Documentos de Trabajo
Resúmenes (abstract) de los Documentos de Trabajo publicados.
Año 2008
Todos los documentos se ofrecen en formato PDF 
- 0825 Alfredo Martín-Oliver, Vicente Salas-Fumás y Jesás Saurina: Search cost and price dispersion in vertically related markets: the case of bank loans and deposits (575 KB).
Using data on marginal interest rates of loan and deposit products by Spanish banks, we find that the level of interest rates on loans (deposits) across geographic markets decrease (increase) with the number of banks in each market, and that the level of interest rates on loans increases with the level of interest rates of deposits. We also find that the dispersion of interest rates of both loans and deposits increase with the number of banks. This evidence is interpreted as evidence of customer’s search costs in retail banking, consistent with predictions from the Carlson and McAfee (1983) model of market competition with search costs.
- 0824 James Costain y Anton Nakov: Price adjustments in a general model of state-dependent pricing (924 KB).
In this paper, we show that a simple model of smoothly state-dependent pricing generates a distribution of price adjustments similar to that observed in microeconomic data, both for low and high inflation. Our setup is based on one fundamental assumption: price adjustment is more likely when it is more valuable. The constant probability model (Calvo 1983) and the fixed and stochastic menu cost models (Golosov and Lucas 2007; Dotsey, King and Wolman 1999) are nested as special cases of our framework.
All parameterizations of our model can be ranked according to a measure of state dependence. The fixed menu cost model has the highest possible degree of state dependence; the parameterization which best fits US microdata has low state dependence. The fixed menu cost model is inconsistent with the evidence both because it never generates small price adjustments, and because it implies a large fall in the standard deviation of price adjustments as trend inflation increases. Even though the state dependence of our preferred parameterization is almost as low as that of the Calvo model, it is well-behaved when we change the steady state inflation rate, matching the data at least as well as Golosov and Lucas' model.- 0823 Ignacio Hernando, María J. Nieto y Larry D. Wall: Determinants of domestic and cross-border bank acquisitions in the European Union (560 KB).
This paper analyzes the determinants of bank acquisitions both within and across countries in the EU-25 over the period 1997-2004. The findings of this paper are broadly in line with those of the academic literature on the subject, which are mainly based on the US experience. Our results suggest poorly managed EU-25 banks (high cost to income) are more likely to be acquired by other EU-25 banks, in the same country. Nevertheless, this underperformance of target banks does hold for cross border bank acquisitions only if compared to the median of the market. Larger banks are more likely to be acquired by other banks in the same country. The probability of being acquired by another bank in the same market is larger for banks that are quoted in the stock market, which is consistent with the disciplinary character of listing in the stock markets. Finally, banks operating in more concentrated markets are less likely to be acquired by other banks operating within the same country but are more likely to be acquired by banks in other EU-25 countries.
- 0822 Ramón María-Dolores: Exchange rate pass-through in new Member States and candidate countries of the EU (721 KB).
This paper studies the pass-through of exchange rate changes into the prices of imports that originated inside the euro area made by some New Member States (NMSs) of the European Union and one candidate country (Turkey). I use data on import unit values for nine different product categories and bilateral imports from the euro area for each country and I estimate industry-specific rates of pass-through across and within countries using two different methodological approaches. The first one is based on Campa and González-Mínguez (2006) which estimates the short- and long-run pass through elasticities, where long-run elasticities are defined as the sum of the pass-through coefficients for the contemporaneous exchange rate and its first four lags. The second one is employed by de Bandt, Banerjee and Kozluk (2007) which suggests a long-run Engle and Granger (1987) cointegrating relationship and the possibility of structural breaks to restore the long-run in the estimation. I did not find evidence either in favour of the hypothesis of Local Currency Pricing (zero pass-through) or the hypothesis of Producer Currency Pricing (complete pass-through) for all the countries except Slovenia and Cyprus in the latter. The exchange rate pass-through ranged from 0.090 to 2.916 in the short-run and from 0.102 to 2.242 in the long-run. With reference to the results by industry the lowest values for exchange rate pass-through are in Manufacturing sectors. However, I did observe a exchange rate pass-through decline through the pricing chain and a large dependence of their economies on imported inputs.
