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Casado, José María ; Sebastian Gascón, Miguel | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019This paper estimates the costs of basic income and analyses its incentives to conclude that there is an inverse relationship between them. The more unconditional the basic income is, the less incentive problems will arise, but it will be more co[...]texto impreso
Chamizo Cana, Álvaro ; Fonollosa, Alexandre ; Novales Cinca, Alfonso | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)We analyze whether the credit market anticipated the financial crisis before the regulators using a methodology that combines the Merton model for the determination of economic capital with Vasicek’s factor model for asset correlation. Contrary [...]texto impreso
Moreno, Manuel ; Novales Cinca, Alfonso ; Platania, Federico | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019This paper introduces a two-factor continuous-time model for commodity pricing under the assump- tion that prices revert to a stochastic mean level, which shows smooth, periodic fluctuations over long periods of time. We represent the mean rever[...]texto impreso
Chamizo Cana, Álvaro ; Novales Cinca, Alfonso | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)We provide a methodology to estimate a Global Credit Risk Factor (GCRF) from CDS spreads using the information provided by the default-related component of observed spreads. These are previ- ously estimated using Pan and Singleton (2008) methodo[...]texto impreso
Guinea, Laurentiu ; Puch, Luis A. ; Ruiz, Jesus | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019In this paper we investigate how the economy responds to anticipated (news) shocks to future investment decisions. Using structural vector autoregressions (SVARs), we show that news about the future relative price of residential investment expla[...]texto impreso
Sebastian Gascón, Miguel | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019Cuando Gary Becker pronunció esta frase en 1985 (de hecho, escribió un artículo en Business Week con este título) probablemente se refería a una política industrial bien diferente de la que consideramos en la actualidad y que defenderemos en est[...]texto impreso
Chamizo Cana, Álvaro ; Novales Cinca, Alfonso | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019We provide a methodology to estimate a global credit risk factor from CDS spreads that can be very useful for risk management. The global risk factor (GRF) reproduces quite well the different epis- odes that have affected the credit market over [...]texto impreso
Moreno, Manuel ; Novales Cinca, Alfonso ; Platania, Federico | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019We propose a flexible yet tractable model of the term structure of interest rates (TSIR). Term structure models attempt to explain how interest rates depend on their maturities at a given point in time, characterizing the rela- tionship between [...]
