
Cecilio TamaritUniversity of Valencia | UV · Departamento de Estructura Econòmica (Economía Aplicada II)
Cecilio Tamarit
Professor.
About
131
Publications
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Introduction
Jean Monnet Chair "ad personam" in Economic Integration. Research Associate, Research Group in Economic Integration. (INTECO).
More info:http://www.uv.es/tamac
Additional affiliations
January 2001 - December 2010
Publications
Publications (131)
This paper investigates the determinants of external imbalances for a group of 26 developed and emerging countries over the period 1972–2021. In addition to traditional factors, the model incorporates the impact of external imbalances in third countries. The empirical evidence highlights the importance of accounting for parameter instabilities in m...
This paper assesses capital mobility for a panel of 15 European countries for the period 1970–2019 using dynamic common correlated effects modeling as proposed in Chudik and Pesaran (J Econ 188(2):393–420, 2015). In particular, we account for the existence of cross section dependence, slope heterogeneity, nonstationarity and endogeneity in a multif...
Este artículo analiza la sostenibilidad externa de un grupo de 23 países de la OCDE durante el periodo 1970-2020. La estrategia empírica adoptada muestra la importancia del desequilibrio acumulado como desencadenante del ajuste externo, en línea con la propuesta de Gourinchas y Rey (2007). Para ello, contrastamos la sostenibilidad externa a través...
This paper assesses capital mobility for the Eurozone countries by studying the long-run relationship between domestic investment and savings for the period 1970-2019. Our main goal is to analyze the impact of economic events on capital mobility during this period. We apply the cointegration methodology in a setting that allows us to identify endog...
The last decades have seen an increasing interest in FDI and the process of production fragmentation. This has been particularly important for Germany as the core of the European Union (EU) production hub. This paper attempts to provide a deeper understanding of the drivers of German outward FDI in the EU for the period 1996–2012 by tackling the tw...
We study the drivers governing external disequilibria through a Global VAR (GVAR) analysis applied to a group of 24 countries during the period 1972‐2017. The GVAR methodology is particularly well suited for our research question. First, it permits to measure the effects of both domestic and foreign country‐specific shocks. Second, it allows us to...
In this paper the authors analyze the potential determinants of US outward FDI stock with a particular focus on the euro effect during the period 1985–2017. To this aim, they consider a large set of candidate variables suggested both by theory and previous empirical analysis. They select the covariates using Bayesian model averaging, a data-driven...
In this paper we analyze the determinants of Japanese outward FDI stock for the period 1996-2017. This period is especially relevant as it covers a process of increasing economic globalization and two financial crises. To this aim, we consider a large set of candidate variables based on the theory as well as on previous empirical analysis. Our samp...
Recent developments in inflation and M3 velocity in the euro area have raised serious doubts about the reliability of M3 growth as a pillar of the ECB’s monetary policy strategy. We develop a very flexible and comprehensive state-space framework for modeling the velocity of circulation. Our specification allows for the estimation of different autor...
After decades of academic debate on the factors that determine FDI, the discussion still remains open. This article empirically investigates the determinants of FDI activity using Spanish regional data (NUTS 2) for the period 2004–2013. We apply the Poisson pseudo-maximum-likelihood estimator with country-origin fixed effects in a gravity framework...
In this paper, we develop a very flexible and comprehensive state-space framework for modeling time series data. Our research extends the simple canonical model usually employed in the literature, into a panel-data time-varying parameters framework, combining fixed (both common and country-specific) and varying components. Under some specific circu...
The growth of Foreign Direct Investment (FDI) in developing countries over the last decade has attracted an intense academic and policy-oriented interest for its determinants. Despite the gravity model being considered a useful tool to approximate bilateral FDI flows, the literature has seen a growing debate in relation to its econometric specifica...
A decade after the beginning of the Great Recession, flow external imbalances, measured by the current account (CA) have narrowed markedly. However, stock or net foreign assets (NFA) imbalances have kept increasing and have created challenges for future macroeconomic and financial stability. To date, early warning systems (scoreboards) have focused...