- 0821 Gabriel Jiménez, José A. López y Jesús Saurina: Empirical analysis of corporate credit lines (836 KB).
Since bank credit lines are a major source of corporate funding, we examine the determinants of credit line usage with a comprehensive database of Spanish corporate credit lines. A line's default status is a key factor driving its usage, which increases as a firm's financial condition worsens. Line usage decreases by roughly 10% for each year of its life. Lender characteristics, such as the number and length of a firm's banking relationships, are found to affect a firm's usage decisions, and credit line usage is found to be inversely related to macroeconomic conditions.
- 0820 Carmen Martínez-Carrascal y Annalisa Ferrando: The impact of financial position on investment: an analysis for non-financial corporations in the euro area (680 KB).
This paper analyses the impact that firms' financial position has on investment decisions using panel data from a large sample of non-financial corporations (around 120,000 firms) in six euro area countries (Belgium, Germany, France, Italy, the Netherlands and Spain). The results indicate that financial position is important to explain capital expenditures, as financial pressure appears relevant in explaining investment dynamics when it is proxied by cash flow, indebtedness and debt burden. The results also show differences in the sensitivity of investment rates to changes in financial pressure across countries, which appears to be especially large in the Netherlands and Italy and relatively small in Germany.
- 0819 David G. Mayes, María J. Nieto y Larry Wall: Multiple safety net regulators and agency problems in the EU: Is Prompt Corrective Action partly the solution? (578 KB).
This paper presents a stylized mechanism aimed at dealing with the cross border agency problems that arise in supervising and resolving cross border banking groups in the European Union (EU). The authors assume that PCA policies have been implemented by the national supervisors and explore the institutional changes needed in Europe if PCA is to be effective as an incentive compatible mechanism. The paper identifies these changes starting with enhancements in the availability of information on banking groups to supervisors. Next, the paper considers the collective decision making by supervisors with authority to make discretionary decisions within the PCA framework as soon as a bank of a cross border banking group falls below the minimum capital standard. Finally, the paper analyzes the coordination measures that should be implemented if PCA requires the bank to be resolved.
- 0818 Carlos Thomas y Francesco Zanetti: Labor market reform and price stability: an application to the Euro Area (673 KB).
This paper studies the effect of labor market reform, in the form of reductions in firing costs and unemployment benefits, on inflation volatility. With this purpose, we build a New Keynesian model with search and matching frictions in the labor market, and estimate it using Euro Area data. Qualitatively, changes in labor market policies alter the volatility of inflation in response to shocks, by affecting the volatility of the three components of real marginal costs (hiring costs, firing costs and wage costs). Quantitatively, we find however that neither policy is likely to have an important effect on inflation volatility, due to the small impact of changes in the volatility of the labor market on inflation dynamics.
- 0817 Carmen Broto, Javier Díaz-Cassou y Aitor Erce-Domínguez: Measuring and explaining the volatility of capital flows towards emerging countries (621 KB).
This paper analyzes the determinants of the volatility of different types of capital inflows to emerging countries. After calculating a variable that proxies capital flows volatility, we study its possible causality relations with a set of explanatory variables by type of flow through a panel data model. We show that in recent years the significance of global factors, beyond the control of emerging economies, has increased at the expense of that of country specific factors. In addition, various factors exhibit a non-robust effect on the volatility of the three different categories of capital flows, which poses additional challenges for policy-makers.
- 0816 Gabriel Jiménez, Vicente Salas-Fumás and Jesús Saurina: Organizational distance and use of collateral for business loans (633 KB).
This paper examines the effect of organizational distance (i.e. distance between the headquarters of the bank that grants a loan and the location of the borrower) on the use of collateral for business loans by Spanish banks on the basis of the recent lender based theory of collateral (Inderst and Mueller (2007)). We find that, for the average borrower, the use of collateral is higher for loans granted by local lenders than by distant ones. We also show that the difference in the likelihood of collateral in loans granted by local lenders, relative to distant lenders, is higher among older and larger firms and among firms with longer duration of the lender-borrower relationship, than, respectively, younger, smaller firms and shorter duration. We also find that banks use lending technologies that are different for near and for distant firms, in response to organizational diseconomies.
