BackBrowsing DFAEII by Issue Date
Now showing items 1-20 of 149
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A Non-Parametric Dimension Test of the Term Structure
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure ... -
Smiling under stochastic volatility
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result ... -
The Optimality of the Common Fisheries Policy: the Northern Stock of Hake
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)We evaluate the management of the Northern Stock of Hake during 1986-2001. A stochastic bioeconomic model is calibrated to match the main features of this fishing ground. We show how catches, biomass stock and profits ... -
Autorregresive conditional volatility, skewness and kurtosis
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which ... -
Unemployment rates and population changes in Spain
Echevarría Olave, Cruz Ángel
; Eguía Peña, María Begoña (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
This paper discusses the long run effect of changes in the age distribution of Spanish population on the unemployment rate, disaggregated by sex and age segments in the light of cointegration theory given the non stationarity ... -
Life Expectancy, Schooling Time and Endogenous Growth
Echevarría Olave, Cruz Ángel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
I analyze how changes in life expectancy affect retirement age, education time, and growth rates of economies. I set up a continuous time, overlapping generations model of endogenous growth with externalities in human ... -
Population age structure and private consumption in Spain
Eguía Peña, María Begoña; Echevarría Olave, Cruz Ángel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
In this paper we study the effect of population age distribution upon private consumption expenditure in Spain from 1964 to 1997 using aggregate data. We obtain four main results. First, changes in the population pyramid ... -
Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market
Rubio Irigoyen, Gonzalo; Martínez Sedano, Miguel Ángel; Nieto, Belén (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this ... -
Growth in Overlapping Generation Economies with Non-Renewable Resources
Agnani, Betty; Gutiérrez Huerta, María José; Iza Padilla, María Amaya (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
Feasibility of positive steady-state growth in overlapping generation (OLG) economies that use non-renewable resources as essential inputs in the production process is analyzed. The model we use is, in essence, that of ... -
Skill premium effects on fertility and female labor force supply
Iza Padilla, María Amaya; Ferrero Martínez, Dolores (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
In the last twenty years the United States has seen a positive relationship between female labor supply and total fertility rates, which differs from the pattern observed over the preceding years. We construct a general ... -
Decomposing the Gender Wage Gap: The effect of firms, occupations and Job Stratification
De la Rica Goiricelaya, Sara (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
This paper presents new evidence on the role of segregation into firms, occupations within a firm and stratification into professional categories within firm-occupations in explaining the gender wage gap. I use a generalized ... -
An empirical comparison of the performance of alternative option pricing models
Rubio Irigoyen, Gonzalo; Ferreira García, María Eva; Gago, Mónica; León, Angel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
This paper presents a comparison of alternative option pricing models based neither on jump-diffusion nor stochastic volatility data generating processes. We assume either a smooth volatility function of some previously ... -
A Measure of Gender Wage Discrimination at Quantiles
Gardeazabal, Javier; Ugidos Olazabal, Arantza (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
The literature provides several scalar measures of gender wage discrimination that cannot identify whether discrimination is greater among high earners or among low earners. Furthermore, two populations may exhibit the ... -
A factor model of seasonality in stock returns
Gardeazabal, Javier; Regúlez Castillo, Marta (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002)
Most empirical evidence on stock market seasonality is based on the Dummy Variable Approach (DVA). Typically, the DVA leaves too much variability of stock returns unexplained and inference usually leads to weak or null ... -
Dynamic Inefficiency in an Overlapping Generation Economy with Pollution and Health Costs
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-01)We analyze an overlapping generations model in which pollution arises, in an accumulatively way, from production. Householders do not care directly about the environment, but pollution leads them to incur health costs when ... -
Understanding the ex-ante cost of liquidity in the limit order book: A note
Martínez Sedano, Miguel Ángel; Rubio Irigoyen, Gonzalo; Tapia, Mikel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-01)
This paper estimates a new measure of liquidity costs in a market driven by orders. It represents thecost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity ... -
Wage differentials between Permanent and Temporal Contracts: Further Evidence
De la Rica Goiricelaya, Sara; Felgueroso, Florentino (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-02)
The main objective of this paper is to estimate wage differentials between permanent and temporal workers for different qualification levels and decompose such differentials to see which factors contribute more to explain ... -
Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates
Gutiérrez Huerta, María José; Vázquez Pérez, Jesús (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-04)
This paper considers the basic present value model of interest rates under rational expectations with two additional features. First, following McCallum (1994), the model assumes a policy reaction function where changes ... -
More on Identification on Detailed Wage Decompositions
Gardeazabal, Javier; Ugidos Olazabal, Arantza (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-04)
Wage decompositions are often used to decompose wage differentials of two demographic groups into differences in characteristics and differences in returns to those characteristics. The later part is used as an estimate ... -
The Weekend-Dividend Effect in the Spanish Market
Gardeazabal, Javier; Regúlez Castillo, Marta (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-06)
In this paper we develop an econometric test of a corollary of the irrelevance of the dividend policy principle, namely, that the rescheduling of dividends does not affect the market valuation of the firm. In particular, ...