Two volatility indexes, VIBEX and VIBEX-NEW, are calculated for the Spanish financial market by using a non-model free, and a model free methodology, respectively. VIBEX-NEW index is worthy of being chosen first, due to liquidity problems in Spanish option market on IBEX35. Daily changes in...

This paper introduces state-uncertainty preferences into the Lucas (1982) economy, showing that this type of preferences helps to explain the exchange rate risk premium. Under these preferences we can distinguish between two factors driving the exchange rate risk premium: macroeconomic risk and...

A model-free methodology is for the first time used in this paper to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market. We show that daily changes in VIBEX-NEW display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common...

We study in this paper the equilibrium influence of adjustment costs of capital on interest rates determination. Considering endogenous interest rates in optimal capital accumulation models introduces nonlinearities which together with expectations of future variables make the model hard to...

This paper introduces state-uncertainty preferences into the Lucas (1982) economy, showing that this type of preferences helps to explain the exchange rate risk premium. Under these preferences we can distinguish between two factors driving the exchange rate risk premium: “macroeconomic...

This paper introduces state-uncertainty preferences into the Lucas (1982) economy, showing that this type of preferences helps to explain the exchange rate risk premium. Under these preferences we can distinguish between two factors driving the exchange rate risk premium: “macroeconomic...

We show how the term structure of volatilities for zero-cupon interest rates from the Spanish secondary debt market can be explained by a reduced number of factors. This factor representation can be used to produce time series volatilities across the whole term structure. As an alternative,...

This paper shows that state-uncertainty preferences help to explain the observed exchange rate risk premium. In the framework of Lucas (1982) economy, state-uncertainty preferences amount to assuming that a given level of consumption will yield a higher level of utility the lower is the level of...