- 0815 Óscar J. Arce y J. David López-Salido: Housing bubbles (765 KB).
In this paper we use the notion of a housing bubble as an equilibrium in which some investors hold houses only for resale purposes and not for the expectation of a dividend, either in the form of rents or utility. We provide a life-cycle model where households face collateral constraints that tie their credit capacity to the value of their houses and examine the conditions under which housing bubbles can emerge. In such equilibria, the total housing stock is held by owners that extract utility from their homes, landlords that obtain rents, and investors. We show that an economy with tighter collateral constraints is more prone to bubbles which, in turn, tend to have a larger size but are less fragile in face of funddraining shocks. Our environment also allows for pure bubbles on useless assets. We find that multiple equilibria in which the economy moves endogenously from a pure bubble to a housing bubble regime and vice versa are possible. This suggests that high asset price volatility may be a natural consequence of asset shortages (or excess funding) that depress interest rates sufficiently so as to sustain an initial bubble. We also examine some welfare implications of the two types of bubbles and discuss some mechanisms to rule out equilibria with housing bubbles.
- 0814 Samuel Bentolila, Juan J. Dolado y Juan F. Jimeno: Does immigration affect the Phillips curve? Some evidence for Spain (778 KB).
The Phillips curve has flattened in Spain over 1995-2006: unemployment has fallen by 15 percentage points, with roughly constant inflation. This change has been more pronounced than elsewhere. We argue that this stems from the immigration boom in Spain over this period. We show that the New Keynesian Phillips curve is shifted by immigration if natives' and immigrants' labor supply or bargaining power differ. Estimation of the curve for Spain indicates that the fall in unemployment since 1995 would have led to an annual increase in inflation of 2.5 percentage points if it had not been largely offset by immigration.
- 0813 Juan J. Dolado, Marcel Jansen y Juan F. Jimeno: On the job search in a matching model with heterogeneous jobs and workers (698 KB).
This paper examines the effects of transitory skill mismatch in a matching model with heterogeneous jobs and workers. In our model, some high-educated workers may accept unskilled jobs for which they are over-qualified but are allowed to engage in on-the-job search in pursuit of a better job. We show that this feature has relevant implications for the set of potential equilibria, the unemployment rates of the different types of workers, the degree of wage inequality, and the response of the labour market to shifts in the demand and supply of skills.
- 0812 Carmen Broto y Esther Ruiz: Testing for conditional heteroscedasticity in the components of inflation (1.128 KB).
In this paper we propose a model for monthly inflation with stochastic trend, seasonal and transitory components with QGARCH disturbances. This model distinguishes whether the long-run or short-run components are heteroscedastic. Furthermore, the uncertainty associated with these components may increase with the level of inflation as postulated by Friedman. We propose to use the differences between the autocorrelations of squares and the squared autocorrelations of the auxiliary residuals to identify heteroscedastic components. We show that conditional heteroscedasticity truly present in the data can be rejected when looking at the correlations of standardized residuals while the autocorrelations of auxiliary residuals have more power to detect conditional heteroscedasticity. Furthermore, the proposed statistics can help to decide which component is heteroscedastic. Their finite sample performance is compared with that of a Lagrange Multiplier test by means of Monte Carlo experiments. Finally, we use auxiliary residuals to detect conditional heteroscedasticity in monthly inflation series of eight OECD countries.
- 0811 Rubén Segura-Cayuela y Josep M. Vilarrubia: Uncertainty and entry into export markets (624 KB).
