Search results for "ACCOUNTING"

- EL EFECTO FISHER Y LA PARIDAD DE INTERÉS REAL. EVIDENCIA PARA LA ECONOMÍA ESPAÑOLA

1999

This paper provides an empirical test of the Fisher effect and of the real interest parity. The objetive is to determinate the behavior of the ex-ante real interest that condicionate the intertemporal savings and investment decisions. The method used is the time series properties of the data, which allows to separate estimation of the long-run equilibrium relationship from the nuisance parameters that characterize the short-run dynamics. The results find support inthe long run for a tax-adjusted Fisher hypothesis but not for the real interest parity. En este trabajo se contrasta empíricamente el cumplimiento de la hipótesis de Fisher y de la paridad de interés real para el caso español. El …

International evidence on alternative models of the term structure of volatilities

2009

The term structure of instantaneous volatilities (TSV) of forward rates for different monetary areas (euro, U.S. dollar and British pound) is examined using daily data from at-the-money cap markets. During the sample period (two and a half years), the TSV experienced severe changes both in level and shape. Two new functional forms of the instantaneous volatility of forward rates are proposed and tested within the LIBOR Market Model framework. Two other alternatives are calibrated and used as benchmarks to test the accuracy of the new models. The two new models provide more flexibility to adequately calibrate the observed cap prices, although this improved accuracy in replicating cap prices …

Previous experience, experimentation and export survival : Evidence from firm-product-destination level data

2021

This paper explores the role of a firm's product and/or market export experience and experimentation for survival of new product-destination export spells, using firm-level Spanish customs data over the period 1997-2015. Previous research has documented a positive impact of experience on export survival. This paper contributes to the extant literature by unravelling the distinct effect on export survival of ongoing accumulated experience (i.e., from the start of a product-destination export spell), previous product and/or destination-market experience and experimentation (repetition of product-destination relationships). We find that 60% of new product-country export spells end during their…

Die Kontrolle der Geschäftsleiter von Versicherungsunternehmen

2006

Das Versicherungsaufsichtsrecht fordert, dass Geschaftsleiter von Versicherungsunternehmen, von Versicherungsholding-Gesellschaften, gemischten Finanzholding-Gesellschaften, Pensionsfonds, Pensionskassen und Schadenabwicklungsunternehmen zuverlassig und fachlich geeignet sind. Der Beitrag untersucht, wie diese Anforderungen zu bestimmen und in der Praxis anzuwenden sind.

Several risk measures in portfolio selection: Is it worthwhile?

2010

Este articulo aborda el problema de seleccion de carteras empleando tres medidas de riesgo ampliamente utilizadas: varianza o desviacion tipica, Valor en Riesgo (VaR) y Valor en Riesgo Condicional (CVaR). Nuestro principal objetivo es evaluar la relevancia de incluir simultaneamente varias medidas del riesgo, dada la complejidad computacional que supone. La principal contribucion de este articulo es la propuesta de solucion de dos modelos que consideran simultaneamente dos medidas del riesgo muy utilizadas: el modelo de media-varianza-VaR y el modelo media-VaR-CVaR. La inclusion del VaR como uno de los objetivos a minimizar convierte el problema de optimizacion en no convexo, por lo que el …

Households' Balance Sheets and the Effect of Fiscal Policy

2022

Using households' balance-sheet composition in the Panel Survey of Income Dynamics, we identify six household types. Since 1999, there has been a decline in the share of patient households and an increase in the share of impatient households with negative wealth. Using a six-agent New Keynesian model with search and matching frictions, we explore how changes in households' shares affect the transmission of government spending shocks. We show that the relative share of households in the left tail of the wealth distribution plays a key role in the aggregate marginal propensity to consume, the magnitude of fiscal multipliers, and the distributional consequences of government spending shocks. W…

Pricing the Option to Surrender in Incomplete Markets

2010

New international accounting standards require insurers to reflect the value of embedded options and guarantees in their products. Pricing techniques based on the Black and Scholes paradigm are often used; however, the hypotheses underneath this model are rarely met. We propose a framework that encompasses the most known sources of incompleteness. We show that the surrender option, joined with a wide range of claims embedded in insurance contracts, can be priced through our tool, and deliver hedging portfolios to mitigate the risk arising from their positions. We provide extensive empirical analysis to highlight the effect of incompleteness on the fair value of the option.

Rolling over stock index futures contracts

2009

Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes. In this study, we analyze the relevance of the choice of the rollover date, defined as the point in time when we switch from the front contract series to the next one. We have used five different methodologies in order to construct five different return series of stock index futures contracts. The results show that, regardless of the criterion applied, there are not significant differences between the resultant series. Therefore, the least complex method can be used in order to reach the same conclusions. © 2009 Wiley Periodicals, I…

Peter Zweifel's Bonus Options in Health Insurance

1993

IFRS adoption and audit and non-audit fees: empirical evidence from Spanish listed companies

2015

We analyse trends in inflation-adjusted audit and non-audit fees from 2003 to 2009 with the aim of identifying the impact of International Financial Reporting Standards (IFRS) in Spain, where (a) the shift from national to international accounting standards represented major changes and (b) the implementation process was conducted in 2005 for group accounts of listed companies and 2008 for the individual accounts. To that end, we build a well-tested audit and non-audit fee model based on 2003 and compare the actual with the predicted values had the accounting reforms not taken place. We report unexpected higher audit fees for the group accounts model in the years 2004, 2005 and 2006. A plau…