Details about Carmen Broto

Access statistics for papers by Carmen Broto.

Last updated 2025-01-08. Update your information in the RePEc Author Service.

Short-id: pbr200

Working Papers

2024

1. Análisis de los riesgos sistémicos cíclicos en España y de su mitigación mediante requerimientos de capital bancario contracíclicos
   Occasional Papers, Banco de España

2023

2. Indicadores de riesgos y vulnerabilidades en el mercado de la vivienda en España
   Occasional Papers, Banco de España
3. Risk and vulnerability indicators for the spanish housing market
   Occasional Papers, Banco de España

2022

4. Do buffer requirements for european systemically important banks make them less systemic?
   Working Papers, Banco de España View citations (4)
   See also Journal Article Do Buffer Requirements for European Systemically Important Banks Make Them Less Systemic, International Journal of Central Banking, International Journal of Central Banking (2025) (2025)

2021

5. How do central banks identify risks? A survey of indicators
   Occasional Papers, Banco de España View citations (1)

2019

6. Is market liquidity less resilient after the financial crisis? Evidence for us treasuries
   Working Papers, Banco de España View citations (1)
   See also Journal Article Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries, Economic Modelling, Elsevier (2020) View citations (12) (2020)

2016

7. Measuring market liquidity in us fixed income markets: a new synthetic indicator
   Working Papers, Banco de España View citations (9)

2014

8. Sovereign ratings and their asymmetric response to fundamentals
   Working Papers, Banco de España View citations (3)
   See also Journal Article Sovereign ratings and their asymmetric response to fundamentals, Journal of Economic Behavior & Organization, Elsevier (2016) View citations (22) (2016)

2013

9. Disentangling contagion among sovereign cds spreads during the european debt crisis
   Working Papers, Banco de España View citations (12)
   See also Journal Article Disentangling contagion among sovereign CDS spreads during the European debt crisis, Journal of Empirical Finance, Elsevier (2015) View citations (63) (2015)

2012

10. The effectiveness of forex interventions in four Latin American countries
    Working Papers, Banco de España View citations (13)
    See also Journal Article The effectiveness of forex interventions in four Latin American countries, Emerging Markets Review, Elsevier (2013) View citations (23) (2013)

2011

11. Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries
    BOFIT Discussion Papers, Bank of Finland Institute for Emerging Economies (BOFIT)
    Also in Working Papers, Banco de España (2011) View citations (10)
    See also Journal Article Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries, Journal of International Money and Finance, Elsevier (2012) View citations (52) (2012)

2008

12. Inflation targeting in Latin America: Empirical analysis using GARCH models
    Working Papers, Banco de España View citations (8)
    See also Journal Article Inflation targeting in Latin America: Empirical analysis using GARCH models, Economic Modelling, Elsevier (2011) View citations (13) (2011)
13. Measuring and explaining the volatility of capital flows towards emerging countries
    Working Papers, Banco de España View citations (13)
14. Testing for conditional heteroscedasticity in the components of inflation
    Working Papers, Banco de España View citations (2)
    See also Journal Article Testing for Conditional Heteroscedasticity in the Components of Inflation, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2009) View citations (5) (2009)

2007

15. Local debt expansion... vulnerability reduction? An assessment for six crises-prone countries
    Working Papers, Banco de España View citations (4)

2006

16. Using auxiliary residuals to detect conditional heteroscedasticity in inflation
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (1)

2003

17. Unobserved component models with asymmetric conditional variances
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística
    See also Journal Article Unobserved component models with asymmetric conditional variances, Computational Statistics & Data Analysis, Elsevier (2006) View citations (13) (2006)

2002

18. Estimation methods for stochastic volatility models: a survey
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística View citations (7)
    See also Journal Article Estimation methods for stochastic volatility models: a survey, Journal of Economic Surveys, Wiley Blackwell (2004) View citations (96) (2004)

Journal Articles

2025

1. Do Buffer Requirements for European Systemically Important Banks Make Them Less Systemic
   International Journal of Central Banking, 2025, 21, (1), 235-272
   See also Working Paper Do buffer requirements for european systemically important banks make them less systemic?, Working Papers (2022) View citations (4) (2022)

2022

2. Indicadores sectoriales para la aplicación de las nuevas herramientas macroprudenciales del Banco de España
   Revista de Estabilidad Financiera, 2022, (Primavera)
3. Sectoral indicators for applying the Banco de España’s new macroprudential tools
   Financial Stability Review, 2022, (Spring)
4. Structural risk indicators for the Spanish banking sector
   Financial Stability Review, 2022, (Autumn)
   Also in Revista de Estabilidad Financiera, 2022, (Otoño) (2022)

