Journals
Magazine:
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
ISSN:
0261-5606
Year:
2023
Vol:
130
Ppgs:
102747
We study the role of government debt maturity in currency unions to identify whether debt management can help governments to hedge their budgets against spending shocks. We first use a detailed dataset of debt portfolios of five Euro Area countries to run a battery of VARs, estimating the responses of holding period returns to fiscal shocks. We find that government portfolios, which in our sample comprise mainly of nominal assets, have not been effective in absorbing idiosyncratic fiscal risks, whereas they have been very effective in absorbing aggregate risks. We then setup a formal model of optimal debt management with two countries, distortionary taxes and aggregate and idiosyncratic shocks. The theo-retical model concludes that nominal bonds are not optimal to insure against idiosyncratic fiscal shocks in a currency area. In contrast, we find that long term inflation indexed debt allows governments to take full advantage of fiscal hedging.
Magazine:
REVISTA ESPAÑOLA DE COMUNICACION EN SALUD
ISSN:
1989-9882
Year:
2022
Vol:
13
N°:
1
Pp:
78 - 86
Introduction: MoMo monitors and reports mortality in Spain on a daily basis, but delayed reporting of deaths biases its estimates at leave . goal This study evaluated five methods that correct for the effect of delayed reporting on MoMo's estimates of excess mortality during the second wave of the COVID-19 epidemic. Methodology: 1) cumulative excess deaths in Spain reported daily by MoMo between 01/09/2020-25/12/2020 were obtained. 2) the effect of the delay in notification was corrected in these figures by applying five models. 3) these corrections were evaluated using the mean absolute error (MAE) and the root mean square error (RMSE). Results: The delay in reporting meant that the MoMo estimates for cumulative excess mortality during the second wave were, from average, 87% of their final values. Quadratic and cubic corrections brought them closer to 98%, from average. Quadratic regressions reduced the RMSE and MAE of the MoMo estimates by 6 and 13%, respectively. Conclusion: to improve daily MoMo estimates of excess mortality, it seems advisable to use quadratic regressions to correct for the effects of delayed death reporting.
Magazine:
FRONTIERS IN PUBLIC HEALTH
ISSN:
2296-2565
Year:
2022
Vol:
10
Pgs:
950469
ObjectivesDuring the COVID-19 pandemic, surveillance systems worldwide underestimated mortality in real time due to longer death reporting lags. In Spain, the mortality monitor "MoMo" published downward biased excess mortality estimates daily. I study the correction of such bias using polynomial regressions in data from January to March 2021 for Spain and the Comunitat Valenciana, the region with the highest excess mortality. MethodsThis adjustment for real-time statistics consisted of (1) estimating forthcoming revisions with polynomial regressions of past revisions, and (2) multiplying the daily-published excess mortality by these estimated revisions. The accuracy of the corrected estimates compared to the original was measured by contrasting their mean absolute errors (MAE) and root mean square errors (RMSE). ResultsApplying quadratic and cubic regressions improved the first communication of cumulative mortality in Spain by 2-3%, on average, and the flow in registered deaths by 20%. However, for the Comunitat Valenciana, those corrections improved the first publications of the cumulative mortality by 36-45%, on average; their second publication, by 23-30%; and the third, by 15-21%. The flow of deaths registered each day improved by 62-63% on their first publication, by 19-36% on the second, and by 12-17% on the third. ConclusionIt is recommended that MoMo's estimates for excess mortality be corrected from the effect of death reporting lags by using polynomial regressions. This holds for the flows in each date and their cumulative sum, as well as national and regional data. These adjustments can be applied by surveillance systems in other countries.
Magazine:
REVISTA ESPAÑOLA DE SALUD PUBLICA
ISSN:
1135-5727
Year:
2021
Vol:
95
Ppgs:
e202104048
Background: MoMo is a mortality monitoring system that guides public health policy in Spain. The COVID-19 pandemic worsened death notification delays, thus biasing downwards the daily (cumulative) excess mortality estimates produced by MoMo. The goal of this study is to find the best model to correct these estimates for the effect of death notification delays.
Methods: The process followed was: 1) estimates for the excess mortality accumulated in Spain since the beginning of the COVID-19 pandemic are published daily by MoMo and gathered in this study for the period 15/04/2020-25/05/2020. 2) the intensity of daily revisions is computed as the ratio of the estimate published each day divided by the estimate published the day before. 3) Adjusted excess mortality estimates result from applying to these ratios five different correcting models (a simple arithmetic mean or a weighted average, as well as linear, quadratic and cubic regressions). 4) The performance of these corrected estimates is compared with the definite values using the root mean square error (RMSE).
Results: The intensity of daily revisions for the cumulative excess of deaths fell to 1 (no revision) as the publication date left behind the date of death. The correcting estimates based on polynomial regressions reduced the error with respect to the definite observed values by 18-25%.
Conclusions: To improve the validity of the daily estimates for the cumulative excess of deaths from MoMo, it is recommended to correct the notification delay of deaths using polynomial regression models estimated with data on previous revisions.
