During the 1990s, liquidity was relatively abundant in the European Union and the European central banks mostly developed a relaxed monetary policy. While the bank lending channel view of the monetary policy would have suggested an increase in loans to firms in this context, the demand for bank corporate lending, however, slowed down, suggesting that monetary policy was not effective in this area. This article analyses how the financing behaviour of Spanish firms during 1992–2003 is related to their liquidity holdings and how this relationship may affect the effectiveness of the bank lending channel. The empirical evidence provided suggests that firms holding high liquid assets may replace bank lending by other sources of financing. Hence, higher liquidity holdings allow firms to invest in attractive investment projects in the event of a tightening of monetary conditions.
This paper explores how the choice of royalties and contract duration can be a device to mitigate opportunistic behavior in the presence of asymmetric information. It presents a model where an upstream patent holder with no production capabilities licenses a product innovation, by means of royalty-only contracts, to several downstream firms that produce and market the new product. In a two-period signaling model, the profitability of short-term and long-term contracts is compared, given that the licensees’ costs may be inferred by observation of their output levels. For a sufficiently large difference in production costs, the patentee introduces a series of short-term contracts, rather than a long-term contract for the entire expected lifetime of the innovation. In such a sequence of contracts, both high- and low-cost firms pay the same royalty rate (which is not higher than that of long-term contracts) and reveal their costs in the first licensing period. Thereafter, royalties are smaller (than in the first period) for high-cost firms but larger for low-cost producers so as to increase expected total output and licensing income. Overall, royalties are not time-decreasing, in expected terms, as information evolves from incomplete to complete. This strategy is typically welfare-improving.
This paper analyses whether earnings announcements in the Spanish stock market are followed in subsequent months by a return drift in the same direction as the earnings surprise. Two alternative earnings surprise measures are used and they both provide strong post-earnings announcement drifts. In order to find an explanation for this anomaly we first make several unconditional adjustments, which include the CAPM, the Fama–French (J Financ Econ 33:3–56, 1993) three-factor model, a liquidity factor, controlling portfolios by size and book-to-market ratio, and controlling for the momentum effect. Second, we make a conditional analysis following two different approaches: (i) studying the relation with the business cycle and (ii) studying whether this phenomenon can be explained through a conditional version of the CAPM and the Fama-French model. None of these adjustments are able to satisfactorily capture the Spanish post-earnings announcement drift. A final analysis offers some slight evidence in favour of the limits-to-arbitrage explanation.
This paper considers the way in which accident compensation is offered as insurance against personal injury due to accidents. We begin by setting up a simple microeconomic model in which accident compensation schemes can be studied. Using this model, the accident compensation scheme that maximizes the expected utilityof the insured for a given expected outlay of the scheme (that is, for a budget constraint for the insurer) is characterized. We show that, in order for the optimal schedule of indemnities to beincreasing (more severe accidents lead to greater compensation) then, contrary to what has been assumed in the literature, the marginal utility of wealth must be decreasing in health. In particular, if the marginal utility of wealth is non-decreasing in health, then an optimal indemnity schedule cannot provide full compensation, in the sense that utility in each state is a constant.
We present a model of participation in elections in small networks, in which citizens suffer from cross-pressures if voting against the alternative preferred by some of their social contacts. We analyze how the existence of cross-pressures may shape voting decisions, and so, political outcomes; and how parties may exploit this effect to their interest. We characterize the strong perfect equilibria of the game and show that, in equilibrium, the social network determines which party wins the election. We also show that to dispose of the citizens better connected in the network with the other faction is not a guarantee to win the election.
The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two-lognormals and several alternative risk adjustments. Our results show that, between October 1996 and March 2000, we can reject the hypothesis that the risk-neutral densities provide accurate predictions of the distributions of future realisations of the IBEX 35 index at 4- and 8-week horizons. When forecasting through risk-adjusted densities the performance of this period is statistically improved and we no longer reject that hypothesis. We show that risk adjustments based on a power specification for the stochastic discount factor—which is the approach used so far in the literature that derives the objective density function from option prices- generates an excessive volatility of risk premia. We use alternative risk adjustments and find that the forecasting performance of the distribution improves slightly in some cases when risk aversion is allowed to be time-varying. Finally, from October 1996 to December 2004, the ex-ante risk premium perceived by investors and that are embedded in option prices is between 12 and 18% higher than the premium required to compensate the same investors for the realised volatility in stock market returns.
