Demian Macedo

University of the Balearic Islands | UIB · Department of Business Economics

We examine how the composition of residential energy consumption and its sensitivity with respect to income changes. The paper characterizes the energy transition, analyzing the behavior of income elasticity of energy demand along the economic development stages by fuel types. The results indicate a nonlinear relationship between income and domesti...

Banks may be reluctant to remove bad loans from their portfolios during liquidity shortfalls, giving rise to a moral hazard problem. In this paper, we analyze how liquidity shortages affect the ability of the interbank market to provide liquidity in a moral hazard setting. We distinguish two types of liquidity shocks that arise due to a deposit fli...

In this paper we perform density prediction for the equity returns in a non-linear manner by employing a copula-based approach. The use of asymmetric copulas allows to model asymmetric predictive densities and non-linear dependencies between equity returns and some predictor variable. In our proposed approach, the copula parameter and the marginals...

This paper revisits the relationship between private participation, regulatory governance and the performance of the electricity sector in 18 Latin American countries over the last five decades. Private investment flows have been consistent overtime, $, providing around 55 % of total electricity investment in the region. We examine the nature, and...

En este trabajo analizamos la capacidad de los requerimientos mínimos de capital para restaurar la provisión de liquidez en el mercado interbancario bajo un contexto de riesgo moral. En particular, estudiamos la efectividad de este tipo de regulación cuando las necesidades de liquidez pueden ser originadas por un shock de depósitos -contracción en...

Banks may be reluctant to remove bad loans from their portfolio during liquidity shortfalls, giving rise to a moral hazard problem in the interbank market. This paper develops a model to analyze how liquidity shortfalls can affect the ability of the interbank market to provide liquidity in a moral hazard setting. We distinguish two types of liquidi...

En este trabajo se buscará analizar, desde la perspectiva de teoría de los juegos, las interrelaciones que se generan entre los agentes del sistema financiero ante una situación de riesgo sistémico generado por un banco que se encuentra atravesando un proceso de insolvencia. Para ello, el modelo que se propone cuenta con tres actores: un banco en d...

This paper performs a general GARCH and GAS analysis for modelling and forecasting bitcoin returns and risk. Since Bitcoin trading exhibits excess volatility compared with other securities, it is important to model its risk and returns. We consider heavy-tailed GARCH models as well as GAS models based on the score function of the predictive conditi...

In this paper, we analyze the relationships between the agents in the financial system facing situations of systematic risk generated by a bank that has insolvency problems. We suppose that exist three agents and take part of the next scenery; there is a bank that is about to broke, a big bank with possibilities of acquisition or fusion and the cen...