Información del autor
Autor Sosvilla-Rivero, Simón |
Documentos disponibles escritos por este autor (77)
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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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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.texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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,[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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 [...]texto impreso
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 [...]texto impreso
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[...]texto impreso
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[...]texto impreso
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 [...]texto impreso
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 [...]