Different developments in wages and unit labor costs across countries can reduce the synchronization of business cycles within a currency area and therefore be a potential source of asymmetric shocks and/or asymmetric response to a common shock. In this paper, we use novel econometric methods to identify differences and similarities in wage determi...
Despite the importance of Germany as an issuer of foreign direct investment (FDI), the studies analyzing its determinants are far from conclusive. This research contributes to filling this gap providing new evidence for the period 1996–2012. In order to reduce model uncertainty, we adopt a Bayesian model averaging (BMA) approach. We find that deter...
In this paper we extend the test of periodic integration proposed by Boswijk and Franses (J Time Ser Anal 17:221–245, 1996) allowing for a change in the mean. We provide the asymptotic distribution and show that is the square of the distribution obtained by Perron and Vogelsang (J Bus Econ Stat 10:467–470, 1992a, J Bus Econ Stat 10:301–320, 1992b)....
Globalization and financial integration have increased in the last three decades giving rise to cumulated large external imbalances. The question we address in this paper is whether economic growth can be affected by these external imbalances. We estimate an augmented growth equation with the external stock position of the countries
measured by the...
In this paper we investigate the long-run relationship between public debt and economic growth in the Spanish economy for the period 1851–2013. We develop a cliometric analysis of the debt–growth nexus using novel time series methods. We find some support for a negative relationship between both variables, but no clear evidence of a debt threshold....
In this paper we analyse the effect that the euro has had on trade using a gravity model for 28 countries and covering the period 1990–2013. Our gravity specification includes time-varying fixed effects, correcting any possible bias that may arise from multilateral resistance variables or unobserved time-varying heterogeneity. Additionally, we expl...
This paper provides further analysis on the determinants of sovereign debt spreads for peripheral Eurozone countries since the start of EMU, paying special attention to episodes that characterized the global financial crisis aftermath starting in 2007. More specifically, the purpose of our research is to disentangle the role of fundamental variable...
The aim of this paper is to study the sustainability of public finances in the Eurozone particularly after the 2007 financial crisis. This paper goes beyond the standard analysis of the univariate properties of the fiscal variables through the estimation of a time-varying fiscal reaction function on a 11-country panel for a period spanning from 197...
This article estimates the equilibrium wage equation for the Eurozone over the period 1995–2011 using panel cointegration techniques that allow for cross-section dependence and structural breaks. As expected, the results show that wages have a positive relationship with productivity and a negative relationship with unemployment. The authors also in...
Resumen
Se estima aquí la ecuación del salario de equilibrio para la zona del euro en 1995–2011 con técnicas de cointegración de panel que permiten dependencia transversal y rupturas estructurales. Como se esperaba, los salarios presentan una relación positiva con la productividad y negativa con el desempleo. Las variables institucionales incluidas...
Résumé
Les auteurs proposent une équation de salaire d'équilibre pour la zone euro en 1995–2011 à partir de techniques de coïntégration en panel autorisant la dépendance interindividuelle et les ruptures structurelles. Comme escompté, les salaires affichent une corrélation positive avec la productivité et négative avec le chômage. L'introduction de...
In this paper, we present evidence of the long-run effect of trade openness on income per worker for two regions that have followed different liberalisation strategies, namely Asia and Latin America. A model that re-examines these questions is estimated for two panels of Asian and Latin American countries over the 1980–2008 period using a novel emp...
Monetary integration, and more specifically, the creation of a monetary union in Europe, raises new economic questions concerning its functioning and governance. In particular, we focus on the implications of high and persistent current account deficits for the economic performance of monetary union members in the medium term. Recent literature has...
This paper provides further analysis of the determinants of sovereign debt spreads for peripheral euro countries since the start of the EMU paying special attention to the episodes that followed the global financial crisis in 2007. Our aim is to de-compose sovereign spreads determinants between fundamentals and markets perceptions about present and...
In this article we unify the traditional approaches to testing for fiscal sustainability considering the stock-flow system that fiscal variables configure. Our approach encompasses previous ways of testing for sustainability. The results obtained for a group of 17 Organization for Economic Cooperation and Development (OECD) countries point to weak...
