Person:
Pérez-Soba Aguilar, Inés

First Name

Inés

Last Name

Pérez-Soba Aguilar

URI

https://hdl.handle.net/20.500.14352/74715

Affiliation

Universidad Complutense de Madrid

Faculty / Institute

Ciencias Económicas y Empresariales

Department

Economía Aplicada, Pública y Política

Area

Economía Aplicada

Identifiers

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Search Results

Now showing 1 - 10 of 11

From real estate to consumption: the role of credit markets in the USA
(Applied Economics, 2014) Márquez De La Cruz, Elena; Martínez Cañete, Ana Rosa; Pérez-Soba Aguilar, Inés
The aim of this article is to test whether the credit market conditions affect the strength of transmission of real estate wealth effects on household consumption in the US economy. Although many different works have dealt with the analysis of the existence of a real estate wealth effect, most of them as a reaction to the dramatic increase of housing prices in several OECD countries, there are only few papers analysing whether the consumption response depends on the positive or negative sign of the wealth shock and, as far as we know, none of them takes the effects of credit market conditions on that asymmetric response into account. This article tries to fill the existing gap in the literature on this matter. From an econometric perspective, we estimate the asymmetries in the consumption response within the momentum threshold autoregressive model (M-TAR) proposed by Enders and Siklos (2001), but following Stevans (2004), it is applied to a multivariate framework. The main results show that the credit market conditions play a significant role in the transmission of changes in real estate wealth to consumption. In addition, we find that there exists an asymmetric behaviour in the US aggregate consumption spending responses to real estate wealth and credit market shocks, which is only significant when a negative shock takes place.
Further empirical evidence on block transactions below the MBR: the spanish market
(The European Journal of Finance, 2017) Pérez-Soba Aguilar, Inés; Márquez De La Cruz, Elena; Martínez Cañete, Ana Rosa
There is a relatively unknown market for partial control or corporate influence in Spanish listed firms, where the control transaction size is below the legal threshold that triggers a mandatory tender offer, as this kind of deal looks for exercising some degree of control, but not a full control. The goal of this paper is to go further in its empirical analysis by exploring its distinguishing features, using as the criterion to define its transactions obtaining a seat in the board of directors. We find that these deals are mainly located in the segment of the market of large trades where the rules for private negotiations are easier to implement; the size of the block is relatively large and it is negotiated as a whole block. Besides, the most common buyer has no previous stake in the firm. We find no evidence that the buyers pay, in median, for a seat on the board of directors, but the variability of the premiums for those blocks is higher and shows that buyers that had no control position in the target firm pay more for being among largest shareholders (partial control) and less for not being among them (influence).
Intertemporal preference parameters for some European monetary union countries
(Applied Economics, 2007) Márquez De La Cruz, Elena; Martínez Cañete, Ana Rosa; Pérez-Soba Aguilar, Inés
In the European Monetary Union, the estimation and analysis of preference parameters in its members is of special interest because possible differences could help us to understand why a common monetary policy could have different effects on the different economies involved. In this article, we have focused our attention on the elasticity of intertemporal substitution, one of the key preference parameters in intertemporal macroeconomic models. Several studies have shown a possible under-estimation of such elasticity for different countries. It is common practice to estimate the parameter using only nondurable goods and services consumption data, without referring to the flow of services generated by durable consumption. This is only admissible if the intratemporal utility can be separated among the different consumption components. Our first objective is, therefore, to test the assumption of intratemporal separability for a selection of European countries (Germany, Spain and France), and then to analyse the effect of durable consumption on the estimated values of the intertemporal elasticity of substitution of these countries, our ultimate goal. Knowledge of such elasticity will enable us to characterisehow saving in these economies reacts to variations in the real interest rate
Wealth shocks, credit conditions and asymmetric consumption response: empirical evidence for the UK
(Economic Modelling, 2013) Márquez De La Cruz, Elena; Martínez Cañete, Ana Rosa; Pérez-Soba Aguilar, Inés
