Browsing by Author "Sosvilla-Rivero, Simón"
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PublicationA contribution to the empirics of convergence in real GDP growth: The role of financial crises and exchange-rate regimes(Asociación Española de Economía y Finanzas Internacionales, 2014-03) Morales-Zumaquero, Amalia; Sosvilla-Rivero, SimónThis paper investigates the convergence in real Gross Domestic Product (GDP) growth focusing on the impact of financial crises (i.e. banking crises, currency crises and debt crises) and nominal exchange rate regimes (i.e. fixed, intermediate and flexible) on convergence. To that end, we compute four convergence indicators (s-convergence, g- convergence, absolute b-convergence and conditional b-convergence), for 163 countries classified into four income groups during the 1970-2011 period. Results suggest that: (i) There is evidence in favor of β-convergence and β-convergence only for high income countries; (ii) absolute and conditional β-convergence are presented in each of the four income groups of countries under study; (iii) exchange-rate regimes seem to play some role in upper-middle and lower-middle income countries; and (iv) financial crises have a negative and significant impact on GDP growth independently of the level of income of countries. PublicationAn empirical characterization of the effects of public debt on economic growth(Taylor & Francis, 2017) Ramos-Herrera, María del Carmen; Sosvilla-Rivero, SimónBased on a data set of 115 economies, this article empirically investigates the relation between public debt and economic growth. Using the World Bank’s classification for income groups, we initially find that those countries that present the lowest public debt are characterized by the highest economic growth, while the smallest growth rates are associated with the highest public debt. Nevertheless, this conclusion is tempered when we analyse the countries by income level: low-income countries have a different behaviour with respect to lower-middle, upper-middle and high-income countries. When using the IMF’s country classification, the results do not suggest a clear pattern in the public debt–economic growth nexus across different countries, but indicate a heterogeneous relationship between such key macroeconomic variables. PublicationAn empirical examination of the determinants of the shadow economy(Taylor & Francis, 2014-03) Acosta-González, Eduardo; Fernández-Rodríguez, Fernando; Sosvilla-Rivero, SimónUsing a statistical methodology guided only by data and based on a genetic algorithm, we select the best econometric model for explaining the determinants of the size of the shadow economy, its main determinants being: taxes on capital gains of individuals, corporate taxes on income, profits and capital gains, domestic credit, bank secrecy, ethnic fractionalization, urban population, globalization, corruption and the socialist legal origin of country. PublicationAn Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis(Elsevier, 2014-09) Gómez-Puig, Marta; Sosvilla-Rivero, Simón; Ramos-Herrera, María del CarmenWe empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables used in the literature to study the behaviour of sovereign yield spreads and, in particular, to gauge the effect on these spreads of changes in market sentiment and risk aversion. We use a sample of both central and peripheral countries from January 1999 to December 2012 and assess whether there were significant changes after the outbreak of the euro area debt crisis. Our results suggest that the rise in sovereign risk in central countries can only be partially explained by the evolution of local macroeconomic variables in those countries. Besides, without exception, the marginal effects of sovereign spread drivers (specifically, the variables that measure global market sentiment) increased during the crisis compared to the pre-crisis period, especially in peripheral countries. PublicationAnalyzing How the Social Security Reserve Fund in Spain Affects the Sustainability of the Pension System(MDPI, 2022-06-10) Gómez-Déniz, Emilio; Pérez-Rodríguez, Jorge V.; Sosvilla-Rivero, SimónFaced with the need to adjust public pension systems to meet changing demographic, economic and social conditions, most developed countries have created government reserve funds to ensure macroeconomic sustainability. This paper aims to study the importance that this reserve fund plays in the sustainability of the Spanish public pension system. Using data for the 2000 to 2019 period (20 observations) on the