In this paper, we offer a structural contrast of a new economic geography model in Spain over three different periods: the 1920s, the 1960s, and the early years of the 21st century. In line with Crozet (J Econ Geogr 4:439–458, 2004), we analyse the possible existence of a forward effect, i.e. the existence of a relationship between the workers’ localisation decisions and the market potential of the regions. Our results show that this model provides a good explanation of migrant behaviour in Spain throughout the 20th century. Moreover, the changes in the parameters estimated are consistent with a change in the migratory model and reflect the tendency towards a spatial redispersion of economic activity in recent decades.
This paper analyses the relationship between earnings mobility, job mobility and changes in the contractual arrangement in Spain using a sample of Spanish workers aged 16–60 years extracted from the European Community Household Panel Survey (ECHP 1995–2001). Overall, earnings mobility remains mostly unchanged over time, although clear differences, both in terms of levels and trends, can be perceived among different types of workers. Results show that, in general, job mobility contributes to increase earnings mobility. Switching into permanent contract are associated with the highest probability of upgrading among those workers who remain with the same employer. In contrast, the highest risk of downgrading among stayers appears when changing from permanent to temporary. An analysis on low pay/no low pay transitions reveals that job mobility always increases the probability of moving from low pay to better-paid jobs among females. For males, in contrast, this occurs only when they were initially employed on a temporary basis. Furthermore, for females it is found that either switching into permanent contract while staying with the same employer, or changing employer while being employed on a permanent basis yield a higher chance of upgrading than staying with the same employer with a permanent contract.
In this paper we consider the estimation of the causal effect of femalelabour market status (participation and employment) on fertility. We focus on thesensitivity of the estimated effect to (i) the assumptions about the exogeneity of labourmarket status; and (ii) the time interval between the measurement of fertility andemployment status. Using Spanish quarterly data, we estimate a switching probitmodel that accounts for the joint determination of both variables. In order to obtaina behavioural effect of the former on the latter, we look at the timing of conceptioninstead of the timing of birth, and present alternative sets of estimates depending onthe accuracy with which conception is measured (yearly or quarterly). Our resultsshow a positive although non-significant effect of participation and employment onthe probability of having the first child, once the sample of women who conceive in thesame quarter (or one quarter later) in which labour market status is measured and theendogeneity between both variables is accounted for. We find that annual data tend toover-estimate the negative effect of employment or participation on the probability ofhaving a child, but the main biases appear when looking at the effect of participation.
Several empirical studies have established the relationship between economic freedom, civil liberties and political rights, and economic growth. Nevertheless, few studies analyze the directions of causality. This paper studies the causality relations between the institutional dimensions mentioned above and economic growth, as well as the interrelations between them, using the Granger methodology with panel data for 187 countries and five-yearly observations for the period 1976–2000. In addition, the relations between these freedoms and investment in physical and human capital are examined, to be able to isolate the direct and indirect effects on growth.
An inequality index is called subgroup decomposable if it can be expressed as a weighted sum of inequality values calculated for population subgroups plus inequality arising from differences among subgroup means. This paper derives the class of subgroup decomposable inequality indices that satisfies the Bossert–Pfingsten type intermediate inequality invariance. When the intermediate inequality equivalence concept coincides with the relative notion of inequality, the derived class becomes the Cowell–Shorrocks generalized entropy family.
This article focuses on the analysis of the reported differentials of job satisfaction for disabled and non-disabled individuals. Using the Spanish data of the European Community Household Panel during the period 1995–2001, we estimate a job satisfaction equation for each group and evaluate job satisfaction differentials through the Oaxaca-Blinder methodology. The results show that disabled individuals are more likely to be more satisfied in their jobs than non-disabled ones, but only after controlling for other variables. Oaxaca-Blinder decomposition shows the greater importance of the returns in job satisfaction for disabled people, which is supported by explanations based on the lower expectations about jobs of disadvantaged groups.
