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

87

DOWNLOADS
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Top 1,914

in Total Papers Downloads

15,610

CITATIONS
Rank 13,784

SSRN RANKINGS

Top 13,784

in Total Papers Citations

27

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

Scholarly Papers (87)

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 1,558 (10,037)
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 1,281 (13,720)

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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 1,012 (19,593)

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 941 (21,914)

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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 818 (26,822)

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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 772 (29,010)

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 696 (33,434)

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 649 (36,739)

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 596 (40,562)
Citation 2

Abstract:

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

Technical Analysis in Foreign Exchange Markets: Evidence from the EMS

Applied Financial Economics, Vol. 13, pp. 113-122, 2003
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

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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 485 (53,491)

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 420 (63,884)

Abstract:

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Forecasting, Purchasing Power Parity, Exchange rates

12.

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 307 (91,829)
Citation 1

Abstract:

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Stock return predictability, stock movement predictability

13.

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 293 (96,685)

Abstract:

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arbitrage, foreign exchange market, genetic algorithm

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 261 (109,234)
Citation 1

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 257 (111,023)

Abstract:

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European Union, Structural Funds, Regional Convergence, Spain

16.

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 238 (120,135)
Citation 7

Abstract:

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Stock market, Cointegration, Structural change

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 238 (119,710)
Citation 4

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Central bank intervention, Technical trading rules, Exchange rates

Further Evidence on Technical Trading Profitability and Foreign Exchange Intervention

Applied Economics Letters, Vol. 19, pp. 827-832, 2002
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

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 218 (131,049)

Abstract:

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Chaos, Nonlinear Dynamics, Lyapunov exponents, Bootstrapping

19.

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 194 (146,261)

Abstract:

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Inflation, Cointegration, Structural change

20.

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 189 (149,763)
Citation 1

Abstract:

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Price dispersion, Market integration, European Union

21.

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 176 (159,735)
Citation 1

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EU regional policy, EU cohesion, Spain

22.

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 169 (165,555)

Abstract:

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Chaos, Nonlinear Dynamics, Lyapunov exponents, Bootstrapping

23.

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 155 (178,269)
Citation 1

Abstract:

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

24.

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 135 (199,583)

Abstract:

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

25.

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 126 (210,751)
Citation 1

Abstract:

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Housing prices, Spain, Autonomous regions

26.

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 120 (218,690)

Abstract:

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Exchange rate regimes, real exchange rate, volatility

27.

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 118 (221,437)
Citation 1

Abstract:

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Duration models, exchange rates, European Monetary System

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 117 (222,808)

Abstract:

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

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 117 (223,884)
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

30.

Convergence in Social Protection Across EU Countries, 1970-1999

FEDEA Working Paper No. 2003-01
Number of pages: 19 Posted: 25 Feb 2003
Simon Sosvilla-Rivero, Jose A. Herce and Juan José de Lucio Fernández
UCM Institute for Economic Analysis, Grupo AFI and Independent
Downloads 113 (228,555)

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Social Protection Expenditure, Convergence, European Union

31.

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 107 (237,581)

Abstract:

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Credibility, political variables, exchange rates, european monetary system

32.

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 104 (242,263)
Citation 1

Abstract:

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Duration analysis, Currency crises, European Monetary System

33.

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 99 (250,714)

Abstract:

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

34.

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 97 (254,080)

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

35.

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 96 (257,539)

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

36.

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 95 (257,539)

Abstract:

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

37.

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 94 (259,311)

Abstract:

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

38.

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 93 (261,136)

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Credibility, Exchange Rates, Target Zones, European Monetary System

39.

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 91 (264,833)

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Term structure of interest rates, Stock returns, Trading strategies

40.

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 89 (268,519)

Abstract:

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Exchange rate regimes, implicit fluctuation bands, exchange rates

41.

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 85 (276,251)

Abstract:

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Credibility, Target zones, European Monetary System

42.

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 79 (288,754)

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

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 71 (307,026)

Abstract:

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

44.

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 68 (314,304)

Abstract:

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Public debt, economic growth

45.

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 68 (314,304)

Abstract:

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Financial crisis, Great Recession, Great Depression

46.

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 66 (319,311)

Abstract:

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Financial Crisis, Structural Breaks, Component-GARCH Model

47.

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 66 (319,311)

Abstract:

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Exchange rate regimes, Implicit fluctuation bands, exchange rates

48.

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 58 (340,653)

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

49.

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 58 (340,653)

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

50.

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 57 (343,613)

Abstract:

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

51.

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 55 (349,598)

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

52.

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 55 (349,598)

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

53.

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 54 (352,669)

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

54.

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 54 (352,669)
Citation 4

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Credibility, Currency crises, Exchange rates, European Monetary System

55.

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 53 (355,747)

Abstract:

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Credibility, Target zone, Irish Pound

56.

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 49 (368,204)

Abstract:

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

57.

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 46 (378,077)

Abstract:

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Exchange rate regime, economic growth

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 45 (381,406)

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

59.

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 44 (384,823)

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

60.

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 43 (388,353)

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

61.

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 43 (388,353)

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Exchange rate regime, CPI inflation rate

62.

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 43 (388,353)

Abstract:

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Exchange rate regimes, implicit fluctuation bands, exchange rates

63.

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 38 (406,546)

Abstract:

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

64.

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 38 (406,546)

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

65.

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 36 (414,555)

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

66.

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 36 (418,553)

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monetary policy, spillovers, euro area crisis

67.

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 36 (414,555)

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inflation, forecasting, expectations, panel data, econometric models

68.

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 35 (418,553)

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Sovereign bond spreads, Panel data, Eurozone

69.

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 34 (422,500)

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

70.

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 33 (426,588)

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

71.

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 32 (430,784)

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

72.

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 31 (435,040)

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

73.

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 30 (439,484)

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Connectedness, Bank risk, Sovereign risk, EMU

74.

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 27 (453,784)

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

75.

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 26 (458,912)

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

76.

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 22 (480,169)

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

77.

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 22 (480,169)

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Euro, multiple structural breaks, volatility

78.

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 21 (485,674)

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

79.

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 20 (491,154)

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

80.

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 20 (491,154)

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

81.

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 19 (496,651)

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

82.

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 18 (502,055)

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

83.

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 15 (518,527)

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

84.

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 9 (551,757)

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

85.

'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 8 (557,315)

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

86.

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 6 (568,050)

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

87.

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 4 (579,233)

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

Other Papers (1)

Total Downloads: 45    Citations: 0
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 45

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International stock markets, Causality