Alfredo Garcia-Hiernaux

Complutense University of Madrid | UCM · Departamento de Fundamentos del Análisis Económico II (Economía Cuantitativa)

We develop a theoretical framework that explains banks’ credit allocation decisions to either households seeking funding to acquire real estate assets or companies aiming to fund capital for the consumer goods production. We show that, under high lending capacity environments, the interaction between the credit market, the real estate market and th...

We compare the nowcasting and forecasting performance of different variants of MIDAS models (ADL-MIDAS, TF-MIDAS and U-MIDAS) when predicting the GDP growth of the four largest Euro Area economies between 2011Q4 and 2020Q3. We consider various high-frequency indicators, horizons and sub-periods, each of the latter with a distinct level of uncertain...

We propose a new method to specify linear models for vectors of time series with some convenient properties. First, it provides a unified modeling approach for single and multiple time series, as the same decisions are required in both cases. Second, it is scalable, meaning that it provides a quick preliminary model, which can be refined in subsequ...

Purpose The purpose of this paper is to estimate the impact of the 2008 and 2020 economic crises on employment in Spain. Design/methodology/approach The authors perform a counterfactual analysis, combining intervention (interrupted time series) analysis and conditional forecasting to estimate a “crisis-free” scenario. These counterfactual estimate...

This paper uses time series of job search queries from Google Trends to predict the unemployment in Spain. Within this framework, we study the effect of the so-called digital divide, by age and gender, from the predictions obtained with the Google Trends tool. Regarding males, our results evidence a digital divide effect in favor of the youngest un...

This paper provides a new, unified, and flexible framework to measure and characterize a convergence process in time series. We formally define a general notion of price convergence, which encompasses convergence as steady-state and catching-up, and propose a model to represent a wide range of transition paths. Our framework enables the measurement...

This volume reflects the increasing interest on the Early Globalization among historians and economic historians. By the term early globalization we refer to the centuries-long process that multiplied interactions of many types—e.g., biological, demographic, cultural, technological, economic, religious and political—between all the most populated p...

This chapter intends to test the hypothesis that silver production in New Spain/Mexico (before and after 1821, respectively) had a significant influence on the evolution of prices across the whole world. Silver played a protagonist role in a bimetallic international monetary system and circulated across the global economy of the eighteenth and nine...

This paper presents a method to improve the one-step-ahead forecasts of the Spanish unemployment monthly series. To do so, we use numerous potential explanatory variables extracted from searches in Google (Google Trends tool). Two different dimension reduction techniques are implemented (PCA and Forward Stepwise Selection) to decide how to combine...

This paper tackles the mixed-frequency modelling problem from a new perspective. Instead of drawing upon the common distributed lag polynomial model, we use a transfer function representation to develop a new type of models, named TF-MIDAS. We derive the theoretical TF-MIDAS implied by the high-frequency VARMA family models for two common aggregati...

This book presents an unusual view on one of the most influential periods in world economic history: the Early Globalization. By this term, the notion that a process of genuine globalization took place in the Early Modern Era is defended. The authors propose that the canonical globalization—that of the nineteenth and early twentieth centuries—was p...

Kelly staking has been proven to maximize long-term bankroll growth of bettors with positive expected yield (profitable bettors). However, it demands for an estimation of the true probabilities for each event. Thus, many sport tipsters opt for simpler flat ( unit-loss) or unit-win staking plans. We analyze under which assumptions these strategies c...

This article presents new evidence and analysis on age heaping—a proxy for numeracy and therefore for human capital—in New Spain during the Enlightenment. Human capital plays an important role in economic growth and welfare. It is also one of the dimensions of inequality. Our results are at odds with many of the usual assumptions on which most Mexi...

Using new information obtained in a thorough research in the Archive of Public Notaries in Mexico City, we explore the main financial market of New Spain/Mexico. With improved series of silver production and outflow, we try to determine whether silver production had any influence on the level of interest rates. We also try to compare the situation...

Anthropometric literature on the American territories of the Hispanic monarchy before their independence is still scarce. We attempt to expand the field with a case study that includes some important novelties. Albeit our main source, the military records of the Censo de Revillagigedo (conducted in the early 1790s), has already been used, the sampl...

This paper analyzes the market integration process of nominal prices, develops a model to analyze market integration, and presents a test of increasing market integration. A distinction is made between the economic concepts of price convergence in mean and variance. When both types of convergence occur, prices are said to converge in distribution....

This paper addresses two important topics in recent economic historiography: globalization and the great divergence. We first present a search for statistical evidence in the Far East of an “Early Globalization” comparable to the one ongoing in the West since the mid-eighteenth century. Moreover, we analyze the extent of the integration of rice mar...

The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and their asymptotic distributions are derived under the null hypothesis. The procedures are devised to deal with univariate and multivariate processes, are flexible and able to separately check regular and seasonal correlations....

Espasa and Mayo-Burgos (2013) provide consistent forecasts for an aggregate economic indicator and its basic components as well as for useful sub-aggregates. To do this, they develop a procedure based on single-equation models that includes the restrictions arisen from the fact that some components share common features. The classification by commo...

This paper extends our previous work on grain market integration across Europe and the Americas in the eighteenth and nineteenth centuries (Dobado, Garcia-Hiernaux and Guerrero, 2012). By using the same econometric methodology, we now present: 1) a search for statistical evidence in the East of an “Early Globalization” comparable to the one ongoing...

a b s t r a c t Espasa and Mayo provide consistent forecasts for an aggregate economic indicator and its basic components as well as for useful sub-aggregates. To do so, they develop a procedure based on single-equation models that includes the restrictions arisen from the fact that some components share common features. The classification by commo...

