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Market power, technical progress and financial fragility
(Elsevier, 2024)
We explore the nexus of market power, innovation and financial fragility by means of a macroeconomic agent based model whose core is the Dixit-Greenwald-Stiglitz (DGS) theory of firm behaviour, which nests the Greenwald-Stiglitz ...
Banking sector concentration, credit shocks and aggregate fluctuations
(Elsevier, 2022-07-14)
This paper studies whether the raise in concentration experienced by the Spanish banking sector has lead to the increase of bank-specific credit shocks contribution to aggregate credit. We decompose aggregate credit ...
Which cryptocurrency data sources should scholars use?
(Elsevier, 2022-02-16)
Inspired by Alexander and Dakos (2020), we shed more light on the adequacy of data in the cryptocurrency literature by analysing the scaling properties and underlying processes of the main cryptocurrency databases ...
The Euribor rate: a forecasting exercise based on fractional integration
(Taylor and Francis Group, 2023)
In this paper we analyse the evolution of the 12-month EURIBOR, with the aim of forecasting its trend in the forthcoming years. Using fractional integration, we find that the Euribor will return to a downward trend towards ...
Goals and guesses as reference points: a field experiment on student performance
(Springer, 2022-06)
In this paper, we study overconfidence and goal-setting in academic performance, with and without monetary incentives. Students enrolled in a microeconomics course were offered the possibility of setting their own target ...
Inequality and conflict as drivers of cooperation: the location of wine cooperatives in pre-1936 Spain
(Springer, 2020)
As it is usually believed that cooperatives made a great contribution to the modernisation of agriculture and when they began to spread agriculture still had a great weight in European economies, it is of interest to know ...
The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications
(2020-12-05)
In this paper, we propose two new representation formulas for the conditional marginal probability den- sity of the multi-factor Heston model. The two formulas express the marginal density as a convolution with suitable ...
Business fluctuations in a behavioral switching model: Gridlock effects and credit crunch phenomena in financial networks
(Elsevier, 2020-02-29)
In this paper we characterize the evolution over time of a credit network in the most general terms as a system of interacting banks and firms operating in a three-sector economy with goods, credit and interbank market. ...
Network calibration and metamodeling of a financial accelerator agent based model
(Springer, 2020-03-13)
We introduce a simple financially constrained production framework in which heterogeneous firms and banks maintain multiple credit connections. The parameters of credit market interaction are estimated from real data in ...
When complexity meets finance: A contribution to the study of the macroeconomic effects of complex financial systems
(Elsevier, 2020)
In the last decade, complexity economics has emerged as a powerful approach to the understanding of
the most relevant factors influencing economic development. The concept of economic complexity has
been applied to t ...