Simon Sosvilla-Rivero

UCM Institute for Economic Analysis

Professor

Carretera de Humera s/n

Madrid, Madrid 28223

Spain

http://www.ucm.es/info/ecocuan/ssr/

SCHOLARLY PAPERS

96

DOWNLOADS
Rank 2,903

SSRN RANKINGS

Top 2,903

in Total Papers Downloads

17,533

SSRN CITATIONS
Rank 12,945

SSRN RANKINGS

Top 12,945

in Total Papers Citations

49

CROSSREF CITATIONS

42

Ideas:
“  I am currently working on the impact of public debt variations on economic growth  ”

Scholarly Papers (96)

1.

European Union Enlargement. Effects on the Spanish Economy

"la Caixa" Economic Studies Series No. 27
Number of pages: 154 Posted: 28 Oct 2002
Universidad Complutense de Madrid (UCM) - European Economy Group (EEG), Grupo AFI, UCM Institute for Economic Analysis and Universidad Complutense de Madrid - GRIPICO
Downloads 1,592 (15,999)
Citation 1

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European Economic Integration, Spain, Econometric Simulations

2.

Technical Analysis in Foreign Exchange Markets: Linear Versus Nonlinear Trading Rules

FEDEA Int. Economics & Finance DEFI Working Paper No. 00-02
Number of pages: 21 Posted: 27 Jul 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 1,327 (21,028)

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Nearest-neighbour prediction methods, Technical trading rules, Exchange rates

3.

Technical Analysis in the Madrid Stock Exchange

FEDEA Working Paper No. 99-05
Number of pages: 29 Posted: 25 Jul 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 1,069 (28,853)
Citation 1

Abstract:

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Stock market, Technical trading rules

4.

Using Machine Learning Algorithms to Find Patterns in Stock Prices

FEDEA Working Paper No. 2006-12
Number of pages: 20 Posted: 27 Mar 2006
Pedro N. Rodriguez and Simon Sosvilla-Rivero
Complutense University of Madrid - Facultad de Ciencias Económicas y Empresariales - Departamento de Estadística e Investigación Operativa II and UCM Institute for Economic Analysis
Downloads 1,030 (30,460)
Citation 1

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Direction-of-change predictability, Machine learning algorithms, Adaboost

5.

Optimisation of Technical Rules by Genetic Algorithms: Evidence from the Madrid Stock Market

FEDEA Working Paper No. 2001-14
Number of pages: 10 Posted: 14 Sep 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Universidad de Las Palmas de Gran Canaria.-Dept. Métodos Cuantitativos en Economía y Gestión and UCM Institute for Economic Analysis
Downloads 852 (39,800)
Citation 4

Abstract:

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Technical trading rules, Genetic algorithms, Security markets

6.

Non-Linear Forecasting Methods: Some Applications to the Analysis of Financial Series

FEDEA Working Paper No. 2002-01
Number of pages: 24 Posted: 14 Feb 2002
University of Castilla-La Mancha, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 823 (41,728)
Citation 2

Abstract:

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Nearest-neighbour prediction methods, Financial markets, Technical trading rules

7.

An Empirical Evaluation of Non-Linear Trading Rules

FEDEA Working Paper No. 2001-16
Number of pages: 21 Posted: 12 Oct 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, University of Las Palmas de Gran Canaria - Faculty of Economic Science, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 713 (50,512)
Citation 3

Abstract:

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Technical trading rules, Nearest neighbor predictors, Security markets

8.

Nearest-Neighbour Predictions in Foreign Exchange Markets

FEDEA Working Paper No. 2002-05
Number of pages: 36 Posted: 14 Feb 2002
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 671 (54,710)
Citation 2

Abstract:

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Nearest-neighbour prediction methods, Exchange rates, Technical trading rules

Technical Analysis in Foreign Exchange Markets: Evidence from the EMS

Number of pages: 21 Posted: 04 Oct 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 624 (59,312)

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Nearest-neighbour prediction methods, Technical trading rules, Exchange rates

Technical Analysis in Foreign Exchange Markets: Evidence from the EMS

Posted: 08 Nov 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science

Abstract:

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Nearest-neighbor prediction methods, Technical trading rules, Exchange rates

10.

Purchasing Power Parity Revisited

Number of pages: 50 Posted: 08 Jan 2004
Simon Sosvilla-Rivero and Emma Garcia
UCM Institute for Economic Analysis and Foundation for Applied Economic Research (FEDEA)
Downloads 518 (75,894)
Citation 1

Abstract:

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Exchange rates, Purchasing Power parity, Cointegration

11.

Forecasting the Dollar/Euro Exchange Rate: Are International Parities Useful?

FEDEA Working Paper No. 2003-15
Number of pages: 14 Posted: 31 Jul 2003
Simon Sosvilla-Rivero and Emma Garcia
UCM Institute for Economic Analysis and Foundation for Applied Economic Research (FEDEA)
Downloads 434 (93,677)
Citation 1

Abstract:

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Forecasting, Purchasing Power Parity, Exchange rates

12.

