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

88

DOWNLOADS
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15,737

CITATIONS
Rank 13,783

SSRN RANKINGS

Top 13,783

in Total Papers Citations

27

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

Scholarly Papers (88)

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 1,566 (10,118)
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 1,282 (13,932)

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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 1,014 (19,880)

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 949 (21,992)

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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 821 (27,113)

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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 776 (29,363)

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 (33,949)

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 650 (37,265)

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 597 (41,112)
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 488 (53,876)

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 421 (64,686)

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 308 (92,863)
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 303 (94,902)

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 264 (109,463)
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 259 (112,216)

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 239 (121,310)
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 (121,349)
Citation 4

Abstract:

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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 (132,817)

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 (148,244)

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 (151,864)
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 (161,896)
Citation 1

Abstract:

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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 170 (166,900)

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 (180,598)
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 136 (201,035)

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 128 (210,874)
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 (221,483)

Abstract:

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Exchange rate regimes, real exchange rate, volatility

27.

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 118 (224,228)

Abstract:

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

28.

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 (224,228)
Citation 1

Abstract:

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Duration models, exchange rates, European Monetary System

29.
Downloads 117 (225,649)
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 117 (226,663)
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 (231,412)

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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 (240,632)

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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 (245,444)
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 (253,936)

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 98 (255,582)

Abstract:

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

35.

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 96 (259,024)

Abstract:

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

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 96 (260,819)

Abstract:

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

37.

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 (259,024)

Abstract:

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

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 96 (259,024)

Abstract:

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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 92 (268,138)

Abstract:

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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 90 (269,991)

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 (279,679)

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 (292,285)

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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 72 (308,382)

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 69 (318,080)

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 69 (315,625)

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 67 (323,218)

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 67 (320,605)

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 62 (333,805)

Abstract:

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Stock markets, Exchange rates, Market Linkages, 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 62 (333,805)

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.

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 59 (341,997)

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

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 56 (350,784)

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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 56 (350,784)

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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 55 (356,915)

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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 (356,915)
Citation 4

Abstract:

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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 (360,066)

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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 50 (372,604)

Abstract:

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

57.

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 48 (379,174)

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

58.

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 (382,489)

Abstract:

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Exchange rate regime, economic growth

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 45 (389,397)

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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 44 (392,919)

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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 (392,919)

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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 (392,919)

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 40 (403,688)

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

64.

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 40 (403,688)

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monetary policy, spillovers, euro area crisis

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 39 (407,462)

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

66.

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 39 (407,462)

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

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 38 (415,366)

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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 37 (419,380)

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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 36 (423,374)

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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 35 (427,305)

Abstract:

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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 34 (431,393)

Abstract:

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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 (439,902)

Abstract:

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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 (444,487)

Abstract:

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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 28 (453,973)

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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 (463,921)

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

76.

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 25 (474,436)

Abstract:

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

77.

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 23 (479,817)

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

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 22 (490,964)

Abstract:

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

79.

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 22 (490,964)

Abstract:

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

80.

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 (485,353)

Abstract:

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Euro, multiple structural breaks, volatility

81.

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 (496,449)

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

82.

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 (502,007)

Abstract:

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

83.

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 19 (502,007)

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

84.

'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 10 (552,286)

Abstract:

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

85.

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 10 (552,286)

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

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 (574,735)

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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 (586,583)

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

88.

Incorporating creditors' seniority into contingent claim models: Applicarion to peripheral euro area countries

Number of pages: 53
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 1

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

Other Papers (1)

Total Downloads: 46    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 46

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International stock markets, Causality