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Narrative Sign Restrictions for SVARs

dt2017-07 | Juan Antolín-Díaz, Juan F. Rubio-Ramírez, 23/03/2017

We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using models of the oil market and monetary policy, we show that narrative sign restrictions are highly informative. We highlight that adding a single narrative sign restriction dramatically sharpens and even changes the inference of SVARs originally identified via traditional sign restrictions. Our approach combines the appeal of narrative methods with the popularized usage of traditional sign restrictions.

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Faster estimation of discrete time duration models with unobserved heterogeneity using hshaz2

dt2017-06 | David Troncoso Ponce, 16/03/2017

This article presents hshaz2, a new Stata command that uses d2 ml method to estimate discrete time duration models with unobserved heterogeneity. The main advantage of using hshaz2 is the gain in computation speed, that takes special relevance as the sample size increases.

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Cargos por Azar

dt2017-03 | Emilio Albi, 13/02/2017

El azar puede ofrecer el estímulo que contrarreste comportamientos no deseables de los partidos políticos en la elección de altos cargos, La aleatoriedad rompe el incentivo de seguir conductas políticas oportunistas ya que lo fortuito elimina saber quién hará tal cosa o conseguirá tal otra. “Cargos por azar” intenta despolitizar la elección de altos cargos en muy diversas instituciones del Estado.

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The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

dt2016-07 | Martin M. Andreasen, Jesús Fernández-Villaverde, Juan F. Rubio-Ramírez, 06/09/2016

This paper studies the pruned state-space system for higher-order perturbation ap- proximations to DSGE models. We show the stability of the pruned approximation up to third order and provide closed-form expressions for Örst and second unconditional moments and impulse response functions. Our results introduce GMM estimation and impulse-response matching for DSGE models approximated up to third order and pro- vide a foundation for indirect inference and SMM. As an application, we consider a New Keynesian model with Epstein-Zin-Weil preferences and two novel feedback e§ects from long-term bonds to the real economy, allowing us to match the level and variability of the 10-year term premium in the U.S. with a low relative risk aversion of 5.

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Monte Carlo evidence on the estimation of AR(1) panel data sample selection models

dt2016-01 | Sergi Jiménez-Martín, José María Labeaga, 14/01/2016

We present Generalized Method of Moments estimators for AR(1) dynamic panel data sample selection models. We perform a Monte Carlo study to evaluate the finite sample properties of the proposed estimators. Our results suggest that correcting for sample selection in many standard cases does not add much to the uncorrected estimates. In particular, the magnitude of the biases is similar and very small when estimating the model either correcting or not the equation of interest. This equivalence also holds in the dynamic model with exogenous regressors. These results are especially relevant for practitioners either when there is selection of unknown form or selection is difficult to model.

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“Gender (in)Equality Act” and large Spanish Corporations

fpp2015-03 | J. Ignacio Conde-Ruiz, Carmen Hoya, 11/02/2015

This policy paper presents an analysis of the current situation of female representation on the boards of Directors of the 35 largest publicly listed Spanish companies. Whenever possible, it compares the situation in 2013 to that of 2007, the year in which the “Gender Equality Act” was passed. The law stated that in 2015 it would assess progress and decide whether or not to introduce more drastic measures or implement further actions if necessary. The paper finds there is still a long way to go until gender equality is reached. Female representation on the boards is still below the EU-28 average and more importantly well below the 40% objective the Spanish Government set in 2007 to be met in 2015. Moreover, even though female board members are paid on average less than male board members (even when comparing in the same job position and the same company), they are younger and more educated than their male colleagues. An analysis of the Spanish situation and of the EU context suggests that the only way forward is through binding legislation (i.e. gender quotas with sanctions for non-complying companies).

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Which club should I attend, Dad?: Targeted socialization and production

dt-2014-20 | Facundo Albornoz, Antonio Cabrales, Esther Hauk, 22/12/2014

We study a model that integrates productive and socialization efforts with network choice and parental investments. We characterize the unique symmetric equilibrium of this game. We first show that individuals underinvest in productive and social effort, but that solving only the investment problem can exacerbate the misallocations due to network choice, to the point that it may generate an even lower social welfare if one of the networks is sufficiently disadvantaged. We also study the interaction of parental investment with network choice. We relate these equilibrium results with characteristics that we find in the data on economic co-authorship and field transmission between advisors and advisees.