Genetic Algorithm for Arbitrage with More than Three Currencies

DEFI Working Paper No. 12-04
Number of pages: 13 Posted: 19 Jul 2012
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 367 (113,586)

Abstract:

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arbitrage, foreign exchange market, genetic algorithm

13.

Forecasting Stock Price Changes: Is it Possible?

Number of pages: 31 Posted: 17 Jul 2006
Pedro N. Rodriguez and Simon Sosvilla-Rivero
Complutense University of Madrid - Facultad de Ciencias Económicas y Empresariales - Departamento de Estadística e Investigación Operativa II and UCM Institute for Economic Analysis
Downloads 315 (133,895)

Abstract:

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Stock return predictability, stock movement predictability

14.

Understanding and Forecasting Stock Price Changes

FEDEA Working Paper No. 2006-03
Number of pages: 17 Posted: 14 Feb 2006
Pedro N. Rodriguez and Simon Sosvilla-Rivero
Complutense University of Madrid - Facultad de Ciencias Económicas y Empresariales - Departamento de Estadística e Investigación Operativa II and UCM Institute for Economic Analysis
Downloads 269 (157,705)

Abstract:

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Stock return predictability, Model averaging, Bias-variance decomposition

15.

EU Structural Funds and Spain's Objective 1 Regions: An Analysis Based on the Hermin Model

FEDEA Working Paper No. 2005-24
Number of pages: 31 Posted: 14 Nov 2005
Simon Sosvilla-Rivero
UCM Institute for Economic Analysis
Downloads 262 (161,969)
Citation 2

Abstract:

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European Union, Structural Funds, Regional Convergence, Spain

Further Evidence on Technical Trading Profitability and Foreign Exchange Intervention

FEDEA Working Paper No. 99-01
Number of pages: 12 Posted: 19 Feb 2002
UCM Institute for Economic Analysis, University of Las Palmas de Gran Canaria - Faculty of Economic Science and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 250 (169,028)
Citation 3

Abstract:

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Central bank intervention, Technical trading rules, Exchange rates

Further Evidence on Technical Trading Profitability and Foreign Exchange Intervention

Posted: 27 Feb 2002
UCM Institute for Economic Analysis, University of Las Palmas de Gran Canaria - Faculty of Economic Science and University of Las Palmas de Gran Canaria - Faculty of Economic Science

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Central bank intervention, Technical trading rules, Exchange rates

17.

Modelling the Linkages between Us and Latin American Stock Markets

FEDEA Working Paper No. 2002-14
Number of pages: 27 Posted: 24 Jul 2002
José Luis Fernández-Serrano and Simon Sosvilla-Rivero
Universidad Nacional de Educacion a Distancia (UNED) and UCM Institute for Economic Analysis
Downloads 245 (172,917)
Citation 5

Abstract:

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Stock market, Cointegration, Structural change

18.

Testing Chaotic Dynamics Via Lyapunov Exponents

FEDEA Documento de Trabajo 2000-07
Number of pages: 52 Posted: 23 Jul 2001
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 228 (185,193)

Abstract:

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Chaos, Nonlinear Dynamics, Lyapunov exponents, Bootstrapping

19.

Public Debt and Economic Growth: Further Evidence for the Euro Area

ICEI WP09/17
Number of pages: 33 Posted: 25 Sep 2017
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 219 (192,451)
Citation 8

Abstract:

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public debt, economic growth, bounds testing, euro area, peripheral euro area countries, central euro area countries

20.

Instability in Cointegration Regressions: Evidence from Inflation Rate Convergence in EU Countries

Estudios de Economia Espanola No. 53
Number of pages: 8 Posted: 23 Jul 2001
Simon Sosvilla-Rivero and Irene Olloqui
UCM Institute for Economic Analysis and University of Zaragoza - Faculty of Business and Economics
Downloads 199 (210,260)

Abstract:

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Inflation, Cointegration, Structural change

21.

A New Test for Chaotic Dynamics Using Lyapunov Exponents

FEDEA Working Paper No. 2003-09
Number of pages: 40 Posted: 05 May 2003
University of Las Palmas de Gran Canaria - Faculty of Economic Science, UCM Institute for Economic Analysis and University of Las Palmas de Gran Canaria - Faculty of Economic Science
Downloads 198 (211,186)
Citation 1

Abstract:

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Chaos, Nonlinear Dynamics, Lyapunov exponents, Bootstrapping

22.

Price Convergence in the European Union

FEDEA Working Paper No. 2002-12
Number of pages: 15 Posted: 24 Jul 2002
Simon Sosvilla-Rivero and Salvador Gil-Pareja
UCM Institute for Economic Analysis and University of Valencia - Department of Economics
Downloads 197 (212,163)
Citation 1

Abstract:

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Price dispersion, Market integration, European Union

23.

Short-Run and Long-Run Effects of Public Debt on Economic Performance: Evidence from EMU Countries

Number of pages: 37 Posted: 15 Sep 2015
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 184 (225,289)
Citation 1

Abstract:

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Public debt, economic growth, bounds testing, euro area, peripheral EMU countries, central EMU countries.