The aim of this paper is to test the fulfillment of the intertemporal budget constraint for the case of some peripheral European Monetary Union (EMU) countries: Greece, Portugal, Ireland, Italy and Spain (PIIGS), on which, and particularly after the 2007 financial crisis, hangs the shadow of "default”. To this end, we analyze firstly the univariate...
This paper analyzes the external solvency of a group of 23 OECD countries for the period 1970-2012. The empirical strategy adopted underlines the increasing importance of the financial channel for the external adjustment as proposed in Gourinchas and Rey (2007). We unify the traditional approaches to testing for external sustainability considering...
In this paper, we present evidence of the long‐run effect of the euro on trade for the twelve initial EMU countries for the period 1967–2008 from a double perspective. First, we pool all the bilateral combinations of trade flows among the EMU countries in a panel cointegration gravity specification. Second, we estimate a gravity equation for each o...
Eco-efficiency refers to the ability to produce more goods and services with less impact on the environment and less consumption of natural resources. This issue has become a matter of concern that is receiving increasing attention from politicians, scientists and researchers. Furthermore, greenhouse gases emitted as a result of production processe...
This paper assesses the convergence in eco-efficiency of a group of 22 OECD countries over the period 1980–2008. In doing so, three air pollutants representing the impact on the environment of economic activities are considered, namely, carbon dioxide (
${\text{ CO}}_{2}$
), nitrogen oxides (
${\text{ NO}}_\mathrm{X}$
) and sulphur oxides (
${\t...
This paper studies convergence in CO2emission intensity (CO2 emissions over GDP) among OECD countries over the period 1960-2008 based on its determinants, namely, energy intensity (energy consumption over GDP) and the so-called carbonisation index (CO2 emissions over energy consumption). We apply the Phillips and Sul (2007) methodology, which tests...
We analyze imbalances in external accounts that have historically affected most developed countries. The purpose of this study was to shed some light on the sustainability of the current account for a group of OECD countries by merging the popular Husted (Rev Econ Stat 74(1):159–166, 1992) testing procedure with recent econometric analysis dealing...
This paper is concerned with the issue of food security, placing special emphasis on the current situation of Arab and African countries. The main conceptual aspects of food security are briefly reviewed, pointing to the shift from a former focus on food energy availability to a more comprehensive appraisal of this phenomenon in recent times. The m...
In this paper we model the long-run relationship between per capita CO2 and per capita income for the Spanish economy over the period 1857-2007. According to the Environmental Kuznets Curve (ECK) the relationship between the two variables has an inverted-U shape. However, previous studies for the Spanish economy only considered the existence of lin...
The information content of the environmental Kuznets curve (EKC) is subject to change over time and all the empirical modeling work that does not take into account the possible variations and instabilities may fail to explain the variations in the per-capita CO2 and per-capita income relationship. In this paper we consider the possibility that a li...
In this article we present evidence of the long-run effect of the euro on exports for the twelve initial EMU countries for the period 1967-2008 from a double perspective. First, we pool all the bilateral combinations of export flows among the EMU countries in a panel cointegration gravity specification. Second, we estimate a gravity equation for ea...
According to the theory of wage leadership, if there is free inter-sectoral labor mobility, changes in the level of the wage in the leading sector cause changes in the same direction in other sectors' wage. Moreover, since the traded sector (i.e. Industry) is affected by international competitive pressure, it should act as the leader, because this...
En los últimos años, la literatura económica ha mostrado un creciente interés por analizar las diferencias entre hombres y mujeres en la toma de decisiones económicas. Estas diferencias de género en el comportamiento tienen importantes implicaciones económicas tanto en el ámbito del consumo, como en el de la inversión y del mercado laboral. En este...
In this paper we consider the possibility that a linear cointegrated regression model with multiples structural changes would provide a better empirical description of the Spanish environmental Kuznets curve during the period 1857-2007. Our methodology is based on instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as th...