A seller sets up an advertising policy so as to maximize a flow of discounted utility over time in a scenario characterized by two essential issues. First, the seller is ignorant from the outset of the prospective customers' willingness to buy and runs a Bayesian learning process in parallel to the advertising policy. Second, the room for the selle...

Globalization, if defined as the integration of international commodity markets, started in the eighteenth century and progressed gradually and with some setbacks into the nineteenth century, instead of suddenly appearing at some point after the 1820s. We use grain prices in Europe and the Americas to determine the extent and dynamics of market int...

Fixed coecients State-Space and VARMAX models are equivalent, mea- ning that they are able to represent the same linear dynamics, being indis- tinguishable in terms of overall t. However, each representation can be specically adequate for certain uses, so it is relevant to be able to choose between them. To this end, we propose two algorithms to go...

This paper provides a new, unified, and flexible framework to measure and characterize a convergence process. Specifically, we formally define the notion of asymptotic price convergence and propose a model to represent a wide range of transition paths that converge to a common steady-state. Our framework enables the econometric measurement of such...

This paper discusses how to determine the order of a state-space model. To do so, we start by revising existing approaches and find in them three basic shortcomings: i) some of them have a poor performance in short samples, ii) most of them are not robust and iii) none of them can accommodate seasonality. We tackle the first two issues by proposing...

We propose a fast and consistent procedure to detect unit roots based on subspace methods. It has three distinctive features. First, the same method can be applied to single or multiple time series. Second, it employs a flexible family of information criteria, whose loss functions can be adapted to the statistical properties of the data. Last, it d...

En este artículo se presentan y analizan los índices del costo de la vida de tres ciudades españolas, Palencia, Madrid y Sevilla, que cubren el periodo 1680-1800. Las contabilidades de diversos hospitales, colegios e instituciones benéficas han constituido la fuente principal para la elaboración de los referidos índices. En las tres urbes objeto de...

We propose two new, fast and stable methods to estimate time-series models written in their equivalent state-space form. They are useful both to obtain adequate initial conditions for a maximum likelihood iteration and to provide final estimates when maximum likelihood is considered inadequate or computationally expensive. The state-space foundatio...

This paper explores empirically the link between stocks returns Value-at-Risk (VaR) and the state of financial markets cycle. The econometric analysis is based on a simple vector autoregression setup. Using quarterly data from 1970Q4 to 2008Q4 for France, Germany and the United-Kingdom, it turns out that the k-year VaR of equities is actually depen...

We propose a new procedure to detect unit roots based on subspace me- thods. It has three main original aspects. First, the same method can be applied to single or multiple time series. Second, it uses a flexible family of information criteria, which loss functions can be adapted to the statistical properties of the data. Last, it does not require...

"Proponemos un nuevo procedimiento para detectar raíces unitarias basado en métodos de subespacios. Su planteamiento comporta tres aspectos fundamentales. Primero, la misma metodología se puede aplicar a series individuales o a vectores de series temporales. Segundo, utiliza una familia flexible de criterios de información, cuyas funciones de pérdi...

The purpose of this paper is to estimate the money demand function of Cagan (1956) using a panel data set covering 27 countries with different economic levels over the period 1988-98. The static fixed effects and the dynamic fixed effects reveal that a money demand equation exists. However, in contrast to the theory proposed by Cagan, estimates of...

Esta tesis trata los problemas más habituales en la identificación de series temporales económicas. Siguiendo a Casals ["Métodos de Subespacios en Econometría", Tesis doctoral, Universidad Complutense de Madrid, 1997], afrontamos estas cuestiones desde un punto de vista original, ya que partimos de los llamados métodos de subespacios. Estos procedi...

We propose two fast, stable and consistent methods to estimate time series models expressed in their equivalent state-space form. They are useful both, to obtain adequate initial conditions for a maximum-likelihood iteration, or to provide final estimates when maximum-likelihood is considered inadequate or costly. The state-space foundation of thes...

This paper calculates indices of central bank autonomy (CBA) for 163 central banks as of end-2003, and comparable indices for a subgroup of 68 central banks as of the end of the 1980s. The results confirm strong improvements in both economic and political CBA over the past couple of decades, although more progress is needed to boost political auton...

We propose a new procedure to detect unit roots based on subspace methods. It has three main original features. First, the same method can be applied to single or multiple time series. Second, it employs a flexible family of information criteria, which loss functions can be adapted to the statistical properties of the data. Last, it does not requir...

El proposito de este articulo es explicar la ganancia en unidades monetarias por hora trabajada en funcion de las caracteristicas de los individuos. Utilizando una encuesta del Instituto Nacional de Estadistica del año 1995, y un modelo probit multinomial ordenado estimamos la probabilidad que cada caracteristica ejerce sobre la ganancia por hora....

En este trabajo se estudia la relación existente entre la prima de riesgo y la volatilidad diarias en el Índice General de la Bolsa de Madrid desde Octubre de 1990 hasta Noviembre de 2001. En una primera parte se construye la serie prima de riesgo diaria, con la que se trabaja, y se realizan una serie de contrastes que ponen de manifiesto la posibl...

A new procedure to predict with subspace methods is presented in this paper. It is based on combining multiple forecasts obtained from setting a range of values for a speci c parameter that is typically xed by the user in the subspace methods literature. An algorithm to compute these predictions and to obtain a suitable number of combinations is pr...