24.

The Reform of the Eu's Cohesion Policy

Elcano Royal Institute ARI No. 100/2004
Number of pages: 9 Posted: 09 Jan 2005
Jose A. Herce and Simon Sosvilla-Rivero
Grupo AFI and UCM Institute for Economic Analysis
Downloads 178 (231,824)
Citation 1

Abstract:

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EU regional policy, EU cohesion, Spain

25.

Price Convergence in the European Car Market

FEDEA Working Paper No. 2005-22
Number of pages: 20 Posted: 14 Nov 2005
Salvador Gil-Pareja and Simon Sosvilla-Rivero
University of Valencia - Department of Economics and UCM Institute for Economic Analysis
Downloads 159 (255,015)
Citation 4

Abstract:

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Market integration, Automobiles, European Union, Euro, Exchange rates

26.

Immigration and Housing Prices in Spain

FEDEA Working Paper No. 2008-40
Number of pages: 20 Posted: 31 Oct 2008
Simon Sosvilla-Rivero
UCM Institute for Economic Analysis
Downloads 148 (270,222)
Citation 1

Abstract:

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Housing prices, Spain, Autonomous regions

27.

European Cohesion Policy and the Spanish Economy: Macroeconomic Evaluation and Prospects for Convergence

FEDEA Working Paper No. 2004-20
Number of pages: 29 Posted: 14 Apr 2005
Simon Sosvilla-Rivero and Jose A. Herce
UCM Institute for Economic Analysis and Grupo AFI
Downloads 139 (283,861)
Citation 1

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European Union, Structural Funds, Cohesion Fund, Community Support Frameworks, Macroeconomic Evaluation

28.

Fear Connectedness Among Asset Classes

Research Institute of Applied Economics Working Paper 2017/03
Number of pages: 42 Posted: 03 Feb 2017
Julián Andrada Félix, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 134 (291,958)
Citation 1

Abstract:

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Implied volatility indices, Financial market Linkages, Connectedness, Vector Autoregression, Variance Decomposition.

29.

Structural Breaks in Volatility: Evidence from the OECD Real Exchange Rates

FEDEA Working Paper No. 2004-22
Number of pages: 23 Posted: 09 Jan 2005
Amalia Morales-Zumaquero and Simon Sosvilla-Rivero
University of Malaga - Departamento de Teoria e Historia Economica and UCM Institute for Economic Analysis
Downloads 123 (311,277)
Citation 2

Abstract:

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Exchange rate regimes, real exchange rate, volatility

30.

An Eclectic Approach to Currency Crises: Drawing Lessons from the EMS Experience

FEDEA Working Paper No. 2002-22
Number of pages: 43 Posted: 22 Apr 2003
Reyes Maroto Illera, Francisco Perez-Bermejo and Simon Sosvilla-Rivero
Foundation for Applied Economic Research (FEDEA), Foundation for Applied Economic Research (FEDEA) and UCM Institute for Economic Analysis
Downloads 122 (313,125)
Citation 1

Abstract:

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Duration analysis, Currency crises, European Monetary System

31.

Regimen Changes and Duration in the European Monetary System

FEDEA Int. Economics & Finance DEFI Working Paper No. 02-05
Number of pages: 31 Posted: 24 Jul 2002
Simon Sosvilla-Rivero and Reyes Maroto Illera
UCM Institute for Economic Analysis and Foundation for Applied Economic Research (FEDEA)
Downloads 120 (316,939)
Citation 1

Abstract:

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Duration models, exchange rates, European Monetary System

32.
Downloads 119 (318,828)
Citation 1

Export Market Integration in the European Union

FEDEA Working Paper No. 2002-07
Number of pages: 22 Posted: 06 May 2002
Salvador Gil-Pareja and Simon Sosvilla-Rivero
University of Valencia - Department of Economics and UCM Institute for Economic Analysis
Downloads 119 (320,460)
Citation 1

Abstract:

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Export market integration, European Union, Single currency

Export Market Integration in the European Union

Journal of Applied Economics, Vol. 7, No. 2, pp. 271-301, November 2004
Posted: 28 Feb 2005
Salvador Gil-Pareja and Simon Sosvilla-Rivero
University of Valencia - Department of Economics and UCM Institute for Economic Analysis

Abstract:

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export market integration, European Union, exchange rates

33.

Convergence in Social Protection Across EU Countries, 1970-1999

FEDEA Working Paper No. 2003-01
Number of pages: 19 Posted: 25 Feb 2003
UCM Institute for Economic Analysis, Grupo AFI and IndependentBank of Spain
Downloads 118 (320,654)
Citation 1

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Social Protection Expenditure, Convergence, European Union

34.

The Term Structure of Interest Rates as Predictor of Stock Returns: Evidence for the IBEX 35 During a Bear Market

Number of pages: 29 Posted: 17 Jun 2013
Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 114 (328,533)

Abstract:

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Term structure of interest rates, Stock returns, Trading strategies

35.

