Seminars (ICAE)

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. 

 

Organizers

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

                                             Fall - Winter 25-26

 

Nov 2025

 

 

Oct 2025

 

  Wed,  22  @ 12:30. Webinar / Onsite    Internal Seminar   

Speaker: M. Sartarelli  (ICAE-UCM) Title:Demand and Supply Shocks in eBay Electronics and COVID Lockdown Abstract: We leverage a novel dataset with more than 30,000 eBay auctions of electronics sold to Spanish customers to test the role Covid19 lockdowns in Europe plays on relevant market characteristics, such as supply and demand, equilibrium prices, as well as proxies for buyers degree of ``sophistication''. We use a regression discontinuity design to estimate the effect of arguably exogenous lockdown dates and summarise our results as follows. First, the n. auctions tends to decrease after a lockdown although not all estimates are significant at conventional levels. Second, both demand and supply at most lockdowns are sensitive to products from Great Britain, as they account for more than 50% of auctions. Third, laptops auctions differ relative to other products, e.g. at the German lockdown last minute bids increase for laptops while they decrease for other products. Our results suggests that the economic uncertainty associated to the lockdown seems to have impacted supply more than demand, with the latter exhibiting somewhat greater heterogeneity.

 

  Wed,  15  @ 12:30. Webinar / Onsite    Internal Seminar   

Speaker: Francesca Lipari (ICAE-UCM) Title: Public support for replacing road tolls with universal road pricing: a stated choice experiment. Abstract:The fight against climate change passes by adapting people’s travel behavior. Several countries are now considering moving towards universal road pricing, where all car drivers pay a tax based on kilometers driven, which varies by time and place. While there is some evidence on public opposition against road tolls, fuel taxes, and other environmental taxes, there is little evidence on attitudes towards universal road pricing. As with any other tax, this intervention requires public support. In this paper, we show evidence from a stated choice experiment among survey participants in Madrid. Through different informational treatments, the experiment sheds light on the motivations behind possible support for the policy, both economic and social ones. The experiment shows that a substantial share of the respondents prefer universal road pricing over current road tolls and fuel taxes, but that support depends on the price level and how revenues are spent. There are some informations that are more salient than other in guiding policy support. The experiment elicits social norms on sustainable travel behavior that are used as additional motivation for studying citizen support. Using latent class analysis and machine learning methods, we identify distinct groups of respondents with varying policy preferences.

Wed,  8  @ 12:30. Webinar / Onsite   Internal Seminar   

Speaker: Laurentiu Guinea  (ICAE) Title:Sovereign Risk Uncertainty and Macroeconomic Transmission: Short-, Medium-, and Long-Run Effects Abstract:This paper identifies Sovereign Risk Uncertainty (SRU) embedded in U.S. credit default swap spreads across maturities and quantifies its macrofinancial effects. We estimate a Bayesian dynamic factor model that extracts three latent SRU factors: short run (s-SRU), medium run (m-SRU), and long run (l-SRU), reflecting transitory, reassessment of default risk, and structural risks. We then trace their effects in a set of Bayesian VARs for macro aggregates, labor-market outcomes, interest rates, uncertainty, expectations, and oil markets. Short-run uncertainty effects on activity and inflation expectations are brief and small. Medium-run uncertainty nudges expectations with gradual real-side effects. The long-run component behaves like a news shock: its impulse responses are hump-shaped and persistent in all systems except the oil BVAR, and it shifts macro expectations in ways that accumulate over time. Across VARs, l-SRU delivers the most durable real effects on output, consumption, savings, and labor-market slack, and it raises inflation-risk pricing without unanchoring long-run expectations. By separating SRU into these horizons, the paper clarifies how sovereign risk uncertainty transmits through financial markets into the macroeconomy.

 

  Thu,  02  @ 12:30. Webinar / Onsite   Econometrics - Finance Seminar   

Speaker: A. García-Sanz (UCM - ICAE) Title: Sustainability and financial risks of the best-in-class: A comprehensive analysis Note: 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) Invited by: M.D. Robles (ICAE-UCM)  Abstract: This study offers a comprehensive analysis of the relationship between corporate sustainability performance and financial risk. Drawing on a panel of 490 leading´best-in- class´ ESG firms from the United States and Europe over the 2000–2021 period, the study examines the impact of ESG scores on seven distinct dimensions of risk, including default risk, market volatility, information risk, and risk-adjusted performance (Jensen’s Alpha). The findings consistently show that stronger ESG performance is associated with significantly lower financial risk, with the Environmental pillar emerging as the most influential driver of risk mitigation. The analysis also uncovers notable heterogeneity between U.S. and European firms, reflecting differences in regulatory environments and cultural norms. These results remain robust across a range of sensitivity tests, including checks for non-linear effects, firms’ GHG emissions, and potential endogeneity, the latter addressed through instrumental variable techniques. Overall, the study provides compelling evidence that ESG integration is a critical component of modern corporate risk management and offers empirical support for regulatory initiatives that promote sustainability as a means to enhance systemic financial stability and market resilience.

 

Sep 2025

 

  Wed,  17  @ 12:30. Webinar / Onsite  Macro Seminar  

Speaker: Ricardo Pérez-Valls (UCM - ICAE) Title: Wealth Accumulation under Bequest-Loving Households and Risky Assets Note: 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) Invited by: L. Puch (ICAE-UCM)  Abstract: This paper studies the role of stochastic, scale-dependent returns on capital to understand the observed paths of wealth accumulation over the life cycle, as opposed to non-homothetic saving motives -namely, preference towards leaving bequests. It provides a numerical solution to a model with idiosyncratic capital income risk and borrowing constraints, calibrated to match some observed features of life cycle profiles on saving rates, and marginal propensities to consume. By allowing returns to be correlated with the size of the portfolio, random deaths, different elasticities towards bequests and consumption, it accounts for the fact that expenditure rates increase from a given wealth and age but decrease abruptly at the top.

 

 

                                             Winter - Spring 2025