Journals
Magazine:
MACROECONOMIC DYNAMICS
ISSN:
1365-1005
Year:
2022
Vol:
26
N°:
3
Pp:
545 - 578
We introduce business-to-business (B2B) relationships into an otherwise standard model to revisit two aspects of price dynamics in a unified analysis. On one side, the pass-through of cost shocks to prices is empirically incomplete. On the other side, the literature contains conjectures that long-term relationships may reduce the allocative role of price changes. After a partial equilibrium analysis of these aspects, we consider the general equilibrium effects. The formation of B2B relationships implies that the trade of intermediate goods depends on search, bargaining, and the adjustment along the intensive margin as opposed to the extensive margin. We find that, when this adjustment is costly, retailers have a relatively high bargaining power, and mismatch shocks are possible, the model can account for the second moments of the US producer price index and other variables. In this case, although its allocative role is low, the intermediate goods price affects the allocation of goods through the search externalities and is sufficiently volatile. The analysis includes several sensitivity tests and comparisons.
Magazine:
INTERNATIONAL JOURNAL OF FINANCE AND ECONOMICS
ISSN:
1076-9307
Year:
2022
Vol:
27
N°:
1
Pp:
439 - 454
This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration techniques, that are more general than those based on the classical I(0) vs. I(1) dichotomy. Further, we carry out break tests to detect any shifts in the degree of persistence, and also run rolling-window and recursive regressions to investigate its evolution over time. On the whole, the evidence suggests that the degree of persistence of UK inflation has been relatively stable following the Bretton Woods period, despite the adoption of different monetary regimes. The estimation of an unobserved¿components stochastic volatility model sheds further light on the issues of interest by showing that post¿Bretton Woods changes in UK inflation are attributable to a fall in the volatility of permanent shocks. The same type of analysis carried out for US inflation, for comparison purposes, leads to broadly similar conclusions.
Magazine:
ECONOMIC MODELLING
ISSN:
0264-9993
Year:
2021
Vol:
101
N°:
105551
We analyze a monetary economy where firms trading intermediate inputs engage in long-term business-to-business (B2B) relationships. We focus on features such as search for business partners, price negotiation and productivity levels that can make it convenient to separate a relationship. These features are introduced into an otherwise standard New Keynesian (NK) model for policy analysis, where the central bank adopts a Taylor rule. As a result of these features of the B2B relationships, final price and intermediate price inflation are generally not aligned, which is realistic but overlooked by the standard NK model. Consequently, we can investigate the extent to which the allocative role of the intermediate price contributes to the transmission of monetary policy shocks. We find that an allocative role arises from the endogenous separations of the relationships. However, this role is smaller than that in the standard NK model, leading to a comparable but micro-founded alternative explanation of the U.S. business cycle moments.
Authors:
Martinez Compains, J. (Corresponding author); Rodriguez, Ignacio; Gencay, R.; et al.
Magazine:
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
ISSN:
1081-1826
Year:
2021
Vol:
25
N°:
5
Pp:
255 - 265
Johansen's Cointegration Test (JCT) performs remarkably well in finding stable bivariate cointegration relationships. Nonetheless, the JCT is not necessarily designed to detect such relationships in presence of non-linear patterns such as structural breaks or cycles that fall in the low frequency portion of the spectrum. Seasonal adjustment procedures might not detect such non-linear patterns, and thus, we expose the difficulty in identifying cointegrating relationships under the traditional use of JCT. Within several Monte Carlo experiments, we show that wavelets can empower more the JCT framework than the traditional seasonal adjustment methodologies, allowing for identification of hidden cointegrating relationships. Moreover, we confirm these results using seasonally adjusted time series as US consumption and income, gross national product (GNP) and money supply M1 and GNP and M2.