The evolution of real estate prices and the stock market indices in several OECD countries, such as the UK, has attracted researchers' interest to the empirical analysis of consumers' response to subsequent changes in wealth. In this line, this paper investigates the existence of wealth effects in the UK economy, taking into account the credit conditions of financial markets, and whether consumption responds asymmetrically to a positive or negative financial and housing wealth shocks. We apply the Enders and Siklos (2001) M-TAR methodology modified, for application in a multivariate framework, following Stevans (2004); unlike this author, both financial and real estate wealth are included. The results show that there is a consumption wealth effect and that the consumption discrepancies resulting from an unanticipated positive change in real estate wealth are eliminated whereas those resulting from a negative change are not; however, when the changes in the UK households financial wealth are considered, we find that consumption responds only to negative unanticipated changes in such a wealth.
Non-linear cointegration between oil and stock prices: the role of interest rates
(Research in International Business and Finance, 2021) Martínez Cañete, Ana Rosa; Márquez De La Cruz, Elena; Pérez-Soba Aguilar, Inés
The Zero Lower Bound (ZLB) has been suggested as an explanation as to why oil and stock prices have become highly correlated post 2008. Our paper contributes to the literature on this topic by testing (i) whether there is a long-run relationship between oil prices and stock prices (measured by the MSCI World Index) that is non-linear depending on the interest rate levels and, if this is the case, (ii) whether the co-movement between them is stronger when interest rates are very low. To do so, we apply a cointegrating smooth transition regression approach using a global shadow rate as the transition variable to take into account the possible effects of unconventional monetary policy measures on the oil-stock price linkage. We ﬁnd evidence in favor of the two hypotheses tested. These results have important implications for portfolio managers and investors, since the beneﬁts of portfolio diversiﬁcation by investing in oil would be lower in a ZLB context. In addition, from a policymakers’ perspective, the results could be revealing that, in this context, central banks could exert a greater inﬂuence than in “normal times” not only on equity prices, but also on global oil prices.
Project number: 429
Finanzas sostenibles: entre todos y para todos (2ª parte)
(2023) Martínez Cañete, Ana Rosa; Gómez Gómez, Nuria Elena; Grau Carles, María Del Pilar; Márquez De La Cruz, Elena; Palacio Vera, Alfonso; Pérez Alonso, Alicia; Pérez-Soba Aguilar, Inés; Santero Sánchez, Rosa; Trincado Aznar, Estrella; Rodríguez Albarrán, Carmen Rocío; Turiel López, María; Martínez Cañete, Ana Rosa
Sustainable Finance. What does economic research say?
(2023) Pérez-Soba Aguilar, Inés; Márquez De La Cruz, Elena; Martínez Cañete, Ana Rosa
This study presents, from the perspective of different financial market actors, a brief state of play of the main issues addressed by the academic economic literature (both theoretical and empirical) following the inclusion of sustainability in Finance. From the investor perspective, empirical work addresses sustainability by researching, for example, whether there are significant differences between investors’ returns on sustainable versus traditional financial products, while in theoretical work, sustainability is implying a revision of traditional models of portfolio selection and asset pricing. Regarding those that focus on the issuers’ perspective, the literature is focused to a large extent on how sustainability may affect the cost and the amount of financial resources they raise in the markets and how companies can attract this finance by signalling the market in different ways about their quality as sustainable. The role of regulators then emerges, who have to define the criteria that make the company’s commitment credible, and the debate arises between self-regulation and public regulation of sustainable financial product markets. This paper also takes into account the perspective of supervisors, in this case of the financial system, analysing the active role that central banks may play in support of a sustainable economy. The study points out how the incorporation of sustainability highlights the existence of previously unconsidered risk factors, such as the carbon premium of securities with higher emissions or, conversely, the possible lower financial risk of sustainable banks. It also notes several studies showing how climate risks are already reflected in asset prices, such as the higher returns required for municipal bonds of localities more exposed to flood risks. This study, in short, takes the pulse of an intense academic activity related to sustainable finance and its impact on the financial industry and the corporate sector, which is currently in expansion.
Las empresas de alimentación y bebidas en la Bolsa española
(Distribución y Consumo, 2006) Pérez-Soba Aguilar, Inés; Márquez De La Cruz, Elena
Finanzas sostenibles: bonos verdes, gestión de carteras y gobierno corporativo
(Economía, Empresa y Justicia. Nuevos retos para el futuro, 2021) Márquez De La Cruz, Elena; Martínez Cañete, Ana Rosa; Pérez-Soba Aguilar, Inés
Capital stock and unemployment: searching for the missing link
(Missing Links in the Unemployment Relationship, 2009) Palacio Vera, Alfonso; Martínez Cañete, Ana Rosa; Márquez De La Cruz, Elena; Pérez-Soba Aguilar, Inés