Browsing by Author "Golpe Moya, Antonio Aníbal"

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Doctoral Thesis
Essays in financial econometrics : long-run, persistence and common trends
(Universidad Internacional de Andalucía, 2020-03-23) Vides González, José Carlos; Golpe Moya, Antonio Aníbal
Tesis doctoral (Lectura 23/03/2020). Director: Antonio Aníbal Golpe Moya. Tribunal: Emilio Congregado Ramírez de Aguilera (presidente); Jesús Rodríguez López (secretaria); Antonio Montañés Bernal (vocal). This thesis recognizes that the premises of standard cointegration (I (1)/I (0) dichotomy) are too restrictive. In this sense, the empirical literature has shown that many economic and financial time series hold long-range dependence in the autocorrelation function but do not precisely exhibit a unit root process, i.e., the long memory process. For this reason, traditional cointegration assumptions that the time series may follow the dichotomy I (0)/I (1) are discard, in favour that they follow a fractional process I (d). We also shed the notion that the error term follows a stationary process (I (0)) in cases of cointegration of both variables. In turn, the rigidity of the traditional approach is overcome in favour of allowing for the series to be cointegrated, and the error term does not necessarily need to be I (0); for example, the error term may be cointegrated in order I(d − b), unlike other techniques that assume the error term is I (0). In this sense, the Fractionally Cointegrated Vector Autorregressive (FCVAR) model is an expansion of the traditional cointegrated VAR (CVAR) model, and it allows to determine the number of equilibrium relations via cointegrating rank testing to estimate memory parameters, long-run cointegrating relations with adjustment parameters, and short-run lagged dynamics. To this end, in the current dissertation, we develop empirical analysis to demonstrate the properties of the time series under the fractional cointegration assumptions. In chapters 2 and 3 we consider the cointegrating relation and adjustment dynamics amongst four major stock markets for the Eurozone, and the five major stock markets for Latin America, respectively. The results evidence that there is a full financial integration in both economic regions, despite of the financial crisis occurred in recent years (this case is studied in chapter 2). The following 4 chapters are devoted to study the term structure of interest rates. Indeed, we summarize an empirical review of the Expectations Hypothesis of the Term Structure (EHTS) aiming to establish the adequate procedures for its measurement by using time series and evidencing the linearity restrictions associated with the traditional approaches used in time series applications on term structure (chapter 4). Furthermore, it is also analyzed the relationship between the European Over Night Index Average (Eonia) rate and 3-month Euribor rate (chapter 5). In chapter 6, we apply a pairwise estimation to a wide sample consisting on 9 different maturities of Treasury Constant interest rates. Otherwise, in chapter 7, we use two historical databases for the USA in order to check the behavior of short- and long-term interest rates. In this four chapters, we demonstrate the fractional properties of the cointegrating relations subject to the EHTS conditions. Additionally, we study how the spread is resulting both interest rates, jointly, analyzing the long memory in the spread that has implications for the monetary transmission mechanism and its effectiveness. In chapter 8, the US debt sustainability is analyzed taking into account the Intertemporal Budget Constraint conditions. We propose different scenarios in which the deficit, i.e., the difference between revenues and expenditures, possess different features, providing significant implications for policy makers. Then, the dominance between revenues and expenditures in the common trend is shown. Finally, in chapter 9, concerning the crude oil market, we test if the relationship between West Texas Intermediate and Brent crude oil is globalized or regionalized. Besides, the difference between both crude oils may be an indicator of forecasting, depending the value of its degree of integration and to finish, the driver of the relationship is defined, which may be an indicator for business operators, arbitrageurs, economic agents and policy makers.
Doctoral Thesis
Vertical spillovers in spatial econometrics
(Universidad Internacional de Andalucía, 2020-10-29) Almeida Márquez, Alejandro; Golpe Moya, Antonio Aníbal
Tesis doctoral (Lectura 29/10/2020). Director: Antonio Aníbal Golpe Moya. Tribunal: Raúl Ramos Lobo (presidente); María Concepción Román Díaz (secretaria); M. Begoña Cueto Iglesias (vocal). Spatial econometrics has studied and analyzed the horizontal interactions that take place between different geographic locations. The proximity between two locations makes them behave more similarly than those locations that are further away. The development of this literature has been possible, in part, due to the increase in disaggregated data at the geographical level. This disaggregation also allows us to have data at different geographic scales (i.e., provinces, regions, and countries), ending in nested data sets. This nested nature of the data allows and generates the need to take into account the possible vertical spillovers that occur when a higher scale can influence the lower scales, for example, countries that influence their regions. In recent years, some authors have proposed different models that allow the inclusion of both types of interactions, vertical and horizontal. However, the literature and the empirical applications are still scarce. For this reason, this thesis tries to empirically analyze these models and to develop new models that allow progress in the inclusion of vertical spillovers in the field of spatial econometrics. Through applications in the sensitivity of the regions to the economic cycle, self-employment, cigarette consumption and the productivity of the European countries and regions, different proposed models are analyzed, such the dynamic spatial econometrics model with common factors and hierarchical spatial econometrics models. Chapter 2 analyze which regions are more sensitive to aggregate fluctuations, finding a pattern for Spain where the most sensitive regions are on the Mediterranean coast. Chapter 3 analyzes the spatial dynamics of self-employment in the United States, finding a relationship between high self-employment clusters and sensitivity to the national cycle. In chapter 4 and 5, cigarette consumption in the Spanish provinces is analyzed and the price is modelled as a common national factor, finding heterogeneity in the behaviour of the provinces. Finally, Chapter 6 develops an HSD model of spatial econometrics in a hierarchical context and is applied to analyze the production of European regions and the influence of countries on them.