Magazine:
JOURNAL OF ECONOMICS AND FINANCE
ISSN:
1938-9744
Year:
2020
Vol:
44
N°:
4
Pp:
708 - 723
Magazine:
INTERNATIONAL ECONOMICS
ISSN:
2110-7017
Year:
2019
Vol:
158
Pgs:
64 - 76
Since recent literature has quantified the persistence of changes in the real exchange rate (RER) using trade-weighted data, in this paper we ask whether the trade-weighted RER is mean reverting. We focus on post-Bretton Woods data for the G7 countries and, after reviewing the strong correlation between the RER and the nominal exchange rate over that period, we follow a fractional integration approach. We consider different assumptions for the residuals and allow for breaks at unknown dates. We conclude that the nonstationary behaviour of the RER is mean reverting (i.e., it is integrated of order ) for about half of the G7 countries and that allowing for structural breaks affects the test results obtained in absence of breaks but do not invalidate them.
Magazine:
INTERNATIONAL REVIEW OF FINANCE
ISSN:
1369-412X
Year:
2019
Vol:
19
N°:
1
Pp:
237 - 244
We assess the persistence of the credit¿to¿GDP ratio over more than 130¿years of data for 11 advanced economies, employing an approach based on fractional integration and allowing for nonlinearities. We show how the time series properties of the data changed around World War II (WWII). Moreover, our findings are consistent with the idea that the supply of mortgage loans has been particularly strong since WWII, in the sense that the degree of integration of the leverage ratio obtained with only these loans is larger than that of the ratio obtained with the total loans for almost all the countries studied. Nevertheless, it is generally the case that both types of ratios show a higher degree of integration after WWII than before it, though often insignificantly, and that their time trends are significant only after WWII.
Magazine:
ECONOMICS LETTERS
ISSN:
0165-1765
Year:
2019
Vol:
181
Pgs:
182 - 185
In this paper, we examine the cyclical structure of the UK inflation rate using historical data dating back to 1210. Based on a methodology that allows for fractional orders of integration at a non-zero frequency and stochastic cycles, the results indicate the presence of cycles that repeat themselves approximately every 4 years and that the order of integration is constrained between 0.10 and 0.20, implying long memory. Moreover, this pattern seems to be stable over time. (C) 2019 Elsevier B.V. All rights reserved.
Magazine:
ENVIRONMENTAL AND RESOURCE ECONOMICS
ISSN:
0924-6460
Year:
2019
Vol:
73
N°:
1
Pp:
213 - 228
We analyze the evolution across time of CO2 emissions in the European Union (EU) using advanced econometric techniques in time series analysis. We estimate the time trends along with the orders of integration of series corresponding to global CO2 emissions in EU member states using both parametric and semiparametric methods. The results show that there is a significantly negative trend only in the case of the UK, this being also a country where the trend shows mean reversion. At the other extreme, Spain, Italy, Greece and Bulgaria are some of the countries where CO2 emissions show positive trends and orders of integration that are substantially above unity. Moreover, we examine the CO2 emissions of the EU as a whole, China and the US, finding some support for mean reversion only in the second case. Therefore, there is less urgent need for policy reforms in the U.K. and somehow China than in the rest of the EU or the US.
Magazine:
INTERNATIONAL JOURNAL OF FINANCIAL STUDIES
ISSN:
2227-7072
Year:
2018
Vol:
6
N°:
1
Pp:
21 - 29
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound's implied volatilities (IVs) vis-a-vis the main currencies traded in the FOREX (foreign exchange market), namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the European Union (EU) to achieve an appropriate Brexit deal.
Magazine:
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
ISSN:
0261-5606
Year:
2015
Vol:
50
Pgs:
49 - 77
This paper studies the international transmission of pledgeability shocks, as the recent crisis involved a negative shock to the pledgeability of assets. The paper develops a two-country portfolio model, with leveraged investors, that incorporates this type of shock and a solution approach for the corresponding portfolio choice problem. This approach captures the effect of pledgeability on asset risk premiums. The paper finds that the equilibrium portfolios play a heightened role as transmission channels. Moreover, by complementing the effect of productivity shocks under borrowing constraints, the pledgeability shocks improve the fit of an otherwise standard international macroeconomic model for the G7 countries, especially during crises.
National and Regional
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:
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
