Publicaciones

To identify credit availability we analyze the extensive and intensive margins of lending with loan applications and all loans granted in Spain. We find that during the period analyzed both worse economic and tighter monetary conditions reduce loan granting, especially to firms or from banks with lower capital or liquidity ratios. Moreover, responding to applications for the same loan, weak banks are less likely to grant the loan. Our results suggest that firms cannot offset the resultant credit restriction by turning to other banks. Importantly the bank-lending channel is notably stronger when we account for unobserved time-varying firm heterogeneity in loan demand and quality.

The EU’s transposition of Basel II into European law has been done through the Capital Requirements Directive (CRD). Although the Directive establishes, in general, uniform rules to set capital requirements across European countries, there are some areas where the Directive allows some heterogeneity. In particular, countries are asked to choose among different possibilities whentransposing the Directive, which are called national discretions (ND). The main objective of our research is to use such observed heterogeneity to gather empirical evidence on the effects on European banks of more or less stringency and more or less risk sensitivity in capital requirements. Following the approach in Barth et al. (2004, 2006, 2008) we build index numbers for groups of national discretions and applying Altunbas et al. (2007) approach, we provide evidence on their effect on banks’ risk, capital, efficiency and cost. We show that more stringency and more risk sensitivity in regulation not always result in a trade off between efficiency and solvency: the impact depends on the area of national discretion on which such characteristics apply.

Compared with the rest of the European countries the weight of the house property
market in Spain is very high, which is consistent with the weakness of the tenancy market.
In this context, it has often been argued that an inefficient judicial system, implying a
cumbersome procedure to evict a non-paying tenant or simply needing a long period
to execute a decision, may be an important determinant of the tenancy market weakness,
as it constrains the effective supply by reducing the profitability of landlords. This research
has studied this effect econometrically using a panel data approach and exploiting the
differences in the judicial efficiency that exists among the Spanish provinces. After controlling
for several other factors, this study concludes that the degree of inefficiency of the judicial
system has a positive, although minor, impact on the differences in the property share
among provinces in Spain.

The aim of this paper is to characterize the cyclical properties of Spanish real and nominal housing
related variables. Our three main results are: First, housing appears to lead the business cycle. Second, fluctuation in home prices are positively related to those of residential investment, suggesting the dominant role of demand factors over supply ones. Third,there are interesting asymmetries in cyclical fluctuations: contractions in GDP appear to be briefer than expansions.

Does GDP composition affect GDP growth and volatility? Typically, economies at advanced stages of development grow slower, are less volatile and have a larger share of services in GDP with respect to economies at middle stages. I propose a theory of development consistent with these three facts. I show that even when total factor productivity (TFP) growth and volatility are the same in manufacturing and services at the gross output level, the larger intensity of intermediate goods in gross output production in manufacturing implies a larger growth and volatility of TFP at the value added level in manufacturing than in services. As GDP is a weighted average of value added of the sectors in the economy, a larger share of services in the economy implies both a smaller GDP growth and a smaller GDP volatility. Numerical results suggest that along a transition path in which the share of services increases from 0.41 to 0.73, the same gross output TFP process in manufacturing and services implies a per-capita GDP growth and volatility 21% and 18% larger in the first part of the transition with respect to the second. These numbers represent 95% of the difference in per-capita GDP growth and 95% of the difference in per-capita GDP volatility between middle and high income economies during the 1970-2006 period. Also, the model can account for 58% of the per-capita GDP growth and 32% of the per-capita GDP volatility differences measured in the U.S. between the 1950-1978 and 1979-2007 periods.

