Información del autor
Autor Sosvilla-Rivero, Simón |
Documentos disponibles escritos por este autor (77)
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Sosvilla-Rivero, Simón ; Ramos-Herrera, María del Carmen | Instituto Complutense de Estudios Internacionales (ICEI) | 2014We examine the predictive ability and consistency properties of exchange rate expectations for the dollar/euro using a survey conducted in Spain by PwC among a panel of experts and entrepreneurs. Our results suggest that the PwC panel have some [...]![]()
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This article uses the DCC-generalized autoregressive conditional heteroskedasticity model to investigate the existence of time-varying correlations between public debt and economic growth. To that end, we use annual data from both central and pe[...]![]()
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Rubio-Guerrero, Juan José ; Sosvilla-Rivero, Simón ; Méndez-Picazo, María Teresa | Asociación Española de Fundaciones | 2015-05Este documento analiza las características del donante típico español y las tendencias de sus donaciones a entidades sin fines de lucro (ESFL) a partir del análisis de las declaraciones de Impuesto sobre la Renta de Personas Físicas (IRPF) y del[...]![]()
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In this paper, we present an analysis of the effectiveness of various portfolio optimization strategies applied to the stocks included in the Spanish Ibex 35 index, for a period of 14 years, from 2001 until 2014. The period under study includes [...]![]()
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Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales | 2017This paper empirically investigates the short and long run impact of public debt on economic growth. We use annual data from both central and peripheral countries of the euro area (EA) for the 1961-2013 period and estimate a production function [...]![]()
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This paper examines real exchange rate (RER) volatility in eighty countries around the world, during the period 1970 to 2011. Two main questions are raised: are structural breaks in RER volatility related to changes in exchange-rate regimes or f[...]![]()
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Morales-Zumaquero, Amalia ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2013This paper examines the sources of real exchange rate (RER) volatility in eighty countries around the world, during the period 1970 to 2011. Our main goal is to explore the role of nominal exchange rate regimes and financial crises in explaining[...]![]()
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Hussain Shaha, Imran ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2017We propose an Economic Stability Index (ESI) incorporating house prices and stock prices as components of the measure of the inflation rate in order to allow the European Central Bank (ECB) to achieve both price and macroeconomic stability. We u[...]![]()
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This study attempts to identify and trace inter-linkages between sovereign and banking risk for each main country in the euro area. To this end, we use an indicator of banking sector risk in each country based on the Contingent Claim Analysis li[...]![]()
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Gómez-Puig, Marta ; Sosvilla-Rivero, Simón ; Singh, Manish K. | Asociación Española de Economía y Finanzas Internacionales | 2015-01This study attempts to identify and trace inter-linkages between sovereign and banking risk in the euro area. To this end, we use an indicator of banking risk in each country based on the Contingent Claim Analysis literature, and 10-year governm[...]![]()
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This paper attempts to determine whether or not nominal exchange rate regimes affect the volatility of bilateral and effective real exchange rates. To that end, we examine the real exchange rate behaviour for a set of OECD and non-OECD countries[...]![]()
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Echevarria-Icaza, Victor ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2017This paper shows that systemic banks are prone to increase their regulatory capital ratio through a decline in risk-weighted assets density and an intense use of lower level capital. The market access of systemic banks, and the fact that they we[...]![]()
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This article analyses the effect of the introduction of temporary ban on short positions in the Spanish market on the volatility of both the closing price and the trading volume of the underlying index as well as on the price of the main financi[...]![]()
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Bajo-Rubio, Oscar ; Sosvilla-Rivero, Simón | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1993En este trabajo se ofrece una panorámica de las principales aportaciones teóricas a la literatura sobre la determinación de los tipos de cambio. Se examinan sucesivamente la hipótesis de la paridad del poder adquisitivo, el modelo tradicional d[...]