Working Papers

From Banco de España
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1308: Term structure estimation, liquidity-induced heteroskedasticity and the price of liquidity risk

Emma Berenguer, Ricardo Gimeno and Juan M. Nave

1307: Testing weak exogeneity in cointegrated panels

Enrique Moral-Benito and Luis Servén

1306: The effect of foreclosure regulation: Evidence for the US mortgage market at state level

Fernando López Vicente

1305: Estimation of Regulatory Credit Risk Models

Carlos Pérez Montes

1304: Commodity prices and the business cycle in Latin America: Living and dying by commodities

Maximo Camacho and Gabriel Perez-Quiros

1303: Firm size and judicial efficacy: Evidence for the civil procedures in Spain

Miguel Garcia-Posada and Juan Mora-Sanguinetti

1302: Insolvency institutions and efficiency: the Spanish case

Miguel Garcia-Posada

1301: Logit price dynamics

James Costain and Anton Nakov

1243: Growth Empirics in Panel Data under Model Uncertainty and Weak Exogeneity

Enrique Moral-Benito

1242: Traded and nontraded goods prices, and international risk sharing: an empirical investigation

Giancarlo Corsetti, Luca Dedola and Francesca Viani

1241: Heterogeneity and cross-country spillovers in macroeconomic-financial linkages

Matteo Ciccarelli, Eva Ortega and Maria Valderrama

1240: The failure to predict the Great Recession. The failure of academic economics? A view focusing on the role of credit

María Gadea and Gabriel Perez-Quiros

1239: Why did high productivity growth of banks precede the financial crisis?

Alfredo Martin-Oliver, Sonia Ruano and Vicente Salas-Fumás

1238: The dynamics of hours worked and technology

Cristiano Cantore, Filippo Ferroni and Miguel Leon-Ledesma

1237: Minimum wages: do they really hurt young people?

Sofía Galán and Sergio Puente

1236: The safety and soundness effects of bank M&As in the EU: does prudential regulation have any impact?

Jens Hagendorff, María J. Nieto and Larry Wall

1235: Can we use seasonally adjusted indicators in dynamic factor models?

Maximo Camacho, Yuliya Lovcha and Gabriel Perez-Quiros

1234: Why do spanish firms rarely use the bankruptcy system? The role of the mortgage institution

Miguel Garcia-Posada and Juan Mora-Sanguinetti

1233: Fiscal forecast errors: governments vs independent agencies?

Rossana Merola and Javier Pérez

1232: Valuation of vix derivatives

Javier Mencia and Enrique Sentana

1231: Does the IMF´s official support affect sovereign bond maturities?

Aitor Erce

1230: A model for vast panels of volatilities

Matteo Luciani and David Veredas

1229: Which model to match?

Matteo Barigozzi, Roxana Halbleib and David Veredas

1228: Marginal quantiles for stationary processes

Yves Dominicy, Siegfried Hörmann, David Veredas and Hiroaki Ogata

1227: TailCoR

Lorenzo Ricci and David Veredas

1226: The effectiveness of forex interventions in four Latin American countries

Carmen Broto

1225: The cycle of earnings inequality: evidence from Spanish social security data

Stéphane Bonhomme and Laura Hospido

1224: The effects of fiscal shocks on the exchange rate in the EMU and differences with the US

Francisco de Castro Fernández and Daniel Garrote

1223: Liquidity, term spreads and monetary policy

Yunus Aksoy and Henrique Basso

1222: Bank leverage cycles

Galo Nuño Barrau and Carlos Thomas

1221: Determinants of corporate default: a BMA approach

Carlos González-Aguado and Enrique Moral-Benito

1220: Boom-bust cycles, imbalances and discipline in Europe

Enrique Alberola, Luis Molina Sánchez and Pedro del Río

1219: Business cycles and investment in intangibles: evidence from Spanish firms

Paloma Lopez-Garcia, José Manuel Montero and Enrique Moral-Benito

1218: Effects of equity capital on the interest rate and the demand for credit. Empirical evidence from Spanish banks

Alfredo Martin-Oliver, Sonia Ruano and Vicente Salas-Fumás

1217: Net energy analysis in a Ramsey-Hotelling growth model

Arturo Macías and Mariano Matilla-García

1215: Household leverage and fiscal multipliers

Javier Andrés, José Boscá and Javier Ferri

1214: Consumption partial insurance of Spanish households

Jose Casado

1213: Envy and habits: panel data estimates of interdependent preferences

Francisco Alvarez-Cuadrado, Jose Maria Casado, Jose Labeaga and Dhanoos Sutthiphisal

1212: The international risk-sharing puzzle is at business-cycle and lower frequency

Giancarlo Corsetti, Luca Dedola and Francesca Viani

1211: International reserves and gross capital flows. Dynamics during financial stress

Enrique Alberola, Aitor Erce and Jose Maria Serena Garralda

1210: Determinants of default ratios in the segment of loans to households in Spain

Roberto Blanco and Ricardo Gimeno

1209: Is china climbing up the quality ladder?

Gabor Pula and Daniel Santabárbara

1208: The schooling response to a sustained increase in low-skill wages: evidence from Spain 1989-2009

Aitor Lacuesta, Sergio Puente and Ernesto Villanueva

1207: Smoothing shocks and balancing budgets in a currency union

James Costain and Beatriz de Blas

1206: The recent slowdown of bank lending in Spain: are supply-side factors relevant?

Ignacio Hernando and Ernesto Villanueva

1205: Markov-switching dynamic factor models in real time

Maximo Camacho, Gabriel Perez-Quiros and Pilar Poncela

1204: Finite sample performance of small versus large scale dynamic factor models

Rocio Alvarez, Maximo Camacho and Gabriel Perez-Quiros

1203: Short-run forecasting of the euro-dollar exchange rate with economic fundamentals

Marcos Dal Bianco, Maximo Camacho and Gabriel Perez-Quiros

1202: Extracting non-linear signals from several economic indicators

Maximo Camacho, Gabriel Perez-Quiros and Pilar Poncela

1201: Regulatory bias in the price structure of local telephone services

Carlos Carlos Perez Montes