2020

5. Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries
   Economic Modelling, 2020, 93, (C), 217-229 View citations (12)
   See also Working Paper Is market liquidity less resilient after the financial crisis? Evidence for us treasuries, Working Papers (2019) View citations (1) (2019)

2016

6. Sovereign ratings and their asymmetric response to fundamentals
   Journal of Economic Behavior & Organization, 2016, 130, (C), 206-224 View citations (22)
   See also Working Paper Sovereign ratings and their asymmetric response to fundamentals, Working Papers (2014) View citations (3) (2014)

2015

7. Calificación crediticia de la deuda soberana y cambios en las condiciones económicas
   Boletín Económico, 2015, (MAY), 49-59
8. Disentangling contagion among sovereign CDS spreads during the European debt crisis
   Journal of Empirical Finance, 2015, 32, (C), 165-179 View citations (63)
   See also Working Paper Disentangling contagion among sovereign cds spreads during the european debt crisis, Working Papers (2013) View citations (12) (2013)
9. Global funding trends on the capital markets in 2014
   Economic Bulletin, 2015, (MAR), 45-57
10. Tendencias globales de financiación en los mercados de capitales en 2014
    Boletín Económico, 2015, (FEB), 53-66

2013

11. Tendencias globales de financiación en los mercados de capitales en 2012
    Boletín Económico, 2013, (FEB), 71-83
12. The effectiveness of forex interventions in four Latin American countries
    Emerging Markets Review, 2013, 17, (C), 224-240 View citations (23)
    See also Working Paper The effectiveness of forex interventions in four Latin American countries, Working Papers (2012) View citations (13) (2012)

2012

13. Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries
    Journal of International Money and Finance, 2012, 31, (2), 428-444 View citations (52)
    See also Working Paper Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries, BOFIT Discussion Papers (2011) (2011)

2011

14. Inflation targeting in Latin America: Empirical analysis using GARCH models
    Economic Modelling, 2011, 28, (3), 1424-1434 View citations (13)
    See also Working Paper Inflation targeting in Latin America: Empirical analysis using GARCH models, Working Papers (2008) View citations (8) (2008)
15. Las primas de los CDS soberanos durante la crisis y su interpretación como medida de riesgo
    Boletín Económico, 2011, (APR), 99-108
16. Measuring and explaining the volatility of capital flows to emerging countries
    Journal of Banking & Finance, 2011, 35, (8), 1941-1953 View citations (59)
17. Metas de inflación, intervenciones y volatilidad del tipo de cambio en economías emergentes
    Boletín Económico, 2011, (JAN), 135-149
18. Sovereign CDS premia during the crisis and their interpretation as a measure of risk
    Economic Bulletin, 2011, (APR), 133-142 View citations (5)

2009

19. Expectativas de mercado y opciones: una aplicación para analizar la evolución del precio del petróleo
    Boletín Económico, 2009, (JUN), 95-107
20. La financiación del déficit exterior de Estados Unidos
    Boletín Económico, 2009, (SEP), 95-108
21. Testing for Conditional Heteroscedasticity in the Components of Inflation
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (2), 30 View citations (5)
    See also Working Paper Testing for conditional heteroscedasticity in the components of inflation, Working Papers (2008) View citations (2) (2008)

2008

22. Factores asociados con la volatilidad de los flujos de capital hacia economías emergentes
    Boletín Económico, 2008, (DEC), 85-96
23. The Sources of Capital Flows Volatility: Empirical Evidence for Emerging Countries
    Money Affairs, 2008, XXI, (1), 93-128 View citations (4)
24. Turbulencia financiera y perspectivas para las economías emergentes
    Boletín Económico, 2008, (MAY), 81-93

2007

25. Deuda en moneda local y reducción de la vulnerabilidad financiera en las economías emergentes
    Boletín Económico, 2007, (OCT), 135-148

2006

26. Unobserved component models with asymmetric conditional variances
    Computational Statistics & Data Analysis, 2006, 50, (9), 2146-2166 View citations (13)
    See also Working Paper Unobserved component models with asymmetric conditional variances, DES - Working Papers. Statistics and Econometrics. WS (2003) (2003)

2004

27. Estimation methods for stochastic volatility models: a survey
    Journal of Economic Surveys, 2004, 18, (5), 613-649 View citations (96)
    See also Working Paper Estimation methods for stochastic volatility models: a survey, DES - Working Papers. Statistics and Econometrics. WS (2002) View citations (7) (2002)

Chapters

2008

1. Local debt expansion and vulnerability reduction: an assessment for six crisis-prone countries
   A chapter in New financing trends in Latin America: a bumpy road towards stability, 2008, vol. 36, pp 88-109 View citations (3)