Magazine:
ENERGY ECONOMICS
ISSN:
0140-9883
Year:
2020
Vol:
92
Ppgs:
104951
In this paper we investigate the impact of changes in proved reserves on U.S. stock returns using firm level data of the largest U.S. oil and gas companies. The selected sample covers the period 2009 to 2018 incorporating the recent episode of the shale oil and gas revolution. In contrast to previous studies, our results show that changes in proved oil and gas reserves have no significant effect on stock returns. We also give evidence of the impact of reserves on financial returns being dependent on the level of oil prices. Since oil prices fell abruptly after 2014, we show a significantly lower effect of oil reserves in stock returns in this subperiod and, thus, partly explain the overall insignificant effect. (C) 2020 Elsevier B.V. All rights reserved.
Magazine:
MACROECONOMIC DYNAMICS
ISSN:
1365-1005
Year:
2020
Vol:
24
N°:
2
Pp:
447 - 477
This paper shows empirical evidence and theory consistent with the US government using debt optimally to adjust the federal budget to news about long-term growth. First, using historical forecasts from the Congressional Budget Office (CBO) since 1984, I find that government purchases and deficits are positively correlated with expectations about long-term productivity, real gross domestic product, and tax revenue growth, whereas tax receipts are negatively correlated. A structural vector autoregression estimated with US quarterly data in 1955¿2015 identifies permanent and transitory productivity shocks and points to ¿trend¿ shocks as the source of these correlations. Second, I present an open economy real business-cycle model with stochastic productivity trend and optimal public purchases and taxes. Calibrating the model to the US economy, the Ramsey planners' allocation yields moments aligned with those observed in the data.
Magazine:
JOURNAL OF ECONOMICS AND FINANCE
ISSN:
1938-9744
Year:
2020
Vol:
44
N°:
4
Pp:
708 - 723
Magazine:
APPLIED ECONOMICS LETTERS
ISSN:
1350-4851
Year:
2019
Vol:
26
N°:
11
Pgs:
919 - 926
In this paper, we investigate the impact of oil prices on both aggregate and industry US real stock returns over the period 1973¿2017. The empirical analysis contributes to the related literature by introducing a state-dependent oil price (high and low) and the local projections approach. Our main finding is that, depending on the nature of the shock and industry, the negative effects of oil price shocks become exacerbated -and the positive effects get moderated- if oil prices are already high.
Magazine:
JOURNAL OF MACROECONOMICS
ISSN:
0164-0704
Year:
2016
Vol:
49
N°:
1
Pp:
292 - 311
This paper studies the impact of debt maturity on the dynamics of sovereign debt of Euro Area (EA) countries. Due to lack of data, this key issue had not been studied before. Thus, my first contribution is to build a new comprehensive database of sovereign debt stocks and yields, at all different maturities, for six EA countries in 1991¿2013: Belgium, Finland, France, Germany, Italy and Spain. In general, since 1991, interests rates in the EA have fallen while Treasuries in the region extended debt maturity; thus, an increasing number of long-term bondholders experienced large capital gains. I show with counterfactual simulations the effect of a different maturity structure on the evolution of debt. My analysis suggests that extending debt maturity in 2013¿2015 would result in lower debt ratios by 2022. I also estimate the impact on EA debt-to-GDP ratios induced by changes in current and future inflation. My estimates indicate that higher (lower) inflation in EA countries would lower (raise) their fiscal burden much more than in the US.
National and Regional
degree scroll:
COMMODITY PRICE VOLATILITY AND RETURNS: DETERMINANTS, CONNECTIVITY AND MACRO-FINANCIAL IMPLICATIONS.
MACRO-FINANCIAL IMPLICATIONS
Code from transcript:
PID2020-114275GB-I00
researcher principal:
Maria Juncal Cuñado Eizaguirre, Fernando Perez de Gracia Hidalgo
Funder:
STATE RESEARCH AGENCY
Call for proposals:
2020 AEI PROJECTS research and development+i (includes Generation of knowledge and Challenges research)
Start date:
01/09/2021
End date:
31/08/2024
Amount granted:
60.258,00€
Other funds:
-
degree scroll:
Financial Shocks, Rate Curve Dynamics and Convergence in the European Monetary Union.
Code from transcript:
PGC2018-098139-B-I00
researcher principal:
Antonio Moreno Ibáñez, Mirko Abbritti
Funder:
MINISTRY OF SCIENCE AND INNOVATION
Call for proposals:
2018 AEI - MCIU - Projects for the Generation of the knowledge
Start date:
01/01/2019
End date:
30/09/2022
Amount granted:
42.595,00€
Other funds:
ERDF funds
degree scroll:
Oil and commodity prices, economic uncertainty and their interaction with economic and financial variables. Policy implications
Code from transcript:
ECO2017-83183-P
Funder:
MINISTRY OF SCIENCE AND INNOVATION
Call for proposals:
2017 MINECO RESEARCH CHALLENGES. PROJECTS OF research and development+i
Start date:
01/01/2018
End date:
30/09/2021
Amount awarded:
29.040,00€
Other funds:
ERDF funds
degree scroll:
Exit to the crisis: credit frictions, quantitative easing and yield curve dynamics.
Code from transcript:
ECO2015-68815-P
Funder:
MINISTRY OF SCIENCE AND INNOVATION
Call for proposals:
2015 MINECO EXCELLENCE. PROJECTS research and development
Start date:
01/01/2016
End date:
30/06/2019
Amount granted:
20.207,00€
Other funds:
ERDF funds
