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Autor Novales Cinca, Alfonso |
Documentos disponibles escritos por este autor (45)
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Novales Cinca, Alfonso ; Abad Romero, Pilar | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-03The first two principal components in the vector of term structure slopes from IRS markets in eight major currencies can be approximately identified as the slopes for the US dollar and Deutsche mark. Each of the eight slopes considered is cointe[...]![]()
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We use stock market data to analyze the quality of alternative models and procedures for fore- casting expected shortfall (ES) at different significance levels. We compute ES forecasts from conditional models applied to the full distribution of [...]![]()
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Domínguez, Emilio ; Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002We evaluate the extent to which the explanatory power detected in the term structure in different markets and countries can actually be used to produce sensible forecasts of future short-term interest rates. Specifically, in spite of the forecas[...]![]()
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García Ferrer, Antonio ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1995-03We analyze the ability of recent methods proposed for the specification and estimation of relationships among nonstationary variables, to overcome the traditional instability of empirical money demand functions. We use a 1964-1982 sample for the[...]![]()
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Domínguez, Emilio ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1998Using data on Euro-rates for 1978-1996, we have examined the extent to which crosscountry informatíon on tenn structure slopes can be used to improve upon univariate slope forecasts. This is interesting from fue point of view of forecasting econ[...]![]()
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Garcia-Jorcano, Laura ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019We introduce three dominance criteria to compare the performance of alternative VaR forecasting models. The three criteria use the information provided by a battery of VaR validation tests based on the frequency and size of exceedances, offering[...]![]()
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Domínguez, Emilio ; Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002Using monthly data on Euro-rates for 1979-1998, we examine the extent to which crosscountry information on term structure slopes can be used to improve upon univariate slope forecasts. This is interesting from the point of view of forecasting ec[...]![]()
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Novales Cinca, Alfonso ; Ruiz Andújar, Jesús | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001Se discute la posibilidad de cambios en la política fiscal que mejoren el bienestar en las economías reales, en un modelo de crecimiento endógeno con acumulación de capital humano. Abstract In an endogenous growth model with human capital accumu[...]![]()
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Gómez, Inmaculada ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1997Salvo en situaciones excepcionales de compensación entre los efectos de pendiente y curvatura, los cambios experimentados por la estructura temporal en el mercado español de deuda están muy alejados de ser desplazamientos paralelos. Por tanto, s[...]![]()
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Benito, Sonia ; Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005-05We 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 acros[...]![]()
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Novales Cinca, Alfonso ; Domínguez, Emilio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002This paper departs from previous research in dealing with dimensionality reduction in the space of international term structure slopes. Recent empirical work has documented the existence of information in the slope of the term structure which is[...]![]()
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Novales Cinca, Alfonso ; Flores de Frutos, Rafael | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1996-09Utilizando 17 variables trimestrales macroeconómicas del Reino Unido, caracterizadas por Franses y Romijn (1993) como periódicamente integradas, hemos encontrado que modelos períodicos no restringidos no prevén mejor que modelos univariantes. En[...]![]()
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Chamizo Cana, Álvaro ; Fonollosa, Alexandre ; Novales Cinca, Alfonso | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)We analyze whether the credit market anticipated the financial crisis before the regulators using a methodology that combines the Merton model for the determination of economic capital with Vasicek’s factor model for asset correlation. Contrary [...]![]()
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García Ferrer, Antonio ; Hoyo Bernat, Juan del ; Novales Cinca, Alfonso ; Young, Peter C. | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1993Forecast of international GNP growth rates are computed using a novel, onobserved components model that allows for estimating the trend and the perturbational components in GNPdata. The model is formulated in state space terms, and estimating us[...]![]()
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Flores de Frutos, Rafael ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1995-10We propose a general test for univariate seasonality. Starting from a multivariate model for the seasons. some constraints must hold both, on the covariance matrix of the innovations, as well as among coefficients across equations, for a univari[...]![]()
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Marrero, Gustavo A. ; Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001Se demuestra que recaudar impuestos sobre la renta puede resultar una mejor alternativa que financiar el gasto público con impuestos de suma fija, en un modelo de crecimiento endógeno de un sector con gasto público productivo e improductivo y ba[...]![]()
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Marrero, Gustavo A. ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2003Some concepts associated with the notion of public consumption could be considered as wasteful public expenditures, so that a firstbest analysis would set their level equal to zero every period. However, their ratio to output is significant and [...]![]()
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Moreno, Manuel ; Novales Cinca, Alfonso ; Platania, Federico | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019This paper introduces a two-factor continuous-time model for commodity pricing under the assump- tion that prices revert to a stochastic mean level, which shows smooth, periodic fluctuations over long periods of time. We represent the mean rever[...]![]()
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Chamizo Cana, Álvaro ; Novales Cinca, Alfonso | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)We provide a methodology to estimate a Global Credit Risk Factor (GCRF) from CDS spreads using the information provided by the default-related component of observed spreads. These are previ- ously estimated using Pan and Singleton (2008) methodo[...]![]()
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Nieto, Belén ; Novales Cinca, Alfonso ; Rubio, Gonzalo | 2014-07This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and macroeconomic indicators reflecting the state of the economy. We employ the GARCHMIDAS multiplicative two-component model of volatil[...]![]()
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Chamizo Cana, Álvaro ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019Hedging a credit portfolio using single name CDS is affected by high spread volatility that induces continuous changes in a portfolio mark to market, which is a nuisance. Often, the problem is that CDS on firms in the portfolio are not being tra[...]![]()
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Novales Cinca, Alfonso ; Lafuente Luengo, Juan Ángel | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002We provide an analytical discussion of the optimal hedge ratio under discrepancies between the futures market price and its theoretical valuation according to the cost-of-carry model. Assuming a geometric Brownian motion for spot prices, we mode[...]![]()