This paper presents estimates based on individual data of downward nominal and real wage rigidities for thirteen sectors in Belgium, Denmark, Spain and Portugal. Our methodology follows the approach recently developed for the International Wage Flexibility Project, whereby resistance to nominal and real wage cuts is measured through departures of observed individual wage change histograms from an estimated counterfactual wage change distribution that would have prevailed in the absence of rigidity. We evaluate the role of worker and firm characteristics in shaping wage rigidities. We also confront our estimates of wage rigidities to structural features of the labour markets studied, such as the wage bargaining level, variable pay policy and the degree of product market competition. We find that the use of firm-level collective agreements in countries with rather centralized wage formation reduces the degree of real wage rigidity. This finding suggests that some degree of decentralization within highly centralized countries allows firms to adjust wages downwards, when business conditions turn bad.

This paper analyzes housing market boom-bust cycles driven by changes in households’ expectations. We explore the role of expectations not only on productivity but on several other shocks that originate in the housing market, the credit market and the conduct of monetary policy. We fi nd that, in the presence of nominal rigidities, expectations on both the conduct of monetary policy and future productivity can generate housing market boom-bust cycles in accordance with the empirical fi ndings. Moreover, expectations of either a future reduction in the policy rate or a temporary increase in the central bank’s infl ation target that are not fulfi lled generate a macroeconomic recession. Increased access to credit generates a boom-bust cycle in most variables only if it is expected to be reversed in the near future.

This paper models the investment behaviour of a multi-asset firm with market power that
accumulates valuable intangible assets to complement the IT capital. The investment model
is estimated using data from Spanish banks on assets of different nature: material (branches,
financial), immaterial (advertising and IT) and intangible (training of workers). The paper
estimates that the representative bank spends five additional Euros per Euro invested in
IT-related assets in complementary intangible assets or, equivalently, intangibles amount
to approximately 10% of the economic value of the representative bank. The remaining
economic value is distributed between 28% from rents attributed to market power, and 62%
to the cost of market-purchased assets.

This paper presents US and euro area estimates for a fully heterogeneous model, in which
there is a continuum of fi rms setting prices with a constant probability of adjustment,
which may differ from fi rm to fi rm. The estimated model accurately matches the empirical
distribution function of individual price durations for the US and the euro area. Incorporating
these micro based pricing rules into a DSGE model, we fi nd that nominal shocks have a
greater real impact in the fully heterogeneous economy than in the standard Calvo model.
We also fi nd that nominal and real shocks bring about a reallocation of resources among
sectors. Monetary policy is found to have a greater real impact in the euro area than in the
United States.

We propose a new method for analysing multiperiod stress scenarios for portfolio credit risk more
systematically than in the current practice of macro stress testing. Our method quantifi es the
plausibility of scenarios by considering the distance of the stress scenario from an average scenario. For a given level of plausibility our method searches systematically for the most adverse scenario for the given portfolio. This method therefore gives a formal criterion for judging the plausibility of scenarios and it makes sure that no plausible scenario will be missed. We show how this method can be applied to a range of models already in use among stress testing practitioners. While worst case search requires numerical optimisation we show that for practically relevant cases we can work with reasonably good linear approximations to the portfolio loss function that make the method computationally very efficient and easy to implement. Applying our approach to data from the Spanish loan register and using a portfolio credit risk model we show that, compared to standard stress test procedures, our method identifies more harmful scenarios that are equally plausible.

We study changes in the wage structures in nine EU countries over 1995-2002 and the role of demand, supply and institutional developments in shaping these changes. Using comparable cross-country microeconomic data, we compute for each country and at each decile of the wage distribution, the part of the observed wage change that is due to changes in the composition of workers, employers, and jobs’ characteristics, and the part due to changes in the returns to these characteristics. We find that composition effects derived from changes in age, gender or education of the labour force, largely exogenous to economic developments, had a minor contribution to the observed wage dynamics. In contrast, return and composition effects from characteristics likely driven by economic developments are found most relevant to explain the observed changes. We relate wages and their various components with macroeconomic
and institutional trends and find that technology and globalisation are associated with wage increases; migration is associated with declines in wages; whereas the effect of labour market institutions has been mixed.

