Listar COFIN_Articles por autoría "18bddd3b-d12d-49c9-9efe-8a5c8f594d0f"
Mostrando ítems 1-12 de 12
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Bitcoin attention and economic policy uncertainty
Elsevier (2024)This paper explores the role of Economic Policy Uncertainty (EPU) as driver of the Bitcoin public attention. Using Google trends data from January 2010 to November 2021 in a set of 22 countries, a Principal Components ... -
Disentangling permanent and transitory monetary shocks with a nonlinear Taylor rule
De Gruyter (2021)This article provides an estimation method to decompose monetary policy innovations into persistent and transitory components using the nonlinear Taylor rule proposed in Andolfatto, Hendry, and Moran (2008) [Are inflation ...
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Dissecting interbank risk using basis swap spreads
Wiley (2019)This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating‐to‐floating interest rate swaps whose payments are associated with euro deposit rates for alternative tenors. To identify ... -
Does Perceived Corruption Converge? International Evidence
De Gruyter (2022-03-17)This article analyses the evolution over time of perceived corruption for a large set of countries worldwide. To proxy corruption, we use the recently proposed Bayesian Corruption Index (Standaert, S. (2015). Divining the ...
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Forecasting multiple-term structures from interbank rates
Elsevier (2018-02)The classic relationship between deposit rates and interest rate derivatives has been fractured since August 2007. Uncertainty in the interbank money market has increased the risk premia differentials on unsecured deposit ...
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Intraday realised volatility relationships between the S&P 500 spot and futures market
Palgrave Macmillan (2009)In this paper, we provide additional evidence on the intraday lead-lag relationship in the S&P 500 stock index futures market. In particular, we focus on the dynamic interactions of market volatility. In contrast to previous ...
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Liquidity and hedging effectiveness under futures mispricing: International evidence
Wiley (2009)We analyze the hedging effectiveness of positions that replicate stock indexes using corresponding futures contracts through the application of a dynamic, stochastic hedging strategy proposed by Lafuente, J. A. and Novales, ...
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On the compensation for illiquidity in sovereign credit markets
Elsevier (2015-03)This article analyzes the role of liquidity in the sovereign credit default swap (CDS) market. We employ a continuous-time specification to incorporate illiquidity as an additional pricing factor of default swap contracts ...
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Pricing factors in multiple-term structures from interbank
Elsevier (2019-03)This article analyzes the reward for the risk embedded in interbank derivatives, seeking to characterize the size and economic sources of the components of this risk premium in interbank spread quotes. The basis swap (BS) ...
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Social Exclusion and Convergence in the EU: An Assessment of the Europe 2020 Strategy
MDPI (2020)Economic convergence has long been a declared objective of the EU and considered the fundamental mechanism for achieving socioeconomic cohesion. The recent economic crisis had an uneven impact across EU countries and brought ...
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The effect of the EMU on short and long-run stock market dynamics: New evidence on financial integration
Inderscience Publishers (2009)This paper deals with the time evolution of stock market integra- tion around the introduction of the euro. In particular we test whether the degree of integration between the main eurozone countries increased after European ...
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The impact of distressed economies on the EU sovereign market
Elsevier (2013-07)Financially distressed economies inside the European Union (EU) are being blamed for producing a general increase in borrowing costs. This article analyzes the channels of default risk transmission within the EU countries ...
