Underground economy and aggregate fluctuations

This paper explores the role of underground economic activities as an explanation of differences in registered aggregate fluctuations. In order to do so, we introduce an underground economy sector in an otherwise standard Real Business Cycle model and calibrate it to the USA economy. We find that, at low frequencies, Europe fluctuates more than the USA, while its participation rate is smaller. The existence of underground activities rationalizes the negative relationship between participation rates and fluctuations of registered output. Our model accounts for 44.3% of the differences in aggregate fluctuations between the USA and European economies. Finally, the model generates implied sizes of the underground economy of 3.2% and 7% of the American and European output, respectively, which are in the range of those found in the empirical literature.     

Creative Destruction as Economic Pattern of Europe＇s Small-Scale Audiovisual Media Markets and Minority-Language Film Industries

The small cinematography model as well as its incorporation into creation of the European digital space emerges as a paradigm of the creative destruction phenomenon in the way that Sombart spoke about and, afterwards, Schumpeter disseminated it seven decades ago. Working from this perspective, the University of Santiago de Compostela （USC）＇ audiovisual research group has been looking for the barriers the small cinema in original version must overcome and has even tested some of its findings in different geopolitical areas such as Lusophony,     

Developmental management: Theories,methods, and applications in entrepreneurship,innovation, and sensemaking

This paper summarizes the best papers of the Global Innovation and Knowledge Academy (GIKA) conference, which took place in July 2013 in Valencia, Spain. The Journal of Business Research has published a special issue entitled “Developmental management: Theories, methods, and applications in entrepreneurship, innovation, and sensemaking”. All of them went through many rounds of double-blind reviews and revisions. Theories, methods, and applications are the three pillars to solve the issues in entrepreneurship, innovation, and sensemaking. Entrepreneurship contributes to the quality and future hopes of a sector, economy or even a country. The role of the entrepreneurs is crucial in creating value. Innovation has become important as the global economy seeks to escape from a period of major recession. In organizations, sensemaking consists of cognitive strategies for interpreting reality. It is interesting to examine how these three issues interacting with each other. And these papers contribute to various perspectives of these interactions in different countries.     

Jobs and the Future of the US Economy: Possibilities and Limits

This paper reviews the presentations and discussions had at the conference on ??Jobs And The Future of the US Economy: Possibilities and Limits?? held at Howard University shortly after the late 2000??s financial crisis. The paper begins with the historical context in which the conference was placed and reviews the various points made by topic. The paper concludes with an outline of potential alternative eventualities facing the economy were the US not to adopt the policies presented.     

Run length analysis of Shewhart charts applied to drifting processes under an integrative SPC/EPC model

Engineering Process Controllers (EPC) are frequently based on parametrized models. If process conditions change, the parameter estimates used by the controllers may become biased, and the quality characteristics will be affected. To detect such changes it is adequate to use Statistical Process Control (SPC) methods. The run length statistic is commonly used to describe the performance of an SPC chart. This paper develops approximations for the first two moments of the run length distribution of a one-sided Shewhart chart used to detect two types of process changes in a system that is regulated by a given EPC scheme: i) changes in the level parameter; ii) changes in the drift parameter. If the drift parameter shifts, it is further assumed that the form of the drift process changes from a linear trend under white noise (the in-control drift model) into a random walk with drift model. Two different approximations for the run length moments are presented and their accuracy is numerically analyzed. Received: August 1998     

Capital mobility and international sharing of cyclical risk

This paper investigates whether the international globalization of financial markets allows for significant cross-country risk-sharing at the business cycle frequency. We find that cross-country risk-sharing is still limited and this is unlikely to be the result of financial frictions that limit state-contingent contracts. Part of the limited international risk sharing could be the consequence of frictions that de-facto reduce the short-term mobility of financial capital. But even with these frictions we find significant divergence between model predictions and the data.     

Valuation of VIX derivatives

We conduct an extensive empirical analysis of VIX derivative valuation models before, during, and after the 2008–2009 financial crisis. Since the restrictive mean-reversion and heteroskedasticity features of existing models yield large distortions during the crisis, we propose generalisations with a time-varying central tendency, jumps, and stochastic volatility, analyse their pricing performance, and implications for term structures of VIX futures and volatility “skews.” We find that a process for the log of the observed VIX combining central tendency and stochastic volatility reliably prices VIX derivatives. We also uncover a significant risk premium that shifts the long-run volatility level.     

Fiscal Consolidations and Economic Growth

The aim of this paper is to deepen the understanding of the macroeconomic consequences of fiscal consolidations. In particular, there is evidence in the literature of fiscal consolidation episodes producing (non‐Keynesian) expansionary effects in the short run. We replicate this result for a panel of OECD countries under exogeneity of the fiscal consolidation. However, we provide some evidence that output growth might affect the fiscal tightening process so that fiscal consolidations are not exogenous to economic growth. Once we allow for feedback effects from economic growth to fiscal adjustments, we find that expansionary effects disappear and recover the typical Keynesian effect of fiscal adjustments. This finding points to the need to take these short‐term negative implications into account in the design of fiscal consolidations.     

Internal and external exchange rate equilibrium in a cointegration framework. An application to the Spanish peseta

A simple cointegration methodology is used to compute the equilibrium real exchange rate for the peseta. The stock of foreign assets and the evolution of sectoral prices are considered to be the fundamentals for the real exchange rate. After testing for cointegration, we proceed to decompose the series into a permanent and a transitory component, following the method devised by Gonzalo and Granger. The permanent component of the real exchange rate corresponds to its (time-varying) equilibrium value, and the deviation of the actual real exchange rate from this equilibrium value gives an estimation of the degree of misalignment of the real exchange rate. By the end of the sample (1998:1), the peseta is estimated to be undervalued around 6%.     

Constrained Indirect Estimation

We develop generalized indirect estimation procedures that handle equality and inequality constraints on the auxiliary model parameters by extracting information from the relevant multipliers, and compare their asymptotic efficiency to maximum likelihood. We also show that, regardless of the validity of the restrictions, the asymptotic efficiency of such estimators can never decrease by explicitly considering the multipliers associated with additional equality constraints. Furthermore, we discuss the variety of effects on efficiency that can result from imposing constraints on a previously unrestricted model. As an example, we consider a stochastic volatility process estimated through a garch model with Gaussian or  t  distributed errors.