El efecto de la volatilidad del peso mexicano en los rendimientos y riesgo de la Bolsa Mexicana de Valores

The effect of heavy tails due to rare events and different levels of asymmetry associated with high volatility clustering in the emerging financial markets requires sophisticated models for statistical modelling of such stylized facts. This article applies extreme value theory (EVT) to quantify tail risk on the daily returns of Mexican stock market under aggregation of foreign exchange rate risk from January 1971 to December 2010. This study focuses on the maximum-block method and generalized extreme value distribution (GEVD) to model the asymptotic behavior of extreme returns in US dollars. The empirical results show that EVT-Based VaR measured at high confidence levels performs better than simulation historical and delta-normal VaR models on capturing fat-tails in the returns of highly volatile stock markets. Additionally, international investors holding long positions in Mexican stock market are more prone to experience larger potential losses than investors with short positions during local currency depreciation and financial crisis periods.     

Sustainable Development and the Financial System: Society's Perceptions About Socially Responsible Investing

The debate surrounding the financial needs of investors and the impact on society of investment is considered to be an important research topic due to the growth of socially responsible financial markets. The main objective of this research is to study society's perception about socially responsible investing (SRI) and to identify investor's preferences regarding environmental, social and governance criteria, their real‐life investment needs and the most relevant sustainable financial products. To examine society's perception of SRI, we conducted a field survey among Spanish investors. The results show that SRI is at an early stage and Spanish investors need more exact information regarding social, environmental, and governance criteria in order to invest in socially responsible companies and products. This paper offers some guidelines that could be used by Spanish institutions, managers and investors and by foreign managers when approaching the Spanish market, in order to promote the growth of socially responsible financial products. Copyright © 2012 John Wiley & Sons, Ltd and ERP Environment.     

An analysis of health expenditure on a microdata population basis

The objective of this paper is to analyse the hospitalisation and the pharmaceutical expenditures of a population. To do so, we will use cross-sectional information for the year 2004, referring to the whole population of one of the seventeen autonomous communities that make up the Spanish public health system, namely, Aragón. Given the important proportion of null expenditures, a model that takes into account the censored nature of the data must be specified. In our case, the model we choose is Heckman's (1979) selection model. The results are conclusive. i) Age, being a pensioner and being of Spanish nationality positively influence the generation of both types of expenditure; ii) on the contrary, the distance from the health centre to the hospital affects them negatively; iii) sex notably influences the generation of both types of expenditure, women generating higher level of expenditures; iv), in both cases, significant differences appear associated with the zone to which the user belongs; and v) we have also found that pharmaceutical expenditure depends significantly on the doctor who is prescribing.     

The state as the investor of last resort: a comparative study of banking crises in Denmark and Sweden

This article addresses the role of the state in bailouts, i.e. government objectives and measures during banking crises. Our main question concerns the incentives and measures that governments pursue in a state of a systemic banking crisis, and why they are launched. What have been the objectives and operations when a government has decided to act as an investor of last resort and take control of commercial banks? The answer is limited to cover the financial history of two countries. The study unveils government interventions in the latest crises in Denmark and Sweden, and critically analyse which objectives justified the setting up of organisations for financial stability. The two country-cases differ in terms of historical experience, context, and time-period. We compare intrinsic principles and perceptions for government intervention, with a focus on bailouts and state-owned banks. We argue that the implementation of measures dates back to the early phases of capitalism in the 19th century i.e. is part of a historical institutional pattern. The similarities shown indicate that there is an international standard for a public–private arrangement ensuring financial stability. Our results relate to the discussion of launching effective and legitimate state policies during and after a systemic banking crisis.     

Listen to the market: Do its complexity and signals make companies more innovative?

This paper analyzes four modes of innovation that differ in their scope of newness (innovation generation and adoption) and in their degree of change (radical and incremental). Building a theoretical model based on the market orientation (MO) and contingency theory literature and using a sample of innovative firms, we find that MO positively influences the numbers of incremental generation and adoption of innovations. We also find that environmental complexity moderates the relationship between MO and radical and incremental innovation generation and the number of incremental innovation adoption. That is, we have found that highly complex environments enhance the introduction of radical and incremental internally generated innovations and harm the adoption of incremental innovation for market-oriented firms. These findings add to the innovation and MO literatures. Our results also have important implications for both the commercial activities and R&D policies of firms.     

Aplicación de bicorrelación cruzada al rendimiento diario del precio del café

This paper uses the cross bicorrelation methodology, which can capture nonlinear trascendence periods through window functions and third-order moments. It applies to the return of four sets of commodities of coffee traded on the New York market (Arabica Colombian, mild Arabica, Arabica Brazilian and Other Arabicas), during the 20/06/1997 - 27/10/2010 period. The results conclude that there is a cross bicorrelation among the four series, with Brazilian type coffee being the leader and a lower bicorrelation with other Arabicas. This complicates decisions for investors in such series.     

Does the term spread play a role in the fed funds rate reaction function? An empirical investigation

Using US data for the period 1967:5-2002:4 this paper empirically investigates the performance of a Fed funds rate reaction function (from now on, FRF) that (i) allows for the presence of switching regimes; (ii) considers the long–short term spread in addition to the typical variables; and (iii) uses an alternative monthly indicator of general economic activity suggested by Stock and Watson (J Monet Econ 44:293–335, 1999). The estimation results show the existence of three switching regimes, two characterized by low volatility and the third by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the rate of inflation and the economic activity index depends on the regime. The estimation results also show robust empirical evidence that the importance of the term spread in the FRF has increased over the sample period and the FRF was more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period.      

Demand Shocks and Trade Balance Dynamics

This paper studies the trade balance dynamics in the G-7 countries plus Spain. We estimate a SVAR model to identify three different shocks: real supply shocks, real demand disturbances and nominal shocks. A microfounded stochastic open-economy model is built to derive the long-term identification restrictions. Estimates show that real demand shocks explain most of the variability of trade imbalances, whereas, contrary to previous findings, nominal shocks play a very limited role. These results are consistent with the predictions of a widely set of open-economy models and illustrate that demand policies are the main responsible of trade imbalances.     

What Do Farmers Want From Agri‐Environmental Scheme Design? A Choice Experiment Approach

Agri‐environmental schemes (AES) have had a limited effect on European agriculture due to farmers’ reluctance to participate. Information on how farmers react when AES characteristics are modified can be an important input to the design of such policies. This article investigates farmers’ preferences for different design options in a specific AES aimed at encouraging nitrogen fixing crops in marginal dry‐land areas in Spain. We use a choice experiment survey conducted in two regions (Aragón and Andalusia). The analysis employs an error component random parameter logit model allowing for preference heterogeneity and correlation amongst the non‐status quo alternatives. Farmers show a strong preference for maintaining their current management strategies; however, significant savings in cost or increased participation can be obtained by modifying some AES attributes.     

A comparison between the log-linear and the parameterized expectations methods

This paper compares the performance of a log-linear method and a parameterized expectations method in solving a dynamic general equilibrium endogenous growth model with human capital. Quantitative evaluation based on second moment statistics shows that the results provided by the two numerical methods are very similar in this framework whenever the propagation mechanism of technology shocks is weak. However, the cross correlations of some relevant variables in the RBC literature obtained from the two methods are significantly different when the model exhibits a strong propagation mechanism. The parameterized expectations method captures the sensitiviness of second moment statistics to the curvature of the utility function while the log-linear method does not.