Documentos de Trabajo最新文献_第2页

Estimating the contribution of macroeconomic factors to sovereign bond spreads in the euro area 估算宏观经济因素对欧元区主权债券利差的影响

Documentos de Trabajo Pub Date : 2024-03-22 DOI: 10.53479/36257

Pablo Burriel, M. Delgado-Téllez, Camila Figueroa, Iván Kataryniuk, Javier J. Pérez

{"title":"Estimating the contribution of macroeconomic factors to sovereign bond spreads in the euro area","authors":"Pablo Burriel, M. Delgado-Téllez, Camila Figueroa, Iván Kataryniuk, Javier J. Pérez","doi":"10.53479/36257","DOIUrl":"https://doi.org/10.53479/36257","url":null,"abstract":"This paper proposes a novel approach to estimating the contribution of macroeconomic factors to sovereign spreads in the euro area, defined as the spread level consistent with the country’s prevailing macroeconomic conditions. Despite the wealth of papers estimating sovereign spreads, model-dependency and lack of robustness remain key considerations. Accordingly, we propose a “thick modeling” empirical framework, based on the estimation of a wide range of models. We focus on 10-year sovereign bond yields for nine euro area countries, using a sample that covers the period January 2000 to December 2023. Our results show that observed spreads behave in line with macro-financial determinants in “normal” times. Macroeconomic determinants are also able to account for a significant fraction of the observed sovereign spread dynamics in most episodes of financial turbulence, such as the pandemic and the aftermath of the Russian invasion of Ukraine. However, we find evidence of some deviations of sovereign spreads from their estimated values during the 2010-2012 euro area sovereign debt crisis. In this period, macroeconomic indicators are able to explain at most 26% of the observed peaks in spreads among non-core countries.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":" 9","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140218019","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Climate risk, soft information and credit supply 气候风险、软信息和信贷供应

Documentos de Trabajo Pub Date : 2024-02-26 DOI: 10.53479/36112

Laura Álvarez-Román, Sergio Mayordomo, Carles Vergara-Alert, Xavier Vives

引用次数: 0

The heterogeneous impact of inflation on households’ balance sheets. 通货膨胀对家庭资产负债表的异质性影响。

Documentos de Trabajo Pub Date : 2024-01-26 DOI: 10.53479/35932

Clodomiro Ferreira, José Miguel Leiva, Galo Nũno, Álvaro Ortiz, Tomasa Rodrigo, Sirenia Vazquez

{"title":"The heterogeneous impact of inflation on households’ balance sheets.","authors":"Clodomiro Ferreira, José Miguel Leiva, Galo Nũno, Álvaro Ortiz, Tomasa Rodrigo, Sirenia Vazquez","doi":"10.53479/35932","DOIUrl":"https://doi.org/10.53479/35932","url":null,"abstract":"We identify and study analytically three key channels that shape how inflation affects wealth inequality: (i) the traditional wealth (or Fisher) channel through which inflation redistributes from lenders to borrowers; (ii) an income channel through which inflation reduces the real value of sticky wages and benefits; and (iii) a relative consumption channel through which heterogeneous increases in the prices of different goods affect people differently depending on their consumption baskets. We then quantify these channels during the 2021 inflation surge in Spain using detailed, high-frequency customer-level data from one of the main commercial banks. The unexpected nature of the inflation shock and its perception as temporary in this period in particular closely fit the assumptions behind our theoretical decomposition. Results show that the wealth and income channels are an order of magnitude larger than the consumption channel. Middle-aged individuals were, in net terms, largely unaffected by inflation, while the elderly suffered the most. We find similar results when using representative surveys on households’ wealth, income, and consumption.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"51 38","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139594537","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 11

“Green regulation”: a quantification of regulations related to renewable energy, sustainable transport, pollution and energy efficiency between 2000 and 2022 "绿色法规"：2000 年至 2022 年与可再生能源、可持续运输、污染和能效有关的法规量化

