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Uncertainty and the price of risk in a nominal convergence process
Gimeno, Ricardo; Marqués, José Manuel - Banco de España - 2008
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 … countries currently involved in convergence towards EMU. The evidence indicates that inflation expectations and risk premia …
Persistent link: https://www.econbiz.de/10005088322
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Extraction of financial market expectations about inflation and interest rates from a liquid market
Gimeno, Ricardo; Marqués, José Manuel - Banco de España - 2009
directly the inflation rate as an additional factor without reducing the forecasting ability of the model. The augmented model … produces an estimation of market expectations about inflation free of liquidity, counterparty and term premia. We provide a … comparison of the properties of this indicator with others usually employed to proxy the inflation expectations, such as the …
Persistent link: https://www.econbiz.de/10004969769
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Can fundamentals explain cross-country correlations of asset returns?
Restoy, Fernando; Rodríguez, Rosa - Banco de España - 2005
Previous studies show that existing correlations between national returns are higher than correlations between the national growth rates of fundamental variables. This paper examines the ability of intertemporal asset pricing models to explain crosscountry correlations of national returns. We...
Persistent link: https://www.econbiz.de/10005590670
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Delving into country risk
Iranzo, Silvia - Banco de España - 2008
Since the Latin American debt crisis of the early 80s, country risk analysis has accounted for a significant part of the work of research and risk management departments of banks, insurance companies, rating agencies, financial market regulators, and multinational companies. Country risk is a...
Persistent link: https://www.econbiz.de/10005022307
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The euro as a reserve currency for global investors
Viceira, Luis M.; Gimeno, Ricardo - Banco de España - 2010
interest risk and inflation risk, or because it helps them reduce the volatility of their portfolio of stocks and bonds because …
Persistent link: https://www.econbiz.de/10008464965
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Contagion and portfolio shift in emerging countries' sovereign bonds
Ríos, Antonio Díez de los; Herrero, Alicia García - Banco de España - 2003
The paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven emerging countries' between January 1995 and November 2001. From existing definitions, we narrow down the concept of contagion by focusing on pricing errors, after general market...
Persistent link: https://www.econbiz.de/10004965259
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Banking crises and sovereign defaults in emerging markets: exploring the links
Balteanu, Irina; Erce, Aitor - Banco de España - 2014
This paper provides a set of stylised facts on the mechanisms through which banking and sovereign distress feed into each other, using a large sample of emerging economies over three decades. We first define “twin crises” as events where banking crises and sovereign defaults combine, and...
Persistent link: https://www.econbiz.de/10010862247
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Household leverage and fiscal multipliers
Andrés, Javier; Boscá, José; Ferri, Francisco - Banco de España - 2012
We study the size of fiscal multipliers in response to a government spending shock under different household leverage conditions in a general equilibrium setting with search and matching frictions. We allow for different levels of household indebtedness by changing the intensive margin of...
Persistent link: https://www.econbiz.de/10010862265
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The effect of foreclosure regulation: Evidence for the US mortgage market at state level
Vicente, Fernando López - Banco de España - 2013
Do laws to protect borrowers curb foreclosures? This question is addressed by analysing the impact of foreclosure laws on default rates at state level in the US mortgage market. Using panel data techniques, we find a statistically significant effect of regulation on the different stages of the...
Persistent link: https://www.econbiz.de/10010862277
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Los desafíos para la política monetaria en las economías avanzadas tras la Gran Recesión
Berganza, Juan Carlos; Hernando, Ignacio; Vallés, Javier - Banco de España - 2014
After almost six years with official interest rates at close to zero and with numerous unconventional measures still in place, 2014 is witnessing the beginning of the process of monetary normalisation in those economies, such as the United States and the United Kingdom, in which the recovery...
Persistent link: https://www.econbiz.de/10010930565