The Spanish Review of Financial Economics最新文献

In this article we present a theoretical review of the existing literature on Value at Risk (VaR) specifically focussing on the development of new approaches for its estimation. We effect a deep analysis of the State of the Art, from standard approaches for measuring VaR to the more evolved, while highlighting their relative strengths and weaknesses. We will also review the backtesting procedures used to evaluate VaR approach performance. From a practical perspective, empirical literature shows that approaches based on the Extreme Value Theory and the Filtered Historical Simulation are the best methods for forecasting VaR. The Parametric method under skewed and fat-tail distributions also provides promising results especially when the assumption that standardised returns are independent and identically distributed is set aside and when time variations are considered in conditional high-order moments. Lastly, it appears that some asymmetric extensions of the CaViaR method provide results that are also promising.

The empirical tests of traditional structural models of credit risk tend to indicate that such models have been unsuccessful in the modeling of credit spreads. To address these negative findings some authors introduce single-factor stochastic volatility specifications and/or jumps.

In the yield curve literature it is widely accepted that one-factor is not sufficient to capture the time variation and cross-sectional variation in the term structure. This article introduces a two-factor stochastic volatility specification within the structural model of credit risk. One of the factors determines the correlation between short-term firms’ assets returns and variance, whereas the other factor determines the correlation between long-term returns and variance. The numerical tests reveal how the introduction of two volatility factors can generate a wide range of combinations associated with short-term and long-term patters corresponding to credit spreads. In this sense, multi-factor stochastic volatility specifications provide more flexibility than single-factor models to capture a wide range of shapes associated with the term structure of credit spreads consistent with the empirical evidence.

The economic recession in the European countries during the current financial crisis and the widespread worsening of the financial situation have resulted in wide macroeconomic differences across countries. In this paper we use the method of self-organizing maps (SOM) to compare the macroeconomic financial imbalances among European countries. We detect different profiles of countries and identify the public expenditure and the saving rate as the most critical variables that impacts on the national financial situation. In addition, since several countries of the European Union have regions with some degree of economic and financial competences, we study the influence of the regions on the whole country. Thus, we classify and compare the Spanish and German regions and we prove the impact of the regional situation on the whole country situation.

This paper presents the analysis of the monthly portfolio holdings and daily returns of a large sample of Spanish domestic equity funds to test the potential manipulation of portfolios in mandatory reports. The comparison between the return of the fund portfolio holdings and the observed fund return reveals that only a low percentage of filings may be classified as window-dressed portfolios. These portfolios are dispersed across funds and fund managers, but they are clustered over three specific quarters that coincide with bear market months. The results seem to indicate that although window dressing is not a widespread practice in the Spanish market, there is evidence to suggest that mutual funds employ this trading strategy as a response to poor past performance.

The growth in the interest rates paid on Spanish public debt since 2008 and the impairment of the interbank market have generated concerns about their effects on competition for bank deposits in Spain. I combine a nested logit model of bank deposit supply with a structural model of competition to measure the impact of the reference interest rates on public debt and interbank markets on the returns on deposits and funding policy of Spanish banks during 2003–2010. The interbank rate is found to be more closely correlated with the return on deposits than the interest rate on public debt, but the connection between interbank rates and deposit returns is significantly weaker in the crisis period 2008–2010. Counterfactual analysis shows an important effect of the interbank rate and investment opportunities in public debt on deposit rates and bank profits, and that observed deposit rates are on average 115 bp above collusive levels.

To my knowledge, this is the first paper that investigates the links between trust, the institutional setting (in terms of employment protection legislation (EPL) and investor rights) and studies the impact of all three on economic performance. In line with the previous literature (e.g. Knack and Keefer, 1997, Zak and Knack, 2001), we find that trust has a positive impact on GDP per capita growth. Our novel results are twofold. First, we find that EPL and investor rights have a negative relationship and that both (although the latter to a lesser extent) are substitutes for trust. Second, all three variables have a positive effect on economic growth.

This paper analyzes the influence of banking crises on bank market power across a sample of 64 countries and 66 episodes of banking crises during the 1989–2007 period. We provide evidence from country- and bank-level data supporting that, after a systemic banking crisis, there is an increased level of bank market power consistent with higher levels of bank market concentration. Moreover, the higher the severity of the banking crisis the higher the increase in bank market power. However, whereas institutional quality fosters the positive impact of banking crises on market power, stricter regulation on banking activities and on new entries into the bank market seems to reduce the effect of the crisis on market power.

This paper examines the mean-reversion property and volatility features of stochastic convenience yields for CO₂ emissions allowances by using ADF, ECM-GARCH and ECM-TGARCH models. Empirical results show that the convenience yields for CO₂ emissions allowances exhibit time-varying trends when different maturities are considered, and that convenience yields exhibit a linear mean-reverting process. We also find that the volatility of convenience yields exhibits a mean-reversion process and asymmetric leverage effect using ECM-GARCH (1,1) and ECM-TARCH (1,1) models. Unfavorable market information has a higher impact on this volatility than favorable market information, and unfavorable market information has a lower effect on the long-term volatility of convenience yields.

This paper analyzes the conflict of interest that exists when a financial institution issues and places a financial asset with credit risk among retail investors. Four regulatory measures are presented and analyzed in order to improve retail investors protection. Theoretically, it is shown that two of these measures, setting a price cap to the issue and an adequate enforcement could implement a first best social optimum.

This paper re-examines the relationship among different firms using a combination of multivariate GARCH models (symmetric and asymmetric with structural changes) and the IBEX 35, IBEX MEDIUM CAP, and IBEX SMALL CAP indexes as the benchmarks to track the performance of large, medium and small firms, respectively. Our findings show the existence of a significant difference in the transmission of volatility when the asymmetric behavior and structural changes are considered. After calculating the risk minimizing portfolio weights, we show that the minimum-volatility portfolio is composed of medium and small indexes with a higher weight of medium firms for a set of different scenarios.