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Autor Novales Cinca, Alfonso |
Documentos disponibles escritos por este autor (45)
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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 [...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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 [...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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[...]texto impreso
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 [...]texto impreso
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[...]texto impreso
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[...]texto impreso
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)texto impreso
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[...]