In this paper quantitatively explores the role of immigration in the evolution of housing prices in Spain and its autonomous regions for the period 1995-2007. We use estimations of an inverted model for housing demand with and without immigrant flows. The results we have obtained suggest that...

This paper analyses the functioning of the European Exchange Rate Mechanism (ERM). To that end, we apply duration models to estimate an augmented target-zone model, explicitly incorporating political and institutional factors into the explanation of European exchange rate policies. The...

We examine the relation between monthly stock returns and lagged publicly available information. Our primary objective is to determine whether the variables proposed in the literature to predict the equity premium contain incremental information to an investor. We find that certain variables do...

We use a machine learning algorithm called Adaboost to find direction-of-change patterns for the Samp;P 500 index using daily prices from 1962 to 2004. The patterns are able to identify periods to take long and short positions in the index. This result, however, can largely be explained by...

Previous empirical studies have shown that predictive regressions in which model uncertainty is assessed and propagated generate desirable properties when predicting out-of-sample. However, it is still not clear (a) what the important conditioning variables for predicting stock returns...

This paper investigates the empirical relevance of inflation expectations in forecasting exchange rates. To that end, we use an expectation version of purchasing power parity (EVRPPP) based on the differential of inflation expectations derived from inflation-indexed bonds for Brazil, Colombia,...

In this paper, we attempt to assess the potential importance of different types of traders (i.e., those with public and private information) in financial markets using a specification of the standardized duration. This approach allows us to test unobserved heterogeneity in a nonlinear version...

We analyze the interconnection between the sovereign and banking sector risk in the peripheral euro area countries over the 2004Q4-2013Q2 period. Applying the contingent claims methodology, we build indicators of sovereign and banking sector risk (incorporating both market and balance sheet...

We examine the dynamic interconnection between sovereign credit and liquidity risks in ten euro area countries at the five year maturity with high-frequency data from MTS between January 2008 and December 2018 using the extension of the TVP-VAR connectedness approach of Antonakakis et al....

We examine the dynamic interconnection between sovereign credit and liquidity risks in ten euro area countries at the five year maturity with high-frequency data from MTS between January 2008 and December 2018 using the extension of the TVP-VAR connectedness approach of Antonakakis et al....