices in the benchmark and in autarky in both economies.



Feb 2023


Wed 22 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: Antoine Loeper (UC3M)
  • Title: Legislative Priorities and the Structure of Government (joint with Wioletta Dziuda, Harris School of Public Policy U Chicago)
  • Invited by: C. Rodríguez-Alvarez (ICAE-UCM)
  • Abstract: Passing a major reform takes time. Therefore, in a rapidly changing world, policy makers have to decide not only whether to implement a given reform, but also which reform to prioritize. To analyse how voters can affect legislative priorities via their choice of government, we consider a parsimonious dynamic model of legislative bargaining in which one policy dimension (e.g., tax policy) generates more disagreement than the other (e.g., infrastructure spending). In every period, both policy dimensions are subject to shocks, but the government can only reform one policy dimension at a time. In every period, the voters choose to appoint a unified or a divided government. The analysis shows that voters prefer electing a divided government. The reason is that voters fear that a unified government will waste its legislative time on partisan reforms, which may crowd out potentially beneficial consensual reforms. A divided government also has a bias: it often fails to pass an ideologically-charged reform, even when it is more pressing for the voters. But its inability to pass controversial reforms frees up legislative time for consensual reform, instead of crowding them out as in the case of a unified government.


Wed 15 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: Juan-Cesar Palomino (ICAE-UCM)
  • Title: Inequality of Opportunity in Educational Achievement in Western Europe: Contributors and Channels (joint with Gustavo Marrero & Gabriela Sicilia, U La Laguna)
  • Invited by: M. Sartarelli  (ICAE-UCM)
  • Abstract:  Evidence on inequality of opportunity in terms of educational achievement (IOpE) has not yet explored the relevance of different contributors and channels. Using the latest microdata from the 2018 Programme for International Student Assessment, we find that IOpE accounts, on average, for 32% of total educational inequality in Western Europe, with substantial variation across countries. Differences in households’ cultural environment and in parental occupation are the most important contributors, with school’s characteristics being also relevant in Central Europe. We then estimate for the first time the role of channelling variables in translating differences in circumstances into different educational achievement. In most countries, students’ educational and occupational expectations, their reading habits and skills, and the repetition of previous courses are the most influential channels. These findings provide policymakers with key insights to design educational interventions to effectively increase educational -and, ultimately, social- opportunities across European countries.


Wed 8 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: Federico Curci (CUNEF)
  • Title: Gentrifying Cities, Amenities and Income Segregation: Evidence from San Francisco (joint with Hasin Yousaf UNSW)
  • Invited by: M. Sartarelli  (ICAE-UCM)
  • Abstract: Over the past 20 years, U.S. cities have experienced a movement of the high-skilled workers into city centers. We study the effects of gentrification on local amenities and income segregation, exploiting the introduction of bus routes chartered by high-tech firms to transport employees from San Francisco to the workplace. We show that the influx of tech workers to specific neighborhoods increases the housing demand by other high-skilled individuals. Treated block groups experience an improvement in local amenities: new residents are willing to pay higher housing costs and accept longer commutes. We show that gentrification displaces the poorest households.


Wed 1 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: Juanjo Ganuza (UPF)
  • Title: Renegotiation, Discrimination and Favoritism in Symmetric Procurement Auctions (with L Arozamena and F. Weinschelbaum, U Torcuato di Tella)
  • Invited by: C. Rodríguez-Alvarez (ICAE-UCM)
  • Abstract: In order to make competition open, fair and transparent, procurement regulations often require equal treatment for all bidders. This paper shows how a favored supplier can be treated preferentially (opening the door to home bias and corruption) even when explicit discrimination is not allowed. We analyze a procurement setting in which the optimal design of the project to be contracted is unknown. The sponsor has to invest in specifying the project. The larger the investment, the higher the probability that the initial design is optimal. When it is not, a bargaining process between the winning firm and the sponsor takes place. Profits from bargaining are larger for the favored supplier than for its rivals. Given this comparative advantage, the favored firm bids more aggressively and wins more often than standard firms. Finally, we show that the sponsor invests less in specifying the initial design, when favoritism is stronger. Underinvestment in design specification is a tool for providing a comparative advantage to the favored firm.


Jan 2023


Wed 25 2023 @ 13:00. Webinar   Onsite !!!!

  • Speaker: Jorge García-Hombrados (UAM)
  • Title: Specialised Courts and the Reporting of Intimate Partner Violence: Evidence from Spain
  • Invited by: M. Sartarelli  (ICAE-UCM)
  • Abstract: This paper assesses the effect of the creation of specialised intimate partner violence (IPV) courts on the reporting of these crimes and on the incidence of IPV homicides. We find that the opening of a specialised IPV court decreases the time to resolution of IPV cases in the judicial district by 65% and increases the reporting of IPV by approximately 24%. On the other hand, we do not find any effect of these courts on the incidence of IPV homicides within the period studied.