An Empirical Examination of Exchange-Rate Credibility Determinants in the EMS

FEDEA International Economics & Finance DEFI Working Paper No. 04-01
Number of pages: 8 Posted: 29 Mar 2004
University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 111 (334,673)
Citation 1

Abstract:

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Credibility, political variables, exchange rates, european monetary system

36.

EMU Sovereign Debt Market Crisis: Fundamentals-Based or Pure Contagion?

Research Institute of Applied Economics Working Paper No. 2014/02
Number of pages: 31 Posted: 09 May 2014
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 110 (336,762)
Citation 6

Abstract:

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sovereign bond spreads, contagion, Granger-causality, time-varying approach, euro area, ordered logit model

37.

Currency Crises and Political Factors: Drawing Lessons from the EMS Experience

FEDEA Documento de Trabajo Working Paper No. 2004-04
Number of pages: 31 Posted: 14 Apr 2004
Francisco Perez-Bermejo and Simon Sosvilla-Rivero
Foundation for Applied Economic Research (FEDEA) and UCM Institute for Economic Analysis
Downloads 110 (336,762)

Abstract:

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Duration analysis, Political variables, Exchange rates, European Monetary System

38.

Causality and Contagion in Peripheral EMU Public Debt Markets: A Dynamic Approach

Research Institute of Applied Economics Working Paper 2011/16
Number of pages: 55 Posted: 24 Sep 2011
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 106 (345,273)
Citation 11

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Sovereign bond yields, causality, time-varying contagion, euro area, peripheral EMU countries

39.

The Credibility of the European Monetary System: A Review

Estudios de Economia Espanola Working Paper No. 179
Number of pages: 26 Posted: 14 Apr 2004
University of La Laguna - Department of Applied Economics, University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 103 (351,905)

Abstract:

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Credibility, Exchange Rates, Target Zones, European Monetary System

40.

Distant or Close Cousins: Connectedness Between Cryptocurrencies and Traditional Currencies Volatilities

Research Institute of Applied Economics, Working Paper 2019/12, 1/74
Number of pages: 74 Posted: 07 Aug 2019
Julián Andrada Félix, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 101 (356,569)

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Exchange Rates, Cryptocurrencies, Connectedness, Time-Varying Parameters, Stepwise Regressions

41.

Assessing the Effectiveness of Eu's Regional Policies: A New Approach

CentrA Working Paper No. E2004/29
Number of pages: 19 Posted: 09 Jan 2005
Simon Sosvilla-Rivero, Oscar Bajo‐Rubio and Carmen Díaz‐Roldán
UCM Institute for Economic Analysis, University of Castilla-La Mancha and University of Castilla-La Mancha
Downloads 100 (358,865)

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EU's regional policies, community support framework, Hermin-Spain model, Castilla-La Mancha

42.

Implicit Regimes for the Spanish Peseta/Deutschmark Exchange Rate

FEDEA Working Papers on International Economics and Finance No. 2005-21
Number of pages: 28 Posted: 05 Nov 2005
University of La Laguna - Department of Applied Economics, University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 97 (365,930)
Citation 1

Abstract:

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Exchange rate regimes, implicit fluctuation bands, exchange rates

43.

Volatility Spillovers between Foreign-Exchange and Stock Markets

Bath Economics Research Papers, No. 58/17
Number of pages: 62 Posted: 12 Jan 2017
Amalia Morales-Zumaquero and Simon Sosvilla-Rivero
University of Malaga - Departamento de Teoria e Historia Economica and UCM Institute for Economic Analysis
Downloads 96 (368,317)
Citation 2

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Stock markets, Exchange rates, Market spillovers, Component-GARCH model, Long-term volatility, Short-term volatility

44.

Volatility Transmission between Stock and Exchange-Rate Markets: A Connectedness Analysis

BATH ECONOMICS RESEARCH PAPERS, No. 54/16
Number of pages: 32 Posted: 13 Oct 2016
Fernando Fernández Rodríguez and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 90 (383,343)
Citation 3

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Stock markets, Exchange rates, Market Linkages, Vector Autoregression, Variance Decomposition.

45.

On the Bi-Directional Causal Relationship between Public Debt and Economic Growth in EMU Countries

Number of pages: 32 Posted: 11 May 2015
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 90 (383,343)
Citation 7

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Public debt, economic growth, Granger-causality, euro area, peripheral EMU countries, central EMU countries.

46.

Resolution of Optimization Problems and Construction of Efficient Portfolios: An Application to the Euro Stoxx 50 Index

Institut de Recerca en Economia Aplicada Regional i Pública, Document de Treball No. 2017/02
Number of pages: 43 Posted: 03 Feb 2017
Universidad Complutense de Madrid (UCM), University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 89 (385,957)

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Optimization Problems, Portfolio Choice, Investment Decisions, Asset Allocation, Econometrics, Minimum-Variance Portfolios, Robust Statistics, Out-Of-Sample Performance

47.

Assessing the Credibility of a Target Zone: Evidence from the EMS

Centra Working Paper E2003/33
Number of pages: 44 Posted: 14 Sep 2001
University of La Laguna - Department of Applied Economics, University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 87 (391,363)
Citation 13

Abstract:

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Credibility, Target zones, European Monetary System

48.