Este trabajo analiza el impacto del ciclo económico sobre los flujos migratorios. Para ello, se estiman los determinantes tanto de las entradas de inmigrantes, como de sus salidas, encontrándose efectos significativos de la situación económica coyuntural o de corto plazo en ambos casos, si bien su importancia cuantitativa y robustez es mayor en el caso de las entradas. De acuerdo con estos resultados, podría esperarse, como de hecho está sucediendo, que en la actual fase cíclica, el crecimiento de la población inmigrante en España se ralentice, especialmente a través de una reducción de las entradas.

This paper investigates whether the existence of knowledge spillovers, differences in the capacity of firms to assimilate them and disparities in some human resource management practices are related with the decision to innovate of Spanish firms. In order to do this, we employ data from the "Central de Balances" database, which covers both manufacturing and services firms during the period 2003-2007, and use an estimator proposed by Wooldridge (2005) for dynamic random effects discrete choice models. The empirical exercise provides evidence on the positive link between spillovers and the innovative behaviour of companies, not just for the knowledge generated in the same industry, but also for that generated in the same region or by the public sector. Moreover, this link is stronger for those firms with a higher capacity to absorb those spillovers. This ability not only works through firms’ R&D capabilities, but also through such factors as the quality of the labour force, the share of temporary employment and the
amount of resources spent in training. In addition to these factors, we find that innovation performance exhibits a high degree of inertia. Further, some other observed firm characteristics, such as size, sales growth, export behaviour, sector capital intensity or financial structure variables, are also found to be relevant determinants of the likelihood of innovation.

In this article, we explore the demand for the euro for risk management purposes, and the evidence of
stock market integration in the euro area. We define a reserve currency as one that investors demand
either because it helps them hedge real interest risk and inflation risk, or because it helps them reduce
the volatility of their portfolio of stocks and bonds because its return is negatively correlated with
the returns on those assets. This article re-examines the role of the euro as a reserve currency in the
sense of Campbell, Viceira and White (2003), updating their evidence, and reviews the evidence of
Campbell, Serfaty-de Medeiros and Viceira (2010) in detail. Consistent with the intuition that an
integrated capital market is one in which there is a common discount factor pricing securities, we also
investigate whether stocks in the euro area have moved from a regime in which national stock markets were priced with discount rates that were predominantly country specific, to a regime in which national stock markets are predominantly priced by a euro area-wide common discount rate. We adopt the beta decomposition approach of Campbell and Vuolteenaho (2004) and Campbell, Polk and Vuolteenaho (2010) to test for capital market integration, and find robust evidence of increased capital market integration in the euro zone, and consequently improved risk sharing among euro zone economies.

In light of the huge cross-country differences in job losses during the recent crisis, we study how labor
market duality - meaning the coexistence of "temporary" contracts with low firing costs and "permanent" contracts with high firing costs - affects labor market volatility. In a model of job creation and destruction based on Mortensen and Pissarides (1994), we show that a labor market with these two contract types is more volatile than an otherwise-identical economy with a single contract type. Calibrating our model to Spain, we find that unemployment fluctuates 21% more under duality than it would in a unified economy with the same average firing cost, and 33% more than it would in a unified economy with the same average unemployment rate.
In our setup, employment grows gradually in booms, due to matching frictions, whereas the onset of a
recession causes a burst of firing of "fragile" low-productivity jobs. Unlike permanent jobs, some
newly-created temporary jobs are already near the firing margin, which makes temporary jobs more likely to be fragile and means they play a disproportionate role in employment fluctuations. Unifying the labor market makes all jobs behave more like the permanent component of the dual economy, and therefore decreases volatility. Unfortunately, it also raises unemployment; to avoid this, unification must be accompanied by a decrease in the average level of firing costs. Finally, we confirm that factors like unemployment benefits and wage rigidity also have a large, interacting effect on labor market volatility; in particular, higher unemployment benefits increase the impact of duality on volatility.