In this paper we present new evidence on the effect of the Euro on trade. We use a data set containing all bilateral combinations in a panel of 26 countries covering the period 1967-2008. We estimate the equation using two sets of variables: a standard one and a second one built according to the criticisms stated by Baldwin and Taglioni (2006). We...
This paper tests for real interest rate parity (RIRP) among the 17 major Organisation for Economic Cooperation and Development countries over the period 1978:Q1–2006:Q1. The econometric methods applied consist of combining the use of panel data tests that are valid under cross-section dependence and the presence of multiple structural breaks. This...
A monetary union raises new economic questions about the interpretation and the impli-cations of high current account de…cits for the economic performance of its members in the medium term. Recent literature has argued that conventional measures of external sustain-ability are misleading because they omit capital variations on net foreign asset pos...
This article analyzes the long-run relationships linking long- and short-run interest rates for the Euro-wide aggregated variables. To this end, we extend the set of variables traditionally involved in the Campbell and Shiller (1987) framework for the term structure to add external macro variables (the exchange rate, U.S. inflation, and U.S. short-...
In this paper we test for real interest parity (RIRP) among the 19 major OECD countries over the period 1978:Q1-2006:Q1 using both short- and long-run definitions of interest rates. Once the independence hypothesis is rejected among these series, we test for RIRP using panel data unit root and stationarity tests based on common factor models that a...
In this paper, we test for convergence in the environmental performance of a sample of OECD countries, with data ranging from 1971 to 2002. First, we use Data Envelopment Analysis (DEA) to compute two environmental performance indicators (EPIs) in the production theory framework. Second, we propose the use of a sequential multivariate approach to t...
This paper tries to ascertain whether the expectations hypothesis of the term structure of interest rates was fulfilled for the EMU countries in the period previous to its launching. To this end, we employ individual country data for the Euro area. Using pooled and panel cointegration techniques we conclude that there is an equilibrium relationship...
This paper tests for real interest parity (RIRP) among the seventeen major OECD countries over the period 1978:Q1-2006:Q1. The econometric methods ap-plied consist of combining the use of panel data tests that are valid under cross-section dependence and presence of multiple structural breaks. This feature is im-portant since the misspeci…cation er...
The authors test hysteresis versus the natural rate hypothesis in unemployment using panel data for transition countries covering the period 1991:1-2003:11. The advantages of the stationarity tests applied is that they exploit the cross-section variations of the series and, additionally, allow for a different number of endogenous breakpoints in the...
Canvis estructurals, Contrastos d'integració de dades de panell, Dependència entre individus, Integració econòmica, Paritat del tipus d'interès real
This paper tests hysteresis effects in unemployment using panel data for 19 Organization for Economic Co-operation and Development (OECD) countries covering the period 1956–2001. The tests exploit the cross-sectional variations of the series, and additionally, allow for a different number of endogenous breakpoints in the unemployment series. The cr...
This study uses NAIRU short-term measures obtained using univariate methods as a basis to analyse inflation developments in the eight Central and Eastern European Countries (CEECs) that joined the European Union in 2004 during the transition process. The results point to the role of short-term NAIRU as an attractor and support a shifting natural ra...
This paper investigates cross-country productivity convergence among Mercosur members plus associates (Chile and Bolivia) and Peru, during the period 1960–1999. The testing strategy is based on the definitions of time series convergence by Bernard and Durlauf (1995) [Bernard, A. B., & Durlauf, S. N. (1995). Interpreting tests of convergence hypothe...
In this paper we test for hysteresis effects versus the natural rate hypothesis on unemployment rates of new members in the European Union (EU) using unit root tests that account for the presence of level shifts. In addition, we estimate the non-accelerating inflation rate of unemployment (NAIRU) from a univariate perspective. The precision of thes...
In this paper we test for the hysteresis versus the natural rate hypothesis on the unemployment rates of the EU new members using unit root tests that account for the presence of level shifts. As a by product, the analysis proceeds to the estimation of a NAIRU measure from a univariate point of view. The paper also focuses on the precision of these...
