Listar por autoría "67c7eb21-72ac-4099-84fd-67bbd9d56a20"
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A Markov switching SVAR analysis on the relationship between exchange rate changes and stock returns in China
Cuestas, Juan Carlos; Tang, Bo Emerald (2020-04-22)Purpose This study investigates the spillover effects between exchange rate changes and stock returns in China. The authors find that no significant interconnections exist between stock returns and exchange rates ... -
Banking sector concentration, competition and financial stability: the case of the Baltic countries
Cuestas, Juan Carlos; Lucotte, Yannick; Reigl, Nicolas Taylor & Francis (2019)This paper empirically assesses the potential nonlinear relationship between competition and bank risk for a sample of commercial banks in the Baltic countries over the period 2000–2014. Competition is measured by two ... -
Changes in sovereign debt dynamics in Central and Eastern Europe
Cuestas, Juan Carlos Wiley (2019-05)The aim of this paper is to shed some light on the degree of sustainability of fiscal debt for a group of Central and Eastern European countries. We apply a battery of time series econometrics methods to show how the ... -
Clusters in foreign-born vs. native self-employment in Europe: do we look alike?
Cuadros, Ana; Cuestas, Juan Carlos; Mourelle, Estefanía Taylor and Francis (2022)In this paper, we analyse the existence of clusters in self-employment rates, segregating by place of birth, i.e. native vs foreign-born, in a group of 17 European countries. The analysis suggests that natives behave ... -
Co-movement between residential and commercial housing prices: evidence from a new database
Cuestas, Juan Carlos; Monfort Bellido, Mercedes Taylor & Francis (2020)The aim of this paper is to shed some light on the issue of the co-movement between residential real estate and commercial real estate using a newly developed database by the Bank if International Settlements. Our results ... -
Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies
Cuestas, Juan Carlos; Gil-Alana, Luis; Malmierca, María Emerald (2022-03-29)Purpose In particular, in this article, the authors investigate the degree of persistence in the credit-to-gross domestic product (GDP) ratio in 44 Organisation for Economic Co-operation and Development (OECD) economies ... -
Current account sustainability in Central and Eastern Europe: structural change and crisis
Cuestas, Juan Carlos; Monfort Bellido, Mercedes Springer (2020-02-13)In this paper we analyse the evolution of the current account as a percentage of GDP for a group of Central and Eastern European Countries. Instead of analysing only the variable for unit roots, we go a step further and ... -
Does internationalisation increase exchange rate exposure?- Evidence from Chinese financial firms
Cuestas, Juan Carlos; Huang, Ying Sophie; Tang, Bo Elsevier (2018-03)This study investigates both the symmetric and asymmetric exchange rate exposures of Chinese financial firms in the context of an accelerated pace of RMB internationalisation. We find that an increasing number of Chinese ... -
Fiscal consumption and private consumption in Europe: what have we learned?
Cuestas, Juan Carlos; Monfort Bellido, Mercedes Taylor and Francis (2022)In this paper we contribute to the long literature on how fiscal policy affects the real economy. In particular, we focus on how government consumption affects private consumption for a pool of European economies. We ... -
Gas price shocks, the current account, and the real exchange rate: An empirical analysis for the EU
Cuestas, Juan Carlos; Monfort Bellido, Mercedes; Ordonez, Javier Elsevier (2024)The aim of this paper is to analyse how gas price shocks affect the real exchange rate (RER) and the current account (CA) for a panel of countries from the EU28. We estimate VAR models and account for the possibility of ... -
Has the current account broken up with its fundamentals in Central and Eastern Europe?
COLEMAN, SIMEON; Cuestas, Juan Carlos John Wiley and Sons (2021-01-26)Substantial capital outflows across Europe following the 2007/8 Global Financial Crisis and 201 European Sovereign Debt crisis raise concerns regarding potential capital outflows from the economies of Central and Eastern ... -
Has the relationship between the real exchange rate and its fundamentals changed over time?
Cuestas, Juan Carlos; Monfort Bellido, Mercedes; Shimbov, Bojan Taylor and Francis (2022-07-11)In this paper we contribute to the literature on determining the real exchange rate by using models that incorporate structural breaks and nonlinearities. We estimate cointegrated dynamic ordinary least squares regressions ... -
Have real exchange rates and competitiveness in Central and Eastern Europe fundamentally changed?
Cuestas, Juan Carlos; Monfort Bellido, Mercedes; Ordoñez Monfort, Javier Elsevier (2024-01-01)In this paper we analyse the evolution of the RER and its main fundamentals for a group of Central and Eastern European countries. We focus particularly on the possibility of structural breaks in the relationship. We find ... -
Inflation targeting or exchange rate targeting: Which framework supports the goal of price stability in emerging market economies?
Abu Asab, Nora; Cuestas, Juan Carlos; Montagnoli, Alberto Public Library of Science (2018)The paper investigates and compares the relationship between inflation and inflation uncertainty under inflation targeting and, alternatively, a conventional fixed exchange rate system, for a group of emerging countries. ... -
Investment dynamics in central and eastern Europe: a nonlinear approach
Mourelle, Estefanía; Cuestas, Juan Carlos Informa UK Limited (Taylor & Francis Group) (2023-05-10)The aim of this article is to understand the dynamics of investment in Central and Eastern European Countries (CEECs). The role that investment plays in the economic development is of particular interest in these countries, ... -
Measuring the Cost of Covid-19 in Terms of the Rise in the Unemployment Rate: The Case of Spain
Cuestas, Juan Carlos; Ordóñez, Javier; Monfort Bellido, Mercedes Universitaet Kiel. Institut fuer Weltwirtschaft (2021)In this article, we aim to estimate what the cost of Covid-19 has been in terms of unemployment for Spain. We use a simple autoregressive model to simulate what the unemployment rate would have been without the pandemic ... -
Misalignments in house prices and economic growth in Europe
Cuestas, Juan Carlos; Kukk, Merike; Levenko, Natalia Taylor and Francis (2023)In this paper we investigate house price misalignments and how they affect the real economy. We estimate the long-term relationship between house prices and the fundamentals that determine long-term house prices for a panel ... -
Nonlinear trend stationarity of the Real Exchange Rates of Mediterranean countries
Camarero, Mariam; Cuestas, Juan Carlos; Ordóñez, Javier Inderscience (2008)The aim of this article is to provide additional evidence on the fulfillment of the Purchasing Power Parity hypothesis in the so-called Mediterranean countries. In order to test for the empirical validity of such ... -
Oil price shocks and unemployment in Central and Eastern Europe
Cuestas, Juan Carlos; Gil-Alana, Luis A. Elsevier (2018-03)The aim of this paper is to examine the effect of oil price movements on unemployment in Central and Eastern Europe. We do this by disentangling oil prices movements by their sign and from there we analyse the separate ... -
Oil prices and unemployment in the UK before and after the crisis: A Bayesian VAR approach. A note.
Cuestas, Juan Carlos; Ordóñez, Javier Elsevier (2018)The aim of this paper is to analyse the role of oil price movements in the evolution of unemployment in the UK, accounting for asymmetric effects. Distinguishing between positive and negative innovations in oil prices ...