main variables impacting on the system, we calculate probabilities and other indicators of its unsustainability in relation to the reserve fund. Our model accurately reflects certain aspects of the data, and suggests that the probability of unsustainability is inversely associated with the size of the reserve fund, but that this relation is moderated by the heterogeneity of the members of the pension system. Moreover, the probability of unsustainability increases in line with the pension system deficit, the time elapsed until unsustainability is reached is shorter when the Reserve Fund balance falls, and the size of this fund at which the system becomes unsustainable diminishes with the probability of unsustainability. PublicationAsset-market models of exchange-rate determination: Basic models, empirical evidence and extensions(Facultad de CC.EE. Decanato, 1991-05) Sosvilla-Rivero, SimónIn this paper we have reviewed the theoretical models associated with those approaches, focusing on the implied reduced-form equations. We have also examined the empirical evidence on these models for the recent floating period, finding that econometric evidence on these models is mixed and inconclusive: they seem to work, to sorne extent, for the first period of the recent floating experience (i. e., 1975-1978), but they do not work so well in the 1980s. In addition, studies by Meese and Rogoff (¡983a, b) have Indicated that the explanatory power of econometric exchange rate models has been extremely poor. They conclude that models of exchange rates could not perform better than a naive random-walk model in the post sample forecasting tests, even when the explanatory variables used were the reallzed values during the post sample period. PublicationBank risk behavior and connectedness in EMU countries(Elsevier, 2015) Singh, Manish K.; Gómez-Puig, Marta; Sosvilla-Rivero, SimónGiven the structural differences in banking sector and financial regulation at national level in EMU, this paper tries to estimate the banking sector risk behavior at country level. Based on contingent claim literature, it computes “Distance-to-default (DtD)” at bank level and analyses the aggregate series at country level for a representative set of banks over the period 2004-Q4 to 2013-Q2. The indices provide an intuitive, forward-looking and timely risk measure having strong correlations with national/regional market sentiment indicators. An underlying trend exists but causality tests suggest no systemic component. Cross-sectional differences in DtD suggests fragility in EMU countries 12-18 months prior to the crisis and better predictive ability than the regulatory index based on large and complex banking institutions at European level. Furthermore, we explore the reasons for this divergence using VAR estimates. PublicationBank-sovereign risk spillovers in EMU(Taylor & Francis, 2020) Singh, Manish K.; Gómez-Puig, Marta; Sosvilla-Rivero, SimónThis paper investigates the cross-sectional spillovers between banking and sovereign risk in the European Economic and Monetary Union (EMU) countries. Average ‘distance-todefault’ based on all publicly listed banks headquartered in a particular country is used as an indicator of banking risk, while 10-year sovereign yield as the measure of sovereign risk. Using spillover measure proposed by Diebold and Yilmaz (2014), we find evidence of clustering among banks and sovereigns in peripheral and central countries. Except for peripheral countries banks, rest of the clusters are well isolated from each other. PublicationCausality and contagion in EMU sovereign debt markets(Elservier, 2014-09) Gómez-Puig, Marta; Sosvilla-Rivero, SimónThis paper contributes to the literature by applying the Granger-causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behavior. A database of yields on 10-year government bonds issued by 11 EMU countries covering fourteen years of monetary union is used. The main results suggest that the 41 new causality patterns, which appeared for the first time in the crisis period, and the intensification of causality recorded in 70% of the cases provide clear evidence of contagion in the aftermath of the current euro debt crisis. PublicationCausality and contagion in peripheral EMU public debt markets: a dynamic approach(Instituto Complutense de Estudios Internacionales (ICEI), 2011-10) Gómez-Puig, Marta; Sosvilla-Rivero, SimónOur research aims to analyze the causal relationships in the behavior of public debt issued by peripheral member countries of the European Economic and Monetary Union (EMU), with special emphasis on the recent episodes of crisis triggered in the eurozone sovereign debt markets since 2009. With this goal in mind, we make use of a database of daily frequency of yields on 10-year government bonds issued by five EMU countries (Greece, Ireland, Italy, Portugal and Spain), covering the entire history of the EMU from its inception on 1 January 1999 until 31 December 2010. In the first step, we explore the pair-wise causal rela-tionship between yields, both for the whole sample and for changing subsamples of the data, in order to capture the possible time-varying causal relationship. This approach allows us to detect episodes of conta-gion between yields on bonds issued by different countries. In the second step, we study the determinants of these contagion episodes, analyzing the role played by different factors, paying special attention to instru-ments that capture the total national debt (domestic and foreign) in each country. PublicationCauses and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion(ELSEVIER, 2016) Gómez-Puig, Marta; Sosvilla-Rivero, SimónThis paper tries to contribute to the understanding of sovereign debt crises' pattern by empirically investigating the determinants of the recent euro area crisis to assess if its transmission was due to “pure” or “fundamentalsbased” contagion. Using sovereign bond yield spreads with respect to Germany for a sample of ten central and peripheral countries from January 1999 to December 2012, we firstly examine the dynamic evolution of Granger-causality within the 90 pairs of yield spreads in our sample to detect episodes of contagion (associated with episodes of significant intensification in causality). Secondly, we make use of a logit model to explore whether there is evidence of “pure contagion” or “fundamentals-based contagion”, by trying to determine which factors might have been behind the detected contagion episodes. Our results suggest that contagion episodes are concentrated just after the inception of the EMU and matching the Global Financial Crisis, yielding more accurate and sensible indicators than those obtained from DCC-GARCH models used in prior studies. Indeed, they preceded the outburst of the Global Financial Crisis (causality intensification is detected from March 2008), and reached a peak during January–May 2011. Furthermore, they underline the coexistence of “pure” and “fundamentals-based contagion” during the recent European debt crisis. PublicationComportamiento caótico en las series del tipo de cambio peseta-dolar(Facultad de Ciencias Económicas y Empresariales. Decanato, 1992) Bajo-Rubio, Oscar; Fernández-Rodríguez, Fernando; Sosvilla-Rivero, SimónEn este trabajo se muestran algunos contrastes de la presencia de caos determinista en las series de tipo de cambio peseta-dólar estadounidense, al contado y a futuros a uno y tres meses, con datos diarios correspondientes al período enero 1985 - mayo 1991. La detección de un comportamiento caótico en las series analizadas nos permite, como una derivación del análisis anterior, la realización de predicciones a corto plazo que resultan, en general, superiores a las del modelo de paseo aleatorio. PublicationConvergence in car prices among European countries(Taylor & Francis, 2012) Sosvilla-Rivero, Simón; Gil Pareja, SalvadorThis article contributes to the literature on price convergence in Europe by investigating the existence of stochastic and deterministic convergence of car prices in the EU15 countries. We apply recently developed econometric techniques that allow for multiple structural breaks to an up-to-date dataset. We find considerable evidence of both types of convergence in our sample of countries and car models, therefore suggesting a tendency for relative prices to equalize over time. In addition, we find evidence regarding the importance in this convergence process of both legislative changes taking place in the years 1996 and 2002, and the implementation of Economic and Monetary Union (EMU). PublicationConvergencia en prestaciones de protección social entre los países de la Unión Europea(Facultad de Ciencias Económicas y Empresariales, Universidad Complutense, 1996) Alonso, Javier; Sosvilla-Rivero, Simón; Galindo-Martín, Miguel ÁngelSe examina el grado de convergencia en las prestaciones de protección social "per capita" registrado en la Unión Europea durante el período 1966-92, para lo que se emplean datos de Eurostat. PublicationCooperación al Desarrollo en el Aula Universitaria(2020-12-15) Sosvilla-Rivero, Simón; Rio Rivera, Marco Antonio