Discussions of the different theoretical and empirical paradigms for setting and predicting exchange rates.
Recent theoretical developments in exchange rate economics have led to important new insights into the functioning of the foreign exchange market. The simple models of the 1970s, which could not withstand empirical evaluation, have been succe...
This paper tries to ascertain whether the term structure of interest rates is a useful instrument for the European Central Bank (ECB). To this end, we employ individual country data for the Euro area. Using pooled and panel cointegration techniques we conclude that there is an equilibrium relationship linking the long and the short-run interest rat...
This paper analyzes the inflation change equation for the Euro-area using aggregate data. The results give support to the use of the term structure as an information variable by the European Central Bank. Classification J.E.L.: C32, E43, E52.
The paper tests hysteresis effects in unemployment using panel data for 19 OECD countries. We apply a sequential procedure based in two multivariate augmented Dickey-Fuller test (ADF)-type panel unit root tests in a SURE framework. We strongly reject the joint null of hysteresis and find that only seven countries present evidence of hysteresis.
In this paper we estimate the demand for exports and imports of manufactured goods for a panel containing the majority of
the EU countries as well as the United States and Japan. The model includes as explanatory factors both the traditional determinants
of trade and also the stock of foreign direct investment (FDI). We apply panel unit root and co...
While conventional farming systems face serious problems of sustainability, organic agriculture is seen as a more environmentally friendly system as it favours renewable resources, recycles nutrients, uses the environment’s own systems for controlling pests and diseases, sustains ecosystems, protects soils, and reduces pollution. At the same time o...
In this paper we examine the joint performance of FDI and trade under a full liberalization process consistent with New Trade Theory models. The testing framework consists of the estimation of demand for exports and imports of manufactured goods for a panel containing the majority of the EU countries as well as the US and Japan. The model includes...
This paper tries to review, from a practitioner's point of view, the recent strand of literature on cointegration tests allowing for structural changes or parameter instability. Thus, we apply several tests using as an example the expectations model of the term structure of interest rates. The results are consistent with the existence of cointegrat...
This paper tries to find, using panel cointegration techniques, the factors explaining the real exchange rate of the Spanish peseta following the monetary approach to exchange rate determination developed in Meese and Rogoff (1988). In addition to the real interest rate differential, the real oil price (adjusted accounting for the relative oil depe...
This paper tries to find, using panel cointegration techniques, the factors explaining the real exchange rate of the Spanish peseta following the monetary approach to exchange rate determination developed in Meese and Rogoff (1988). In addition to the real interest rate differential, the real oil price (adjusted accounting for the relative oil depe...
In this paper the linkages existing between the interest rates within the European Union countries are assessed, to discover if the Exchange Rate Mechanism has led to a converging process. This hypothesis is tested using the uncovered interest rate parity relative to the Maastricht Treaty's interest rate criterion. The obtained results allow classi...
This paper analyses the monetary policy channels in Spain using a cointegrated structural VAR approach which explicitly accounts for endogenous policy reactions in a small open economy. Evidence is found of one cointegrating relation which is identified as a long-run money demand function. In addition, stability tests are applied to this relationsh...
In this paper we have applied two different but complementary techniques and approaches to the study of the evolution of the dollar real exchange rate in relation with the Euro-area currencies. First, using the panel cointegration methodology for both homogeneous and heterogeneous panels, we study the long-run relationship between the bilateral rea...
In this paper we estimate different specifications of a model for the determination of the bilateral real exchange rate of the peseta relative to nine European Union members. The model is based on Meese and Rogoff (1988) monetary approach as extended by MacDonald (1998). The applied econometric techniques are the recent panel cointegration tests de...
In this paper we have applied two approaches to the study of the dollar real exchange rate in relation with the Euro-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus seven developed countries, four of them Euro-area members. Second, we aggregate the European varia...
Exxon Mobil and ConocoPhillips stock price has been predicted using the difference between core and headline CPI in the United States. Linear trends in the CPI difference allow accurate prediction of the prices at a five to ten-year horizon.