Time Connectedness of Fear

Number of pages: 42 Posted: 20 Oct 2018
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 84 (399,704)

Abstract:

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Implied Volatility Indices, Financial Market Linkages, Connectedness, Vector Autoregression, Variance Decomposition

49.

The Failure of the Monetary Model of Exchange Rate Determination

Number of pages: 31 Posted: 07 Apr 2015
Dinçer Afat, Marta Gómez-Puig and Simon Sosvilla-Rivero
University of Barcelona - Department of Economic Theory, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 79 (414,173)

Abstract:

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exchange rate, flexible price monetary model, forward-looking monetary model, real interest differential model, money demand, purchasing power parity

50.

Public Debt and Economic Growth: An Empirical Evaluation

Asociación Española de Economía y Finanzas Internacionales, ISSN: 1696-6376
Number of pages: 19 Posted: 15 Feb 2016
María del Carmen Ramos-Herrera and Simon Sosvilla-Rivero
Universidad Complutense de Madrid (UCM) and UCM Institute for Economic Analysis
Downloads 78 (417,219)

Abstract:

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Public debt, economic growth

51.

Historical Financial Analogies of the Current Crisis

Number of pages: 19 Posted: 12 Nov 2011
University of Las Palmas de Gran Canaria - Faculty of Economic Science, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 75 (426,538)

Abstract:

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Financial crisis, Great Recession, Great Depression

52.

Systemic Banks, Capital Composition and Coco Issuance: The Effects on Bank Risk

Number of pages: 23 Posted: 05 Apr 2017
Victor Echevarria-Icaza and Simon Sosvilla-Rivero
Universidad Complutense de Madrid (UCM) and UCM Institute for Economic Analysis
Downloads 73 (432,903)
Citation 2

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Contingent capital, banking regulation, risk-taking incentives, asset substitution, systemic risk

53.

Real Exchange Rate Volatility, Financial Crises and Nominal Exchange Regimes

Documentos de economia y finanzas internacionales (DEFI) 12-05
Number of pages: 56 Posted: 19 Oct 2012
Amalia Morales-Zumaquero and Simon Sosvilla-Rivero
University of Malaga - Departamento de Teoria e Historia Economica and UCM Institute for Economic Analysis
Downloads 72 (436,179)

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Financial Crisis, Structural Breaks, Component-GARCH Model

54.

Currency and commodity return relationship under extreme geopolitical risks: Evidence from the invasion of Ukraine

Number of pages: 21 Posted: 29 Apr 2022
Olga Dodd, Adrian Fernandez-Perez and Simon Sosvilla-Rivero
Auckland University of Technology, Auckland University of Technology and UCM Institute for Economic Analysis
Downloads 69 (446,095)

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Foreign exchange rates, currency return, commodity return, Russian invasion, Ukraine war, geographic distance

55.

Portfolios in the Ibex 35 Index: Alternative Methods to the Traditional Framework, a Comparative with the Naive Diversification in a Pre- and Post- Crisis Context

Number of pages: 33 Posted: 30 Jun 2015
Universidad Complutense de Madrid (UCM), University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 68 (449,522)

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Portfolio optimization; Portfolio diversification; Markowitz Analysis; Naive 1/N strategy; Snanish Ibex35

56.

Implicit Bands in the Yen/Dollar Exchange Rate

Universidad de La Laguna Economic Working Paper No. 2004-02
Number of pages: 28 Posted: 07 Jan 2005
University of La Laguna - Department of Applied Economics, University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 68 (449,522)

Abstract:

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Exchange rate regimes, Implicit fluctuation bands, exchange rates

57.

Volatility in EMU Sovereign Bond Yields: Permanent and Transitory Components

International Economics & Finance DEFI Working Paper No. 11-03
Number of pages: 36 Posted: 09 May 2011
Simon Sosvilla-Rivero and Amalia Morales-Zumaquero
UCM Institute for Economic Analysis and University of Malaga - Departamento de Teoria e Historia Economica
Downloads 66 (456,491)

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Conditional variance, Component model, Cluster analysis, Sovereign bond yields, Economic and Monetary Union

58.

Sovereigns and Banks in the Euro Area: A Tale of Two Crises

Number of pages: 50 Posted: 13 Jan 2015
Marta Gómez-Puig, Simon Sosvilla-Rivero and Manish Singh
Economic Theory Department. University of Barcelona, UCM Institute for Economic Analysis and University of Barcelona
Downloads 65 (459,994)
Citation 3

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Sovereign debt crisis, banking crisis, Granger-causality, time-varying approach, “distance-to-default”, euro area.

59.

Credibility and Duration in Target Zones: Evidence from the EMS

FEDEA Working Paper No. 2003-19
Number of pages: 42 Posted: 12 Nov 2003
Simon Sosvilla-Rivero and Francisco Perez-Bermejo
UCM Institute for Economic Analysis and Foundation for Applied Economic Research (FEDEA)
Downloads 61 (474,785)
Citation 3

Abstract:

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Credibility, Currency crises, Exchange rates, European Monetary System

60.