del; García Hiernaux, Alfredo Alejandro; Marín Sanz, Raquel; Méndez Picazo, María Teresa; Parada Parada, Mary Esther; Peña Cuellar, María EstherEl proyecto pretende contextualizar las asignaturas implicadas en el mismo para que el alumno perciba algunas relaciones económicas y sociales injustas que generan pobreza, incorporando conceptos y actividades de carácter solidario PublicationDe facto exchange-rate regimes in Central and Eastern European Countries(Instituto Complutense de Estudios Internacionales, 2015) Sosvilla-Rivero, Simón; Ramos-Herrera, María del CarmenThis paper attempts to identify implicit exchange rate regimes for currencies of new European Union (EU) countries vis-à-vis the euro. To that end, we apply three sequential procedures that consider the dynamics of exchange rates to data covering the period from 1999:01 to 2012:12. Our results would suggest that implicit bands have existed in many sub-periods for almost all currencies under study. This paper provides new empirical evidence that strengthens the hypothesis of that the implemented policies differ from those announced by the monetary authorities, identifying the existence of de facto fixed monetary systems along large number of sub-periods for different currencies. PublicationDebt-growth linkages in EMU across countries and time horizons(Instituto Complutense de Estudios Internacionales (ICEI), 2016) Gómez-Puig, Marta; Sosvilla-Rivero, SimónThis paper contributes to the literature by empirically examining whether the influence of public debt on economic growth differs between the short and the long run and presents different patterns across euro-area countries. To this end, we use annual data from both central and peripheral countries of the European Economic and Monetary Union (EMU) for the 1960-2012 period and estimate a growth model augmented for public debt using the Autoregressive Distributed Lag (ARDL) bounds testing approach. Our findings tend to support the view that public debt always has a negative impact on the long-run performance of EMU countries, whilst its short-run effect may be positive depending on the country. PublicationDetecting trends in the foreign exchange markets(Taylor & Francis, 2012) Fernandez-Perez, Adrian; Fernández-Rodríguez, Fernando; Sosvilla-Rivero, SimónWe test for the existence of trends in exchange-rate series for 95 currencies against the US dollar. To that end, we make use of Taylor’s (1980) price trend model that, instead of focusing on the mean reverting behaviour of exchange rates measured over a long horizon, concentrates on the shortterm pattern of the price trend. Employing a maximum likelihood method and a genetic algorithm to estimate the model parameters, in 39 of the 95 cases considered we find evidence in favour of the presence of trends, the trends being more frequent in intermediate exchange-rate regimes. PublicationDetection of implicit fluctuation bands and their credibility in EU candidate countries(Taylor & Francis, 2015-07-28) Sosvilla-Rivero, Simón; Ramos-Herrera, María del CarmenThis paper attempts to identify implicit exchange-rate regimes for currencies of candidate countries vis-à-vis the euro. To that end, we apply three sequential procedures that consider the dynamics of exchange rates to data covering the period from 1999:01 to 2012:12. Our results would suggest that implicit bands have existed in many sub-periods for almost all currencies under study. Once we detect de facto discrepancies between de facto and de iure exchange-rate regimes, we make use of different methods to study the credibility of the detected fluctuation bands. The detected lack of credibility in a high percentage of the sample is robust to the use of several credibility tests, suggesting that economic agents do not behave as if these bands actually were in force at time of making their financial plans. These countries do not improve the confidence on the fluctuation bands as time evolves. PublicationEl sector fundacional en España: atributos fundamentales (2008-2012)(Asociación Española de Fundaciones, 2014) Rubio-Guerrero, Juan José; Sosvilla-Rivero, Simón; Méndez-Picazo, María TeresaLa Asociación Española de Fundaciones (AEF), a través del Instituto de Análisis Estratégico de Fundaciones (INAEF), ha publicado un nuevo informe sobre el Sector Fundacional español en el período 2008-2011 con algunas proyecciones hasta el 2012. Los datos aportados por este segundo estudio ponen de manifiesto la relevancia del sector fundacional en España y su contribución al bienestar de la sociedad del país