Search results for "Econometrics"
showing 10 items of 3730 documents
EMU and trade: A PPML re‐assessment with intra‐national trade flows
2020
This paper examines the EMU effect on trade for the eleven early joiners and Greece relying for the first time on data that include both international and intra‐national trade flows, in line with all the microfoundations of the structural gravity model of trade. We find that the overall EMU impact on trade is positive between its members and, specially, for trade between members and non‐members. Interestingly, we further show that the effect of the EMU on bilateral trade remarkably differs across countries. For Ireland, Belgium–Luxembourg, Spain, Portugal and Austria, we find robust evidence that EMU has boosted trade both with other members and with third countries, while for Finland, Fran…
Revisiting the Profitability of Market Timing with Moving Averages
2017
In a recent empirical study by Glabadanidis (“Market Timing with Moving Averages” (2015), International Review of Finance 15(13):387–425), the author reports striking evidence of extraordinarily good performance of the moving average trading strategy. In this paper, we demonstrate that this “too good to be true” reported performance of the moving average strategy is due to simulating trading with look-ahead bias. We perform simulations without look-ahead bias and report the true performance of the moving average strategy. We find that, at best, the performance of the moving average strategy is only marginally better than that of the corresponding buy-and-hold strategy. In statistical terms,…
Uncertainty and cross-border banking flows
2019
Abstract While global uncertainty—measured by the VIX—has proven to be a robust global “push” factor of international capital flows, there has been no systematic study assessing the role of uncertainty in driving bilateral capital flows. This paper examines the effects of higher country-specific uncertainty on cross-border banking flows using data from the Bank for International Settlements Locational Banking Statistics. The bilateral structure of this data allows disentangling supply factors from demand factors, thereby helping identify the effect of higher uncertainty on cross-border banking flows from other confounding factors. The results of this analysis suggest that: (i) uncertainty i…
Bank competition and multimarket contact intensity
2021
Abstract This paper analyzes the effect of multimarket contact on bank competition. We propose a completely new multimarket contact indicator that not only considers the existence of contacts between banks, but also their intensity, by analyzing the strength–weakness position of banks in terms of branch numbers in comparison to their rivals in the markets where they coincide. We test the new indicator empirically in the context of the Spanish banking sector. The main results suggest a negative relationship between market power and the number of multimarket contacts, rejecting the hypothesis of tacit collusion in the Spanish banking sector. However, the result changes completely when we cons…
The adjustment of bank ratings in the financial crisis: International evidence
2018
Abstract This paper analyses the adjustment of bank ratings which occurred in the United States, some European countries and Japan as a result of the financial crisis. We use a methodology which allows us to decompose the observed change in the rating into an effect associated with the change in agency rating policies (understood in a broad sense) and into another effect associated with the situation of bank assets. The results obtained show that with the crisis there was a generalised fall in the ratings, caused by both a worsening of the bank asset situation and the hardening of rating policies. Specifically, we find that 39.95% and 19.25% of the fall in ratings in the United States and E…
Migration and fdi: the role of job skills
2018
Abstract Using a multi-country gravity framework, this paper models and quantifies the relevance of migrants' job position in fostering Foreign Direct Investment (FDI). High-skilled migrants are defined as those individuals born in the investors' home/host country occupying managerial or professional positions in the host/home country of investment. Our estimates show that higher shares of migrants with management skills in a given country promote FDI into that country. In contrast, an increase in the share of migrants in non-qualified positions (regardless of their educational attainment) has a negative impact on FDI decisions. These findings highlight that the FDI-enhancing effect of migr…
The real exchange rate in the long run: Balassa-Samuelson effects reconsidered
2017
Historical data for over hundred years and 14 countries is used to estimate the long-run effect of productivity on the real exchange rate. We find large variations in the productivity effect across four distinct monetary regimes in the sample period. Although the traditional Balassa-Samuelson model is not consistent with these results, we suggest an explanation of the results in terms of contemporary variants of the model that incorporate the terms of trade mechanism. Specifically we argue that changes in trade costs over time may affect the impact of productivity on the real exchange rate over time. We undertake simulations of the modern versions of the Balassa-Samuelson model to show that…
New exporters benefit more from information spillovers
2019
Using the universe of Spanish export transactions over 2000–2012, this paper explores empirically whether the choice of destinations among experienced and new exporters is affected by the number an...
Export markets: substitutes, complements, or independent?
2020
Using a large sample of export transactions in Spain over the period 2010–2017, we explore whether firms treat export markets as substitutes, complements, or independent. We find that an exogenous ...
Potential spillovers from the banking sector to sovereign credit ratings
2020
The global financial crisis and European sovereign debt crisis underlined the links between the banking sector and sovereign risk. This paper uses a machine learning technique (random forest regres...