The US Dollar-Euro Exchange Rate and US-EMU Bond Yield Differentials: A Causality Analysis

Number of pages: 15 Posted: 21 Apr 2011
Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 59 (482,419)

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Causality, Exchange rate, Long-term interest rates, Rolling regression

61.

Inflation, Real Economic Growth and Unemployment Expectations: An Empirical Analysis Based on the ECB Survey of Professional Forecasters

Documentos De Economía Y Finanzas Internacionales, Working Papers on International Economics and Finance, DEFI 17-02, February 2017
Number of pages: 29 Posted: 11 Mar 2017
María del Carmen Ramos-Herrera and Simon Sosvilla-Rivero
Universidad Complutense de Madrid (UCM) and UCM Institute for Economic Analysis
Downloads 54 (502,287)

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inflation, real economic growth, unemployment, expectations, euro area

62.

Volatility Spillovers in EMU Sovereigns Bond Markets

DEFI 15-03
Number of pages: 30 Posted: 12 Feb 2015
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 54 (502,287)
Citation 3

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Sovereign debt crisis, Euro area, Market Linkages, Vector Autoregression, Variance Decomposition

63.

On the Credibility of the Irish Pound in the EMS

Foundation for Applied Economic Studies (FEDEA) Working Paper No. 2000-14
Number of pages: 31 Posted: 17 Sep 2001
University of La Laguna - Department of Applied Economics, University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 54 (502,287)
Citation 3

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Credibility, Target zone, Irish Pound

64.

Exchange-Rate Regimes and Economic Growth: An Empirical Evaluation

Working Papers in International Economics and Finance 14-01
Number of pages: 11 Posted: 24 Feb 2014
Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 51 (514,906)

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Exchange rate regime, economic growth

65.

On the Forecast Accuracy and Consistency of Exchange Rate Expectations: The Spanish PwC Survey

DEFI Working Paper No. 12-02
Number of pages: 9 Posted: 24 Feb 2012
Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 51 (514,906)
Citation 1

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Exchange rates, Forecasting, Expectations, Panel data, Econometric models

66.

Exchange-Rate Regimes and Inflation: An Empirical Evaluation

Working Papers in International Economics and Finance 2014-02
Number of pages: 18 Posted: 24 Feb 2014
Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 50 (519,327)

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Exchange rate regime, CPI inflation rate

67.

The Robustness of the Sovereign-Bank Interconnection: Evidence from Contingent Claims Analysis

IREA Working Paper 2018/04
Number of pages: 53 Posted: 07 Mar 2018
Marta Gómez-Puig, Manish Singh and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona, University of Barcelona and UCM Institute for Economic Analysis
Downloads 49 (523,791)

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sovereign risk, bank risk, sovereign-bank nexus, contingent claims

68.

Heterogeneity in the Debt-Growth Nexus: Evidence from EMU Countries

BATH Economics Research Paper No. 61/17
Number of pages: 36 Posted: 03 Apr 2017
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 47 (532,756)
Citation 2

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Public Debt, Economic Growth, Heterogeneity, Euro Area, Peripheral EMU Countries, Central EMU Countries

69.

Yields on Sovereign Debt, Fragmentation and Monetary Policy Transmission in the Euro Area: A GVAR Approach

Number of pages: 32 Posted: 11 Feb 2017
Victor Echevarria-Icaza and Simon Sosvilla-Rivero
Universidad Complutense de Madrid (UCM) and UCM Institute for Economic Analysis
Downloads 44 (546,874)

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monetary policy, spillovers, euro area crisis

70.

An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis

Number of pages: 38 Posted: 08 Mar 2014
Economic Theory Department. University of Barcelona, UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 44 (546,874)
Citation 2

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Sovereign bond spreads, Panel data, Eurozone

71.

Further Evidence on Implicit Bands in the Yen/Dollar Exchange Rate

FEDEA Working Paper No. 2006-19
Number of pages: 29 Posted: 06 Jul 2006
University of La Laguna - Department of Applied Economics, University of La Laguna - Department of Applied Economics, University of Las Palmas de Gran Canaria - Faculty of Economic Science and UCM Institute for Economic Analysis
Downloads 44 (546,874)

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Exchange rate regimes, implicit fluctuation bands, exchange rates

72.

Analysis of the Evolution of Sovereign Bond Yields by Wavelet Techniques

Number of pages: 14 Posted: 10 Jan 2015
David Chinarro-Vadillo, Eduardo Martinez-Budria and Simon Sosvilla-Rivero
San Jorge University, Universidad de La Laguna and UCM Institute for Economic Analysis
Downloads 43 (551,727)

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sovereign bond, wavelet, coherence, entropy, time series, correlation, comovement

73.

Political and Institutional Factors in Regime Changes in the ERM: An Application of Duration Analysis

International Economics & Finance DEFI Working Paper No. 07-05
Number of pages: 41 Posted: 21 Nov 2007
Simon Sosvilla-Rivero and Francisco Pérez-Bermejo
UCM Institute for Economic Analysis and KPMG-Spain
Downloads 43 (551,727)

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Duration analysis, Political variables, Exchange rates, European Monetary System

74.

