Since the seminal paper of Vasicek and Fong (1982) term structure models are estimated assuming that yields are cross-sectionally homokedastic. In this paper, we show that this hypothesis does not hold even for bonds from the same issuer when there are differences in their level of liquidity....

This paper proposes the mixed frequency conditional beta. We employ the MIDAS framework to decompose market betas into high and low frequency components. The total mixed frequency beta is the weighted average of these two components. Then, we analyze the macroeconomic determinants of stock...

Estimating the market risk is conditioned by the fat tail of the distribution of returns. But the tail index depends on the threshold of this distribution fat tail. We propose a methodology based on the decomposition of the series into positive outliers, Gaussian central part and negative...

The relationship between financial knowledge and financial behaviour has been widely studied in previous literature. Numerous works conducted in different contexts have found a positive relationship between them. The objective of this paper is to test the effect of homeownership on this...

Purpose: The purpose of this paper is to understand women’s approaches to acquiring financial and other resources is essential for closing the entrepreneurship gender gap. In nearly 40% of economies, women’s early-stage entrepreneurial activity is half or less than half of that of men’s....

En este documento de trabajo estimamos, para la inflación, las funciones de densidad neutrales al riesgo (RND) en la zona del euro diariamente desde 2009. Para ello, utilizamos swaps de inflación y opciones calls/puts, e introducimos un enfoque simple y parsimonioso para estimar conjuntamente...

Evento: Banco de España-SUERF Conference. Financial Disintermediation and the Future of the Banking Sector

La literatura teórica de modelos de curva de tipos enfatiza la importancia de la absorción de riesgo de duración esperada durante la vida residual de los bonos para entender el efecto de las compras de activos de los bancos centrales sobre las curvas de tipos. Motivados por esto, construimos...

In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By implementing this approach, we avoid the use of...