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Autor Sosvilla-Rivero, Simón |
Documentos disponibles escritos por este autor (77)
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Based on a data set of 115 economies, this article empirically investigates the relation between public debt and economic growth. Using the World Bank’s classification for income groups, we initially find that those countries that present the lo[...]![]()
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Acosta-González, Eduardo ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Taylor & Francis | 2014-03Using a statistical methodology guided only by data and based on a genetic algorithm, we select the best econometric model for explaining the determinants of the size of the shadow economy, its main determinants being: taxes on capital gains of [...]![]()
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We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of th[...]![]()
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In this paper we have reviewed the theoretical models associated with those approaches, focusing on the implied reduced-form equations. We have also examined the empirical evidence on these models for the recent floating period, finding that eco[...]![]()
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Given the structural differences in banking sector and financial regulation at national level in EMU, this paper tries to estimate the banking sector risk behavior at country level. Based on contingent claim literature, it computes “Distance-to-[...]![]()
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This paper investigates the cross-sectional spillovers between banking and sovereign risk in the European Economic and Monetary Union (EMU) countries. Average ‘distance-todefault’ based on all publicly listed banks headquartered in a particular [...]![]()
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This paper contributes to the literature by applying the Granger-causality approach and endogenous breakpoint test to offer an operational definition of contagion to examine European Economic and Monetary Union (EMU) countries public debt behavi[...]![]()
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Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2011-10Our research aims to analyze the causal relationships in the behavior of public debt issued by peripheral member countries of the European Economic and Monetary Union (EMU), with special emphasis on the recent episodes of crisis triggered in the[...]![]()
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This paper tries to contribute to the understanding of sovereign debt crises' pattern by empirically investigating the determinants of the recent euro area crisis to assess if its transmission was due to “pure” or “fundamentalsbased” contagion. [...]![]()
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Bajo-Rubio, Oscar ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Facultad de Ciencias Económicas y Empresariales. Decanato | 1992En este trabajo se muestran algunos contrastes de la presencia de caos determinista en las series de tipo de cambio peseta-dólar estadounidense, al contado y a futuros a uno y tres meses, con datos diarios correspondientes al período enero 1985 [...]![]()
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Morales-Zumaquero, Amalia ; Sosvilla-Rivero, Simón | Asociación Española de Economía y Finanzas Internacionales | 2014-03This paper investigates the convergence in real Gross Domestic Product (GDP) growth focusing on the impact of financial crises (i.e. banking crises, currency crises and debt crises) and nominal exchange rate regimes (i.e. fixed, intermediate and[...]![]()
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This article contributes to the literature on price convergence in Europe by investigating the existence of stochastic and deterministic convergence of car prices in the EU15 countries. We apply recently developed econometric techniques that all[...]![]()
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Alonso, Javier ; Sosvilla-Rivero, Simón ; Galindo-Martín, Miguel Ángel | Facultad de Ciencias Económicas y Empresariales, Universidad Complutense | 1996Se examina el grado de convergencia en las prestaciones de protección social "per capita" registrado en la Unión Europea durante el período 1966-92, para lo que se emplean datos de Eurostat.![]()
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Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2016This paper contributes to the literature by empirically examining whether the influence of public debt on economic growth differs between the short and the long run and presents different patterns across euro-area countries. To this end, we use [...]![]()
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Fernandez-Perez, Adrian ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Taylor & Francis | 2012We test for the existence of trends in exchange-rate series for 95 currencies against the US dollar. To that end, we make use of Taylor’s (1980) price trend model that, instead of focusing on the mean reverting behaviour of exchange rates measur[...]![]()
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This paper attempts to identify implicit exchange-rate regimes for currencies of candidate countries vis-à-vis the euro. To that end, we apply three sequential procedures that consider the dynamics of exchange rates to data covering the period f[...]![]()
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Rubio-Guerrero, Juan José ; Sosvilla-Rivero, Simón ; Méndez-Picazo, María Teresa | Asociación Española de Fundaciones | 2014La Asociación Española de Fundaciones (AEF), a través del Instituto de Análisis Estratégico de Fundaciones (INAEF), ha publicado un nuevo informe sobre el Sector Fundacional español en el período 2008-2011 con algunas proyecciones hasta el 2012.[...]![]()
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Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Asociación Española de Economía y Finanzas Internacionales | 2014-05We empirically investigate whether the transmission of the recent crisis in euro area sovereign debt markets was due to fundamentals-based or pure contagion. To do so, we examine the behaviour of EMU sovereign bond yield spreads with respect to [...]![]()
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Objetivos: Ofrecer una estimación de las personas dependientes por grado y nivel para el periodo 2007-2045 y del coste asociado a su atención en el Sistema para la Autonomía y Atención a la Dependencia (SAAD). Métodos: A partir de la Encuesta de[...]![]()
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Based on a dataset of 123 economies, this paper empirically investigates the relation between exchange-rate regimes and economic growth. We find that growth performance is best under intermediate exchange rate regimes, while the smallest growth [...]![]()
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Sosvilla-Rivero, Simón ; Ramos-Herrera, María del Carmen | Asociación Española de Economía y Finanzas Internacionales | 2014-02Based on a dataset of 123 economies, both developed and developing countries, this paper investigates the relation between exchange-rate regimes and inflation performance. Our results suggest that those countries with flexible exchange-rate regi[...]![]()
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Examinamos la capacidad predictiva, las propiedades de consistencia de las expectativas de inflación y sus posibles determinantes usando una encuesta a un panel de expertos y empresarios realizada en España por PwC. Al analizar la tasa de inflac[...]![]()
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Fernandez-Perez, Adrian ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Taylor & Francis | 2012We offer further evidence on the relevance of technical trading in exchangerate markets using daily data for 95 currencies against the US dollar. To that end, we investigate the profitability of a simple technical trading rule based on Taylor’s [...]![]()