Countercyclical Labor Productivity: The Spanish Anomaly

Research Institute of Applied Economics Working Paper 2017/12
Number of pages: 29 Posted: 09 Jun 2017
Borja Jalón, Simon Sosvilla-Rivero and Jose A. Herce
Universidad Complutense de Madrid (UCM), UCM Institute for Economic Analysis and Grupo AFI
Downloads 41 (561,840)

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Business cycle, labor productivity, labor regulation, multifactor productivity.

75.

Inflation Expectations in Spain: The Spanish PwC Survey

Number of pages: 14 Posted: 02 Feb 2013
María del Carmen Ramos-Herrera and Simon Sosvilla-Rivero
Universidad Complutense de Madrid (UCM) and UCM Institute for Economic Analysis
Downloads 40 (566,903)
Citation 1

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inflation, forecasting, expectations, panel data, econometric models

76.

Connectedness of Stress in EMU Bank and Sovereign CDS: The Role Policy Measures 2008-2014

Number of pages: 28 Posted: 02 Feb 2016
Victor Echevarria-Icaza and Simon Sosvilla-Rivero
Universidad Complutense de Madrid (UCM) and UCM Institute for Economic Analysis
Downloads 39 (571,993)
Citation 1

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Connectedness, Bank risk, Sovereign risk, EMU

77.

Convergence in Car Prices Among European Countries

Documento De Trabajo Paper No. 517
Number of pages: 60 Posted: 03 May 2011
Simon Sosvilla-Rivero and Salvador Gil-Pareja
UCM Institute for Economic Analysis and University of Valencia - Department of Economics
Downloads 39 (571,993)

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Market integration, Automobiles, European Union, Stochastic convergence, Deterministic convergence, Panel stationarity

78.

A Contribution to the Empirics of Convergence in Real GDP Growth: The Role of Financial Crises and Exchange-Rate Regimes

Number of pages: 25 Posted: 08 Mar 2014
Amalia Morales-Zumaquero and Simon Sosvilla-Rivero
University of Malaga - Departamento de Teoria e Historia Economica and UCM Institute for Economic Analysis
Downloads 37 (582,461)
Citation 2

Abstract:

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Convergence indicators, financial crises, nominal exchange-rate regimes.

79.

Has the ECB’s Monetary Policy Prompted Companies to Invest or Pay Dividends?

Research Institute of Applied Economics Working Paper 2019/01 1/39 pág
Number of pages: 39 Posted: 23 Jan 2019
Lior Cohen, Marta Gómez-Puig and Simon Sosvilla-Rivero
University of Barcelona, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 36 (588,042)

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ECB’s monetary policy, capital structure, leverage, quantitative easing, capital expenditure, dividend’s policy, shareholder yield

80.

Causality and Contagion in EMU Sovereign Debt Markets

Research Institute of Applied Economics Working Paper 2014/03
Number of pages: 34 Posted: 08 Mar 2014
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 36 (588,042)
Citation 2

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Sovereign bond yields, Granger-Causality, Contagion, Euro area.

81.

Debt-Growth Linkages in EMU Across Countries and Time Horizons

Number of pages: 38 Posted: 05 Jul 2016
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 35 (593,684)
Citation 3

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Public debt, economic growth, bounds testing, euro area, peripheral EMU countries, central EMU countries

82.

Financial Stress Transmission in EMU Sovereign Bond Market Volatility: A Connectedness Analysis

Number of pages: 36 Posted: 04 Feb 2015
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 35 (593,684)
Citation 3

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Sovereign debt crisis, Euro area, Market Linkages, Vector Autoregression, Variance Decomposition

83.

Forecasting Emerging Market Currencies: Are Inflation Expectations Useful?

Number of pages: 31 Posted: 31 Oct 2019
Alberto Fuertes and Simon Sosvilla-Rivero
Banco de España and UCM Institute for Economic Analysis
Downloads 34 (599,111)

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Forecasting, Purchasing power parity, Exchange rates, Inflation expectations

84.

Re-Examining the Debt-Growth Nexus: A Grouped Fixed-Effect Approach

Number of pages: 47 Posted: 09 Jul 2019
Economic Theory Department. University of Barcelona, UCM Institute for Economic Analysis and Jaume I University
Downloads 30 (623,201)

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public debt, economic growth, heterogeneity, grouped fixed-effects, debt-growth link, panel data, multinomial logit regression

85.

Seeking Price and Macroeconomic Stabilisation in the Euro Area: The Role of House Prices and Stock Prices

Number of pages: 35 Posted: 18 May 2017
Imran Shah and Simon Sosvilla-Rivero
University of Bath and UCM Institute for Economic Analysis
Downloads 29 (629,464)

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Stock prices, House prices, Inflation targeting, Macroeconomic stabilization, Euro area.

86.