Documentos de Trabajo Pub Date : 2023-12-14 DOI: 10.53479/35594

Juan S. Mora-Sanguinetti, Andrés Atienza-Maeso

{"title":"“Green regulation”: a quantification of regulations related to renewable energy, sustainable transport, pollution and energy efficiency between 2000 and 2022","authors":"Juan S. Mora-Sanguinetti, Andrés Atienza-Maeso","doi":"10.53479/35594","DOIUrl":"https://doi.org/10.53479/35594","url":null,"abstract":"The achievement of an environmentally sustainable growth model, the development of renewable energies or the adoption of energy efficiency measures are nowadays fundamental issues in economic analysis and are a substantial part of the public debate. However, while there may be an increased social awareness of these issues, a different question is at what pace these social concerns have been translated into regulation, fostering or hindering the development of new markets or “green” technologies. \u0000 This paper proposes a rigorous empirical study identifying and quantifying, through text analysis, all regulations related to four different subject blocks associated with “green growth” (renewable energies, sustainable transportation, pollution and energy efficiency), issued by Spanish national or regional governments over the period 2000-2022. This research thus constructs a database in panel data format. Among other results, we identify 3,482 regulations related to renewable energies, 783 regulations dealing with sustainable transportation, 108 on pollution management and 5,116 related to the measurement (and management) of energy efficiency. \u0000 The results show that regulation is diverse by subject matter, reflects significant regional diversity and has increased over time, especially in more recent years, after a certain standstill during the Great Recession. This database could help develop future research projects on the impacts of “green” regulation on certain economic or institutional variables (such as “green” innovation or environmental conflict). \u0000 The paper concludes with a comparison of renewable energy regulation in France and Spain, also based on text analysis. Spain shows a higher and more disaggregated volume of regulation.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"45 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138972559","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Do Teams Alleviate or Exacerbate the Extrapolation Bias in the Stock Market? 团队会减轻还是加剧股市中的外推偏差？

Documentos de Trabajo Pub Date : 2023-11-30 DOI: 10.53479/35522

Ricardo Barahona, Stefano Cassella, Kristy A. E. Jansen

引用次数: 0

The numbers of equality regulation. Quantifying regulatory activity on non-discrimination and its relationship with gender gaps in the labour market 平等法规的数量。量化非歧视监管活动及其与劳动力市场性别差距的关系

Documentos de Trabajo Pub Date : 2023-11-15 DOI: 10.53479/34754

Juan S. Mora-Sanguinetti, Laura Hospido, Andrés Atienza-Maeso

{"title":"The numbers of equality regulation. Quantifying regulatory activity on non-discrimination and its relationship with gender gaps in the labour market","authors":"Juan S. Mora-Sanguinetti, Laura Hospido, Andrés Atienza-Maeso","doi":"10.53479/34754","DOIUrl":"https://doi.org/10.53479/34754","url":null,"abstract":"Public policies that aim to achieve gender equality, improve work-life balance or combat harassment may have economic consequences, for example, through changes in the labour supply of women or other groups. Although there may be an increase in social awareness of these problems, a separate question is whether this increase is reflected in specific legislation in a society. The objective of this paper is to quantify for the first time when, where and at what rate these social concerns have been translated into legislation. The study covers the period 1996-2022, identifying both central government legislation and legislation in each of the autonomous regions. The analysis, therefore, organises the information in a panel format. The indicators reveal the high degree of heterogeneity in terms of the legislation in the various related areas, with non-discrimination legislation being the most developed and frequent. They also reveal the differences between autonomous regions, with Andalusia and Catalonia being those in which most legislation has been introduced. As an example of an application of this analysis, the database is then used to investigate the relationship between legislative changes and labour market inflows for women. Our estimates show a positive relationship between the volume of legislation passed in the areas of interest, such as non-discrimination policies, and indicators of both employment and female labour force participation.","PeriodicalId":296461,"journal":{"name":"Documentos de Trabajo","volume":"10 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139271353","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Dividend Restrictions and Search for Income 股息限制和寻求收入

Documentos de Trabajo Pub Date : 2023-10-26 DOI: 10.53479/34644

Esther Cáceres, Matías Lamas

引用次数: 0

How far has globalization gone? A tale of two regions 全球化已经走了多远？两个地区的故事

Documentos de Trabajo Pub Date : 2023-10-20 DOI: 10.53479/34612

Rodolfo Campos, Samuel Pienknagura, Jacopo Timini

引用次数: 0

A Score Function to Prioritize Editing in Household Survey Data: A Machine Learning Approach 家庭调查数据中优先编辑的评分函数：机器学习方法

Documentos de Trabajo Pub Date : 2023-10-19 DOI: 10.53479/34613

Nicolás Forteza, Sandra García-Uribe