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In an endogenous growth model with public consumption and public investment, we explore the time-consistent optimal choice for two policy instruments: an income tax rate and the split of government spending between consumption and investment. We[...]![]()
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In an endogenous growth model with public consumption and investment and an elastic labour supply, we explore the time-consistent optimal choice for two policy instruments: an income tax rate and the split of government spending between consumpt[...]![]()
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Eransus, Francisco Javier ; Novales Cinca, Alfonso | 2014-07We analyze the effect of parameter estimation error on the size of unconditional population level tests of predictive ability when they are implemented under a class of loss functions we refer to as ‘discrete functions’. The analysis is restrict[...]![]()
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Flores de Frutos, Rafael ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1994We propose considering a seasonal time series as the realization of a s-variate stochastic process, s being the seasonal periodo In this paper we propose a test statistic for the hypothesis of a univariate versus a multivariate representation of[...]![]()
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Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1993When private agents have difficulty in interpreting price fluctuacions, they are led into suboptimal allocations of resources. Consequently, price uncertainty is an undesirable feature of a business cycle. However, the way how monetary po1[...]![]()
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García Ferrer, Antonio ; Hoyo Bernat, Juan del ; Young, Peter C. ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1993En este trabajo proponemos un modelo novedoso de componentes no observables para las variaciones en el PNB anual en varios países. El modelo se formula en espacio de los estados y se estima mediante procedimientos recursivos de filtrado y de sua[...]![]()
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Novales Cinca, Alfonso ; Abad Romero, Pilar | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-03Some characteristics of the term structure in interest rate swap (IRS) markets are influenced by the own idiosyncrasy of this financial instrument, which could explain the rejection of the Expectations Hypothesis, we present evidence supporting [...]![]()
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Novales Cinca, Alfonso ; Domínguez, Emilio ; Pérez, Javier ; Ruiz, Jesus | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1998We provide a summarized presentation of solution methods for rational expectations models, based on eigenvalue/eigenvector decompositions. These methods solve systems of stochastic linear difference equations by relying on the use of stability c[...]![]()
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Chamizo Cana, Álvaro ; Novales Cinca, Alfonso | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019We provide a methodology to estimate a global credit risk factor from CDS spreads that can be very useful for risk management. The global risk factor (GRF) reproduces quite well the different epis- odes that have affected the credit market over [...]![]()
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Jiménez-Martín, Juan-Ángel ; Novales Cinca, Alfonso | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2009-03-26This 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 e[...]![]()
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Eransus, Francisco Javier ; Novales Cinca, Alfonso | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2014-07We propose a new approach to evaluating the usefulness of a set of forecasts, based on the use of a discrete loss function de…ned on the space of data and forecasts. Existing procedures for such an evaluation either do not allow for formal testi[...]![]()
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Eransus, Francisco J. ; Novales Cinca, Alfonso | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2011-04We propose a new approach to evaluating the usefulness of a set of forecasts, based on the use of a discrete loss function defined on the space of data and forecasts. Existing procedures for such an evaluation either do not allow for formal test[...]![]()
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Marrero, Gustavo A. ; Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico.Universidad Complutense de Madrid | 2003This paper tackles the fundamental issue in public finance of wether taxing or subsidizing factor rents. In a one sector endogenous growth model with private and public capital, similar to that in Barro (1990), we find that raising taxes on fact[...]![]()
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Moreno, Manuel ; Novales Cinca, Alfonso ; Platania, Federico | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the rela- tionship between [...]![]()
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Domínguez, Emilio ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1998Analyzing data on Euro-rates for 1978-1996, we find consistent evidence in favor of the Expectations Hypothesis (EH) of the term structure: a) interest rates offered on deposits in a given currency form a cointegrated system, b) the restrictions[...]![]()
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Novales Cinca, Alfonso ; Abad Romero, Pilar | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-06Using estimated principal components as factors, three-factors models are shown to produce forecasts comparable to those of autoregressive models for 2 to 10 year zaero coupon interest rates IRS markets both, for short- and medium- term forecast[...]![]()
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Castro, Francisco de ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1997Los tipos de cambio forward a uno y tres meses para un conjunto de divisas están cointegrados con tipos de cambio futuros, pero no con los tipos de cambio actuales. Mantenemos la hipótesis de insesgo como relación de cointegración entre los tipo[...]![]()
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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 expectati[...]![]()
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Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002After reviewing the reasons to use solution methods in macroeconomics, this survey paper discusses diferent aspects relative to a rigorous use of the numerical output of such methods. Special attention is paid to suggestions that have been made [...]![]()
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Domínguez Irastorza, Emilio ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 1996-01Endowment economies have generally been considered when trying to reproduce the empirical rejection of the expectation hypothesis of the term structure as an implication of equilibrium asset pricing models. Previous attempts have not been succes[...]![]()
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Nieto, Belén ; Novales Cinca, Alfonso ; Rubio, Gonzalo | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2011-04This paper proposes an ICAPM in which the risk premium embedded in variance swaps is the factor mimicking portfolio for hedging exposure to changes in future investment conditions. Recent empirical evidence shows that the fears by investors to d[...]![]()
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Abad , Pilar ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2002We characterize the behavior of volatility across the term structure of interest rate swaps in three currencies (Deutsche mark, Japanese yen and US Dollar)![]()
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Nieto, Belén ; Novales Cinca, Alfonso ; Rubio, Gonzalo | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico | 2011-04This paper studies the determinants of the variance risk premium and concludes on the hedging possibilities offered by variance swaps. We start by showing that the variance risk premium responds to changes in higher order moments of the distribu[...]