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Sosvilla-Rivero, Simón ; Ramos-Herrera, María del Carmen | Instituto Complutense de Estudios Internacionales | 2015This paper attempts to identify implicit exchange rate regimes for currencies of new European Union (EU) countries vis-à-vis the euro. To that end, we apply three sequential procedures that consider the dynamics of exchange rates to data coverin[...]![]()
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This study investigates the interconnection between five implied volatility indices representative of different financial markets during the period 1 August 2008–29 December 2017. To this end, we first perform a static and dynamic analysis to me[...]![]()
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Fernández-Rodríguez, Fernando ; Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales ICEI | 2015This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, w[...]![]()
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Fernández-Rodríguez, Fernando ; Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Asociación Española de Economía y Finanzas Internacionales | 2015-02This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, w[...]![]()
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Singh, Manish K. ; Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Asociación Española de Economía y Finanzas Internacionales | 2014-09Based on contingent claims analysis(CCA), this paper tries to estimate the systemic risk build-up in the European Economic and Monetary Union (EMU) countries using a market based measure "distance-to-default"(DtD). It analyzes the individual and[...]![]()
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In this paper we reexamine the evidence on the forward rate unbiasedness hypothesis for the main currencies vis-à-vis the U.S. Dollar exchange rate using the Phillips and Hansen (1990) estimation and inference procedure.![]()
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Fernandez-Perez, Adrian ; Fernández-Rodríguez, Fernando ; Sosvilla-Rivero, Simón | Scientific Research Publishing | 2012We develop a genetic algorithm that is able to find the optimal sequence of exchange rates that maximizes arbitrage profits with more than three currencies, being both the triangular arbitrage and the direct exchange rate two special cases of th[...]![]()
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Our research aims to analyze the possible existence of Granger-causal relationships in the behavior of public debt issued by peripheral member countries of the European Economic and Monetary Union (EMU), with special emphasis on the recent episo[...]![]()
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We empirically investigate the impact of financial crises and nominal exchange rate regime changes on growth dynamics. To that end, we estimate autoregressive models using panel data for 163 countries classified into four income groups during th[...]![]()
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Cohen, Lior ; Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Universitat de Barcelona. Facultat d'Economia i Empresa | 2019This paper focuses on how the European Central Bank’s (ECB) monetary policies influenced non-financial firms. The paper’s two main contributions are, first, to shed light on non-financial firms’ decisions on leverage, and how the ECB’s conventio[...]![]()
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Quantifying individual expectations has become a very important topic in economics, both for academic researchers and policymakers. One of the most relevant advantages of collecting probabilistic expectations is that the quantitative answers can[...]![]()
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The objective of this paper is to examine whether the threshold beyond which a public debt change may have a detrimental effect on economic growth changes across euro area countries during the 1961–2015 period. In contrast with previous studies,[...]![]()
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This paper tries to shed light on the historical analogies of the current crisis. To that end we compare the current sample distribution of Dow Jones Industrial Average Index returns for a 769-day period (from 15 September 2008, the Lehman Broth[...]![]()
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Ledesma Rodríguez, Francisco ; Navarro Ibáñez, Manuel ; Pérez Rodriguez, Jorge ; Sosvilla-Rivero, Simón | Taylor & Francis | 2011This article attempts to identify implicit exchange rate regimes for the yen/dollar exchange rate. To that end, we apply a sequential procedure that considers both the dynamics of exchange rates and central bank interventions to data covering th[...]![]()
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Ledesma Rodríguez, Francisco ; Pérez Rodriguez, Jorge ; Sosvilla-Rivero, Simón | Springer Nature | 2009This paper attempts to identify implicit exchange rate regimes for currencies of the Central and Eastern European Countries vis-à-vis the euro. To that end, we apply a sequential procedure that considers the dynamics of exchange rates to data co[...]![]()
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We examine the predictive ability, the consistency properties and the possible driving forces of inflation expectations, using a survey conducted in Spain by PwC among a panel of experts and entrepreneurs. When analysing the headline inflation r[...]![]()
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Ramos-Herrera, María del Carmen ; Sosvilla-Rivero, Simón | Asociación Española de Economía y Finanzas Internacionales | 2017Expectations are at the centre of modern macroeconomic theory and policymakers. In this paper, we examine the predictive ability and the consistency properties of macroeconomic expectations using data of the European Central Bank (ECB) Survey of[...]![]()
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In this article, we propose a new approach to evaluate the predictable components in stock indices using a boosting-based classification technique, and we use this method to examine causality among the three main stock market indices in the worl[...]![]()
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Sosvilla-Rivero, Simón ; Gómez-Puig, Marta | Universidad de Huelva. Servicio de Publicaciones. | 2019New empirical evidence is presented on the impact of public debt on economic growth. To that end, we employ the Autoregressive Distributed Lag (ARDL) bounds testing approach using annual data from both central and peripheral countries of the Eur[...]![]()
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Gómez-Puig, Marta ; Sosvilla-Rivero, Simón | Instituto Complutense de Estudios Internacionales (ICEI) | 2017In this paper we analyse the effects of all sources of the accumulation of nonfinancial debt (household, corporate as well as government) on economic growth in ten euro-area countries during the 1980-2015 period. To this end, we make use of thre[...]![]()
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This paper seeks to explain the office market dynamics in Madrid by using cointegration models. Specifically, we focus on the equilibrium path of stock, vacancy rate and letting rents, and feedback with two exogenous economic determinants, namel[...]![]()
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Using a statistical methodology guided by a genetic algorithm, we select the best econometric model for explaining the severity of the 2008 crisis, with the main determinant being the percentage of bank claims on private sector over deposits in [...]![]()
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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 [...]