DSpace Collection:https://hdl.handle.net/10171/230322024-03-29T13:38:41Z2024-03-29T13:38:41ZTerm Structure Persistencehttps://hdl.handle.net/10171/431452023-06-05T09:11:03Z2012-01-01T00:00:00ZTitle: Term Structure Persistence
Abstract: Stationary I(0) models employed in yield curve analysis typically imply an unrealistically low degree of volatility in long-run short-rate expectations due to fast mean reversion. In this paper we propose a novel multivariate affine term structure model with a two-fold source of persistence in the yield curve: Long-memory and short-memory. Our model, based on an I(d) specification, nests the I(0) and I(1) models as special cases and the I(0) model is decisively rejected by the data. Our model estimates imply both mean reversion in yields and quite volatile long-distance short-rate expectations, due to the higher persistence imparted by the long-memory component. Our implied term premium estimates differ from those of the I(0) model during some relevant periods by more than 4 percentage points and exhibit a realistic countercyclical pattern.2012-01-01T00:00:00ZShort Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Banhttps://hdl.handle.net/10171/431442020-03-04T00:18:25Z2012-01-01T00:00:00ZTitle: Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban
Abstract: This paper studies the main effects of the short sales ban implemented in August 2011 in the Spanish stock market along two dimensions: financial stability and market performance. Regarding the first, we show that short positions were a significant determinant of the probability of default of medium-sized banks before the ban. We find that, by weakening the contagion effect coming from the sovereign risk, the ban helped stabilise the probability of default of medium-sized banks, an effect which is not significant in the case of the largest banks and non-financials. Nonetheless, the stabilising power of the ban came at the cost of a large decline in the relative liquidity, trading volumes and price information efficiency of medium-sized banks stocks.2012-01-01T00:00:00ZPortfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spainhttps://hdl.handle.net/10171/431432020-03-04T03:15:39Z2012-01-01T00:00:00ZTitle: Portfolio Choice with Indivisible and Illiquid Housing Assets: The Case of Spain
Abstract: This paper presents a procedure for computing the theoretically optimal portfolio under the assumption that housing is an indivisible, illiquid asset that restricts the portfolio choice decision. The analysis also includes the financial constraints households may face when they apply for external funding. The set of financial assets that constitute the household's portfolios are bank time deposits, stocks, mortgage, and housing. We compare the theoretically optimal portfolio against Spanish household's actual choices using a unique data set, the Spanish Survey of Household Finance. In comparison with the optimal portfolio, households significantly underinvest in stocks and deposits. In the case of mortgages, the optimal and actual portfolios weights are not unequal. At a more disaggregated level, some additional differences emerge that are explained by demographic, educational, and income characteristics.2012-01-01T00:00:00ZLiquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisishttps://hdl.handle.net/10171/431422020-03-04T00:21:03Z2012-01-01T00:00:00ZTitle: Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis
Abstract: This study presents robust empirical evidence suggesting the existence of significant liquidity commonalities in the corporate Credit Default Swap (CDS) market. Using daily data for 438 firms from 25 countries in the period 2005-2012 we find that these commonalities vary over time, being stronger in periods in which the global, counterparty, and funding liquidity risks increase. However, commonalities do not depend on firm's characteristics. The level of the liquidity commonalities differs across economic areas being on average stronger in the European Monetary Union. The effect of market liquidity is stronger than the effect of industry specific liquidity in most industries excluding the banking sector. We document the existence of asymmetries in commonalities around financial distress episodes such that the effect of market liquidity is stronger when the CDS market price increases. The results are not driven by the CDS data imputation method or by the liquidity of firms with high credit risk and are robust to alternative liquidity measures.2012-01-01T00:00:00Z