The optimal capacities and locations of a sequence of landfills are studied, and the interactions between these characteristics are considered. Deciding the capacity of a landfill has some spatial implications since it affects the feasible region for the remaining landfills, and some temporal implications because the capacity determines the lifetime of the landfill and hence the moment of time when the next landfills should be constructed. Some general mathematical properties of the solution are provided and interpreted from an economic point of view. The resulting problem turns out to be non-convex and, therefore, it cannot be solved by conventional optimization techniques. Some global optimization methods are used to solve the problem in a particular case in order to illustrate how the solution depends on the parameter values.
We examine hysteresis in EU and US unemployment by panel unit root tests. First generation tests indicate that unemployment is stationary. Second generation tests show mixed results. Idiosyncratic components are stationary in the US. A unit root in the US common component depends on the starting point of the sample. While the common component is nonstationary over the whole period, it is mean-reverting after initial observations are dropped. Hysteresis in EU unemployment is attributed to idiosyncratic, but not to common components. The findings might reflect a different regulation of labour markets and a lower degree of migration in the EU.
In this paper we estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure in order to analyze two issues. First, we analyze the effect of introducing an explicit term structure channel in the NKM model on the estimated parameter values of the model, with special emphasis on the interest rate smoothing parameter using data for the Eurozone. Second, we study the ability of the model to reproduce some stylized facts such as highly persistent dynamics, the weak comovement between economic activity and inflation, and the positive, strong comovement between interest rates observed in actual Eurozone data. The Sect. 3 implemented is a classical structural method based on the indirect inference principle.
This paper analyses the nature of wage differences between native and immigrant workers in Spain. By estimating separated wage equations for the sub samples of both native and non-native workers and applying the Oaxaca–Blinder method, we observe that the relative unexplained (or discriminatory) component of the wage difference has a decreasing behaviour along the most part of the wage distribution, even becoming negative at the end. So, in this paper we detect the existence of a remarkable wage difference against the group of immigrants with the lowest wages which is not explained by the differences in the productive features of both native and non-native workers.
This paper provides an empirical study to assess the forecasting performance of a wide range of models for predicting volatility and VaR in the Madrid Stock Exchange. The models performance was measured by using different loss functions and criteria. The results show that FIAPARCH processes capture and forecast more accurately the dynamics of IBEX-35 returns volatility. It is also observed that assuming a heavy-tailed distribution does not improve models ability for predicting volatility. However, when the aim is forecasting VaR, we find evidence of that the Student’s t FIAPARCH outperforms the models it nests the lower the target quantile.
A dynamic general equilibrium model of a small open economy specialized in producing tourism services is presented. The tourism package is a bundle of attributes provided by firms, the government and the natural environment. Investment in accommodation increases the number of visitors but also congests public goods and reduces environmental quality. The model is used to determine the conditions for the existence of a long-term double dividend. These conditions depend on both the initial level of environmental quality and the responsiveness of the tourism price to marginal changes in environmental and accommodation quality and congestion of public goods.
The paper introduces and discusses several characterizations of the multi-choice Shapley value (introduced by Nouweland et al. in ZOR-Math Methods Oper Res 41:289–311, 1995), on the domain of multi-choice games. These characterizations generalize the potential approach and results of Calvo and Santos (Math Soc Sci 34:175–190, 1997) into this domain, and the relations are treated with the axiomatic approach in Calvo and Santos (Math Soc Sci 40:341–354, 2000). Also, based on the axioms of two-person standardness and consistency, we offer an axiomatization of the multi-choice Shapley value.
It is well known that the profitability of horizontal mergers with quantity competition is scarce. However, in an asymmetric Stackelberg market we obtain that some mergers are profitable. Our main result is that mergers among followers become profitable when the followers are inefficient enough. In this case, leaders reduce their output when followers merge and this reduction renders the merger profitable. This merger increases price and welfare is reduced.