Forward Looking Banking Stress in EMU Countries

Number of pages: 30 Posted: 25 Sep 2014
Manish Singh, Marta Gómez-Puig and Simon Sosvilla-Rivero
University of Barcelona, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 28 (635,999)
Citation 2

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contingent claim analysis, distance-to-default, systemic risk.

87.

Bank Risk Behavior and Connectedness in EMU Countries

Number of pages: 44 Posted: 19 Jun 2015
Manish Singh, Marta Gómez-Puig and Simon Sosvilla-Rivero
University of Barcelona, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 27 (642,650)
Citation 1

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Contingent claim analysis, Distance-to-default, Banking risk

88.

The Euro and the Volatility of Exchange Rates

DEFI Working Paper No. 10-01
Number of pages: 24 Posted: 17 Jul 2010
Amalia Morales-Zumaquero and Simon Sosvilla-Rivero
University of Malaga - Departamento de Teoria e Historia Economica and UCM Institute for Economic Analysis
Downloads 27 (642,650)

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Euro, multiple structural breaks, volatility

89.

'Incorporating Creditors' Seniority into Contingent Claim Models: Application to Peripheral Euro Area Countries'

IREA Working Paper 2018/03
Number of pages: 54 Posted: 07 Mar 2018
Marta Gómez-Puig, Manish Singh and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona, University of Barcelona and UCM Institute for Economic Analysis
Downloads 24 (663,716)

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sovereign default risk, peripheral euro area countries, contingent claims, distance-to-default

90.

Increasing Contingent Guarantees: The Asymmetrical Effect on Sovereign Risk of Different Government Interventions

Research Institute of Applied Economics Working Paper 2019/14
Number of pages: 41 Posted: 25 Sep 2019
Manish Singh, Marta Gómez-Puig and Simon Sosvilla-Rivero
University of Barcelona, Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 20 (693,644)

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sovereign risk, financial assistance, fiscal capacity, bailout, contingent guarantee

91.

Testing for Private Information Using Trade Duration Models with Unobserved Market Heterogeneity: The Case of Banco Popular

Research Institute of Applied Economics Working Paper 2019/07
Number of pages: 23 Posted: 09 May 2019
Jorge Pérez Rodríguez, Emilio Gómez-Déniz and Simon Sosvilla-Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Universidad de Las Palmas de Gran Canaria and UCM Institute for Economic Analysis
Downloads 19 (701,395)

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conditional duration, threshold models, finite and infinite mixtures, private information, bank failure

92.

Incorporating Creditors' Seniority into Contingent Claim Models: Applicarion to Peripheral Euro Area Countries

Research Institute of Applied Economics, Working Paper 2018/03, 1/54 pág
Number of pages: 54 Posted: 29 Jan 2019
Marta Gómez-Puig, Manish Singh and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona, University of Barcelona and UCM Institute for Economic Analysis
Downloads 19 (701,395)

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sovereign risk, bank risk, sovereign-bank nexus, contingent claims

93.

Nonfinancial Debt and Economic Growth in Euro-Area Countries

Institut de Recerca en Economia Aplicada Regional i Pública Document de Treball 2017/14 1/41 pág. - Research Institute of Applied Economics Working Paper 2017/14 1/41 pág.
Number of pages: 41 Posted: 20 Jul 2017
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 19 (701,395)
Citation 1

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public debt, household debt, nonfinancial corporate debt, economic growth, heterogeneity, euro area, peripheral EMU countries, central EMU countries

94.

The Relationship between Public Debt and Economic Growth in Advanced, Emerging and Developing Economies: Differences and Determining Factors

Instituto de Estudios Fiscales, Working Paper 2/2022
Number of pages: 29 Posted: 28 Mar 2022
Marta Gómez-Puig and Simon Sosvilla-Rivero
Economic Theory Department. University of Barcelona and UCM Institute for Economic Analysis
Downloads 11 (769,653)

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Public debt, Economic growth, Dynamic heterogeneity, Grouped fixed-effects, Panel data, Panel regression analysis

95.

Detection of Implicit Fluctuation Bands and Their Credibility in Candidate Countries

Number of pages: 37 Posted: 19 May 2015
Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 7 (807,685)

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Exchange-rate regimes; implicit fluctuation bands; credibility; exchange rates

96.

Detection of Implicit Fluctuation Bands in the European Union Countries

Number of pages: 21 Posted: 19 May 2015
Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera
UCM Institute for Economic Analysis and Universidad Complutense de Madrid (UCM)
Downloads 6 (817,430)

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Exchange-rate regimes, Implicit fluctuation bands, Exchange rates, De facto and de iure fixed regimes

Other Papers (1)

Total Downloads: 48
1.

Uncovering Linkages in International Financial Markets Via Boosting

FEDEA Working Paper No. 2004-23
Number of pages: 25 Posted: 07 Jan 2005 Last Revised: 22 Sep 2011
Simon Sosvilla-Rivero and Pedro N. Rodriguez
UCM Institute for Economic Analysis and Complutense University of Madrid - Facultad de Ciencias Económicas y Empresariales - Departamento de Estadística e Investigación Operativa II
Downloads 48

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International stock markets, Causality