We face uncertainty in most economic decisions we take. This is particularly true in the case of a firm entering a foreign market where there is uncertainty about the size of the market, the distribution channels, the adequacy of the firm's product to local tastes, etc. Despite its obvious importance, this ingredient appears to have been largely overlooked by the literature explaining the direction and volume of international trade flows. We incorporate this informational uncertainty into a model with heterogeneous firms similar to the one proposed by Melitz (2003). The model exhibits informational externalities that arise via informational complementarities: in markets with less uncertainty, the most productive firms always find optimal to enter. Once a firm enters that foreign market, her success/failure reveals information to other domestic firms who, given the new information, optimally decide whether to enter. We characterize the conditions under which, given initial entry, informational externalities are strong enough to reach an equilibrium with full information. The model delivers an explanation for the recent dynamic evolution of trade flows, at the intensive margin at the country level and the extensive margin at the firm/product level. The model also provides insights on the persistence of bilateral trade flows, zero trade flows, and why we observe empirically less entrance by small firms than the Melitz model predicts.
- 0810 Alicia García-Herrero y Juan M. Ruiz: Do trade and financial linkages foster business cycle synchronization in a small economy? (555 KB).
We estimate a system of equations to analyze whether bilateral trade and financial linkages influence business cycle synchronization directly and/or indirectly. Our paper builds upon the existing literature by using bilateral trade and financial flows for a small, open economy (Spain) as benchmark for the results, instead of the US as generally done in the literature. We find that both the similarity of productive structure and trade links promote the synchronization of cycles. However, bilateral financial links are inversely related to the co movement of output. This might point to financial integration allowing an easier transfer of resources between two economies, which could enable their decoupling, as predicted by a standard model of international business cycles. Both the effects of trade and financial links on output synchronization are statistically significant and economically relevant.
- 0809 Aitor Erce: A structural model of sovereign debt issuance: assessing the role of financial factors (822 KB).
The role that domestic and international financial conditions have in shaping developing countries' governments' debt structure is structurally estimated using data on individual bond issuance. The structural model, which uses financial and demographic conditions to achieve identification, is used to estimate three key characteristics of sovereign bonds: issue size, maturity and spread. To minimize sample selection concerns, in a first step, the issuance decision is studied by means of a probit model. Results show that better developed domestic financial markets and looser international financial conditions raise developing countries ability to tap international markets and, mainly through their effect on the spreads, are important determinants of the observed debt structure. We find evidence of complementarities between domestic financial deepening and financing conditions in global markets.
- 0808 Rubén Segura-Cayuela y Josep M. Vilarrubia: The effect of foreign service on trade volumes and trade partners (602 KB).
It has been emphasized that international promotion activities such as state visits or the presence of embassies, consulates and export promotion agencies help foster trade when there are search costs and/or uncertainty. In this paper we try to disentangle the differential effect that foreign service (embassies and consulates) has on both the establishment of trade links with countries, and the effect on trade volumes with already existing trading partners (the extensive and intensive margins at the country level). Using the estimation procedure suggested by Helpman, Melitz and Rubinstein (2007) and a cross-section of 21 exporters and 162 importers as in Rose (2005), we find that the presence of a foreign service office in a given country increases the probability of trading with that partner between 11% and 18%, but that it has no effect on the volume of trade with already existing trading partners. We then proceed to evaluate the importance of the extensive margin at the sectoral level, finding that these probabilities are substantially larger for more differentiated sectors.
- 0807 Maximo Camacho y Gabriel Perez-Quiros: Introducing the EURO-STING: Short Term INdicator of Euro Area Growth (701 KB).
We propose a model to compute short-term forecasts of the Euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. In this context, we provide examples that show how data revisions and data availability affect point forecasts and forecast uncertainty.
- 0806 Carlos Thomas: Search frictions, real rigidities and inflation dynamics (705 KB).
I analyze the effect of search frictions on inflation dynamics, in a New Keynesian model where firms make both pricing and vacancy posting decisions. I find that search frictions create real rigidities in price setting. This mechanism flattens the New Keynesian Phillips curve, relative both to the standard model with a frictionless labor market and a model where pricing and vacancy posting decisions are made by different subsets of firms. This helps the model improve its empirical performance along a number of dimensions. First, inflation becomes more persistent. Second, output responses to monetary shocks become larger and more persistent. Finally, unemployment becomes more volatile.
- 0805 Javier Andrés, J. David López-Salido y Edward Nelson: Money and the natural rate of interest: structural estimates for the United States and the euro area (1.238 KB).