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Risk-sharing and contagion in networks

dt-2014-18 | Antonio Cabrales, Piero Gottardi, Fernando Vega-Redondo, 09/12/2014

We investigate the trade-off, arising in financial networks, between higher risk-sharing and greater exposure to contagion when the connectivity increases. We find that with shock distributions displaying ”fat” tails, extreme segmentation into small components is optimal, while minimal segmentation and high density of connections are optimal with distributions exhibiting ”thin” tails. For less regular distributions, intermediate degrees of segmentation and sparser connections are optimal. If firms are heterogeneous, optimality requires perfect assortativity in their linkages. In gen- eral, however, a conflict arises between optimality and individual incentives to establish linkages, due to a ”size externality” not internalized by firms.

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Efficiency and Endogenous Fertility

dt-2014-10 | Mikel Pérez-Nievas, J. Ignacio Conde-Ruiz, Eduardo L. Giménez, 15/09/2014

This paper explores the properties of several notions of efficiency (Α-efficiency, Ρ-efficiency and Millian efficiency) to evaluate allocations in a general overlapping generations setting with endogenous fertility and descendant altruism that includes, as a particular case, Barro and Becker’s (1988) model of fertility choice. We first focus on the notion of Α-efficiency, proposed by Golosov, Jones and Tertilt (Econometrica, 2007) and show that, in many environments, the set of symmetric, interior, Α-efficient allocations is empty. To overcome this problem, we then propose to evaluate the efficiency of a given allocation with a particular specification of Ρ-efficiency –proposed also by Golosov et al.– for which the utility attributed to the unborn depends on the utility level achieved by those who get to be born in a given allocation. For a large class of specifications of the function determining the utility attributed to the unborn, every Millian efficient allocation, that is, every symmetric allocation that is not Α-dominated by any other symmetric allocation, is also Ρ-efficient. Finally, we restate the First Welfare Theorem by showing that a) every competitive equilibrium is a –statically– Millian efficient allocation; and that b) if long-run wages do not exceed the capitalized costs of rearing children, then competitive equilibria are also –dynamically– Millian efficient.

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The Role of Global Value Chains during the Crisis: Evidence from Spanish and European Firms

dt-2014-09 | Aranzazu Crespo, Marcel Jansen, 17/08/2014

This paper analyzes the role that global value chains (GVC) have played during the sovereign debt crisis in Europe, and the key policy challenges that Spain faces. First, we provide a comparative analysis of the export performance and FDI activities of Spanish firms, using the firm-level information of the EFIGE dataset. Then, we use input-output tables from the WIOD database to identify the industries whose participation in GVCs should be promoted since they retain a larger share of domestic value added. Finally, we analyze the capacity of GVCs to amplify or act as built-in stabilizers following economic downturns. To do so, we compute the first round impact on Spanish gross exports and domestic value added of a 10% increase in final demand in selected areas of the world. Spain’s gross exports would be worth 2.28% of GDP while the domestic value added from export would grow by 2.34%, which suggests that GVCs act as stabilizers since the promote more the domestic value added components.

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Immigrant Selection over the Business Cycle: The Spanish Boom and the Great Recession

dt-2014-05 | Jesús Fernández-Huertas Moraga, 26/05/2014

Spain received more immigrants than any other European country during its boom between 1997 and 2007 but continued receiving them during the recession that followed. This paper documents the selection of these immigrants in terms of their productive characteristics both before and after the peak of the boom. Pre-crisis immigrants were typically positively selected although selection was less positive for some over-represented national groups. Post-crisis immigration became even more positively selected, as well as older and more feminized.

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A practitioners' guide to gravity models of international migration

dt-2014-03 | Michel Beinea, Simone Bertolib, Jesús Fernández-Huertas Moraga, 13/02/2014

The use of bilateral data for the analysis of international migration is at the same time a blessing and a curse. It is a blessing since the dyadic dimension of the data allows researchers to analyze many previously unaddressed questions in the literature. This paper reviews some of the recent studies using this type of data in a gravity framework in order to identify important factors affecting international migration ows. Our review demonstrates that considerable efforts have been conducted by many scholars and that overall we have a much better knowledge of the relevant determinants. Still, the use of bilateral data is also a curse. The methodological challenges that are implied by the use of this type of data are numerous and our paper covers some of the most significant ones. These include sound theoretical foundations, accounting for multilateral resistance to migration as well the choice of appropriate estimation techniques dealing with the nature of the migration data and with endogeneity concerns.

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