This paper proposes the use of dynamic factor models as an alternative to the VAR-based tools for the
empirical validation of dynamic stochastic general equilibrium (DSGE) theories. Along the lines of
Giannone et al. (2006), we use the state-space parameterisation of the factor models proposed by Forni et
al. (2007) as a competitive benchmark that is able to capture weak statistical restrictions that DSGE
models impose on the data. Beyond the weak restrictions, which are given by the number of shocks and the
number of state variables, the behavioural restrictions embedded in the utility and production functions
of the model economy contribute to achieve further parsimony. Such parsimony reduces the number of
parameters to be estimated, potentially helping the general equilibrium environment improve forecast
accuracy. In turn, the DSGE model is considered to be misspecified when it is outperformed by the
state-space representation that only incorporates the weak restrictions.

We analyze the takeover premiums paid for a sample of European bank mergers between 1997 and 2007. We find that acquiring banks value profitable, high-growth and low risk targets. We also find that the strength of bank regulation and supervision as well as deposit insurance regimes in Europe have
measurable effects on takeover pricing. Stricter bank regulatory regimes and stronger deposit insurance
schemes lower the takeover premiums paid by acquiring banks. This result, presumably in anticipation of higher compliance costs, is mainly driven by domestic deals. Also, we find no conclusive evidence that bidders seek to extract benefits from regulators either by paying a premium for deals in less regulated regimes or by becoming ‘too big to fail’.

This paper shows that the standard Calvo model clearly fails to account for the distribution of price durations found in micro data. We propose a novel price setting model that fully captures heterogeneity in individual pricing behavior. Specifi cally, we assume that there is a continuum of fi rms that set prices according to a Calvo mechanism, each of them with a possibly different price adjustment parameter. The model is estimated by maximum likelihood and closely matches individual consumer and producer price data. Incorporating estimated price setting rules into a standard DSGE model shows that fully accounting for pricing heterogeneity is crucial to understanding infl ation and output dynamics. The standard calibration that assumes within sector homogeneity, as in Carvalho (2006), is at odds with micro data evidence and leads to a substantial distortion of estimates of the real impact of monetary policy.

How much should be spent in research and development (R&D)? How should R&D vary over
the business cycle? In this paper we answer both questions in the context of a calibrated
dynamic general equilibrium model with Schumpeterian endogenous growth. Firstly,
we demonstrate that, although the existence of distortions in a decentralized economy
produces underinvestment in R&D, a simple proportional subsidy to R&D spending alone
cannot restore the first best allocation. The optimal proportional R&D subsidy attains a
second best allocation in which R&D spending exceeds its first best level. Secondly, we
show how the observed procyclicality of R&D is socially inefficient. However, the welfare
loss due to this dynamic inefficiency is much smaller than the loss due to underinvestment
in R&D.

This paper examines the nature of competition in the Spanish banking industry during the
years before and after Spain joined the European Monetary Union (EMU). The paper models
competition in a product-differentiated market where banks choose from a list of price
(interest rates of loans and deposits) and non-price variables (branches, advertising,
IT capital). The empirically estimated demand and cost functions are used to simulate the
values of the endogenous variables of the representative bank in response to the historically
low official interest rates of the post Euro period. The results show that there has been a
convergence in the levels of price competition in the loans and deposits markets during the
post Euro period. Additionally, the paper finds that branches have lost weight in the mix of
competition variables in benefit of advertising and IT capital. This is interpreted as evidence
that traditional proximity banking is evolving towards distant banking. Finally, the simulation
results highlight the high imbalances between loans and deposits for the representative bank
in the regime of low official interest rates of the Euro zone.

This paper proposes a parsimonious approach to test non-linear dependence on the
conditional mean and variance of hedge funds with respect to several market factors. My
approach introduces non-linear dependence by means of empirically relevant polynomial
functions of the factors. For comparison purposes, I also consider multifactor extensions of
tests based on piecewise linear alternatives. I apply these tests to a database of monthly
returns on 1,071 hedge funds. I fi nd that non-linear dependence on the mean is highly
sensitive to the factors that I consider. However, I obtain a much stronger evidence of non-linear
dependence on the conditional variance.