We examine the role of money in three environments: the New Keynesian model with separable utility and static money demand; a nonseparable utility variant with habit formation; and a version with adjustment costs for holding real balances. The last two variants imply forward-looking behavior of real money balances, with forecasts of future interest rates entering current portfolio decisions. We conduct a structural econometric analysis of the U.S. and euro area economies. FIML estimates confirm the forward-looking character of money demand. A consequence is that real money balances are valuable in anticipating future variations in the natural interest rate.
- 0804 Olympia Bover: Wealth inequality and household structure: US vs. Spain (758 KB).
We study the link between culturally inherited household structure and wealth distribution in international comparisons using household data for the US and Spain (the SCF and the EFF). We estimate counterfactual US distributions relying on the Spanish household structure. Our results show that differences in household structure account for most of the differences in the lower part of the distribution between the two countries, but mask even larger differences in the upper part of the distribution. Imposing the Spanish household structure to the US wealth distribution has little effect on summary measures of inequality. However, this is the net result of reduced differences at the bottom and increased differences at the top. So there is distinct additional information in considering the whole distribution. We also report some evidence of an association between these wealth distribution differences and wealth composition. Finally, we present results for the within-group differences between the two countries using quantile regressions and find a reversing pattern by age.
- 0803 Isabel Argimón y Pablo Hernández de Cos: Los determinantes de los saldos presupuestarios de las Comunidades Autónomas (577 KB).
Este trabajo tiene como objetivo proporcionar una primera aproximación al análisis de los determinantes de los saldos públicos de las CCAA, que han sido agrupados en factores económicos, políticos e institucionales y factores específicos relativos a los órganos inferiores de gobierno (federalismo fiscal). Con datos referidos al periodo 1984 2004, el enfoque seguido lleva a concluir que los límites de deuda y déficit establecidos en los denominados Escenarios de Consolidación Presupuestaria, vigentes durante los años noventa, no parece que tuvieran un efecto significativo sobre los saldos de las CCAA, mientras que un mayor grado de corresponsabilidad fiscal parece ir asociado a un comportamiento más disciplinado de los gobiernos subcentrales. Asimismo, se obtiene que un mayor grado de descentralización fiscal va acompañado de una mayor dependencia de la evolución de los saldos públicos de las CCAA con respecto al ciclo económico. La ejecución de la política fiscal en las CCAA parece, finalmente, incorporar un fuerte componente inercial. En todo caso, la presencia de series cortas, la existencia de grandes cambios institucionales durante el periodo analizado, que se traducen en cambios en el sistema de financiación y de competencias, y el elevado número de variables explicativas, es decir, el elevado número de posibles determinantes de los saldos públicos, obliga a tomar los resultados aquí presentados con la debida cautela.
- 0802 Ricardo Gimeno y José Manuel Marqués: Uncertainty and the price of risk in a nominal convergence process (879 KB).
In this paper we decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve estimation. We apply this model to the Spanish economy during the 90s, which is an especially challenging exercise given the nominal convergence towards the European Monetary Union (EMU) then under way. The methodology seems to be suitable for other countries currently involved in convergence towards EMU. The evidence indicates that inflation expectations and risk premia account for most of the observed variation in nominal rates, while real risk free interest rates show a reduction during this period lower than that suggested by other approaches.
- 0801 Enrique Benito: Size, growth and bank dynamics (543 KB).
This paper investigates the size distribution of the whole population of Spanish commercial, savings and cooperative banks from a dynamic perspective over the 1970 2006 period. To investigate the evolution of the size distribution, we determine whether the data satisfies the Law of Proportionate Effect (LPE) using panel unit root tests. We find that the size-growth relationship is not stable over time but changes depending on the competitive environment of banks (liberalization, deregulation and integration). When Spanish banking was highly regulated, we find that smaller banks grew faster than their larger counterparts. In recent years, however, we find that larger banks grow at the same rate or faster than smaller banks, a result that lends towards LPE acceptance. Thus, our study corroborates the conditioned nature of the size-growth relationship and the size distribution of banks, as emphasized by recent studies for the US banking system. Results imply that the size distribution of Spanish banks will become more skewed in next years, and concentration will tend to increase.