This paper analyses information from survey data collected in the framework of the Eurosystem’s Wage
Dynamics Network (WDN) on patterns of firm-level adjustment to shocks. We document that the relative
intensity and the character of price vs. cost and wage vs. employment adjustments in response to
cost-push shocks depend - in theoretically sensible ways - on the intensity of competition in firms’
product markets, on the importance of collective wage bargaining and on other structural and
institutional features of firms and of their environment. Focusing on the pass-through of cost shocks to
prices, our results suggest that the pass-through is lower in highly competitive firms. Furthermore, a
high degree of employment protection and collective wage agreements tend to make this pass through
stronger.

A common assumption in the academic literature is that franchise value plays a key role in
limiting bank risk-taking. As market power is the primary source of franchise value, reduced
competition in banking markets has been seen as promoting banking stability. We test this
hypothesis using data for the Spanish banking system. We find that standard measures of
market concentration do not affect bank risk-taking. However, we find a negative relationship
between market power measured using Lerner indexes based on bank-specific interest rates
and bank risk. Our results support the franchise value paradigm.

This paper analyzes the role of standing facilities in the determination of the demand
for reserves in the overnight money market. In particular, we study how the asymmetric
nature of the deposit and lending facilities could be used as a powerful policy tool for the
simultaneous control of prices and quantities in the market for daily funds.

This paper examines whether financial constraints affect firms’ investment decisions for older
(larger) firms. We compare a group of unbanked firms to firms that rely on formal financing.
Specifically, we combine data from the Spanish Mercantile Registry and the Bank of Spain
Credit Registry (CIR) to classify firms according to their number of banking relations: one,
several, or none. Our empirical strategy combines two approaches based on a common
theoretical model. First, using a standard Euler equation adjustment cost approach to
investment, we find that single-banked firms in our sample are most likely to exhibit cash
flow sensitivity while unbanked firms are not. Second, using structural maximum likelihood
estimation, we find that unbanked firms have a financial structure which is close to credit
subject to moral hazard with unobserved effort, whereas single-banked firms have a financial
structure which is more limited, as in an exogenously imposed traditional debt model.
Firms in the unbanked category do not rely on bonds, equity, or formal financial markets,
but rather on other firms in a financial or family-tied group (with either pyramidal or informal
structure). We are among the first to document the importance of such groups in a
European country. We control for reverse causality by treating bank relationships as
endogenous and/or by appropriate stratifications of the sample.

Economic theory predicts that individuals exposed to the risk of losing their job postpone their consumption and accumulate more assets to build a buffer stock of saving. We provide a new test of the hypothesis using substantial variation in severance payments across contracts in the Spanish labor market. Using the 2002 and 2005 waves of a new survey of wealth and consumption we estimate the link between the probability that several household members lose their job and the wealth and consumption of that household. We instrument the type of contract using regional variation in the amount, timing and target groups of subsidies given to firms to hire workers using high severance payment ones. We find that workers covered by fixed-term contracts accumulate more financial wealth. An increase in the probability of losing the job of 8 percentage points increases average financial wealth by 4 months of income. We provide simulations from a simple buffer stock and a permanent income models that suggest that our results are more likely to be generated by the former.

We analyze optimal monetary policy in a model with two distinct financial frictions. First, borrowing is subject to collateral constraints. Second, credit flows are intermediated by monopolistically competitive banks, thus giving rise to endogenous lending spreads. We show that, up to a second order approximation, welfare maximization is equivalent to stabilization of four goals: inflation, output gap, the consumption gap between constrained and unconstrained agents, and the distribution of the collateralizable asset between both groups. Following both financial and non-financial shocks, the optimal monetary policy commitment implies a short-run trade-off between stabilization goals. Such policy trade-offs become amplified as banking competition increases, due to the fall in lending spreads and the resulting increase in financial leveraging.