Jorge V. Pérez-Rodríguez

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• Ph.D in Economics
• Professor (Full) at University of Las Palmas de Gran Canaria

This paper analyses, in a two-step procedure, the productivity growth of 69 Spanish wineries (period 1998-2022) which offer tourism activities at their installations. To do so, we firstly calculate the total factor productivity (TFP) change using a directional distance function (DDF) and the Luenberger-Hicks-Moorsteen (LHM) TFP indicator introduced...

This paper investigates the inefficiencies of inputs in the hotel industry. To do this, we apply the weighted Russell directional distance model (Barros et al., 2012; Chen et al., 2014) considering an input-oriented approach. This model allows to obtain not only aggregate inefficiency measures, but also their components. In a second stage, we analy...

In this paper, we analyse the long-run equilibrium demand of the peer-to-peer sharing economy. Our panel data demand model relates occupancy rates to relative prices of Airbnb and HomeAway listings, prices of competitors (hotels and apartments) and a proxy for income of tourists visiting the Canary Islands (Spain). We use a fractional heterogeneous...

This paper examines whether short-term rental listings in the sharing accommodation market take account of market risk in their pricing. To do so, we estimate time-varying market risks, and forecast price changes using daily supply-price time series. The empirical analysis was conducted using daily data for the Canary Islands sharing accommodation...

This paper analyses the determinants of tourist length of stay in sharing accommodation. Methodologically, the paper proposes a new approach to account for the observed bimodality of length of stay. More specifically, the determinants of length of stay are analyzed by modeling both the conditional mean and conditional modal frequencies, which repre...

This paper analyses whether peer-to-peer (P2P) accommodation substitutes traditional accommodation, taking into account dynamic and spatial spillover effects. We also analyse the impact of the COVID-19 pandemic crisis on the demand and substitution effect. To do this, we use a spatial dynamic panel data demand model for occupancy rates related to p...

This paper analyses the effect of the different levels of hosts’ professionalism (single and multi-unit host) and accommodation types on the time-varying technical efficiency of P2P accommodation. To do this, we employ a panel data stochastic frontier model which disentangles time-varying efficiency from unobserved heterogeneity. We use a database...

In this paper, we use several indicators of trade informativeness to search for informed traders on the final trading days of Banco Popular, the first and only bank resolution case to date in the euro area. In particular, we use the model proposed by Preve and Tse (2013) to estimate the adjusted daily probability of informed trading and the probabi...

Faced with the need to adjust public pension systems to meet changing demographic, economic and social conditions, most developed countries have created government reserve funds to ensure macroeconomic sustainability. This paper aims to study the importance that this reserve fund plays in the sustainability of the Spanish public pension system. Usi...

This study was conducted to analyse the influence of technological differences on hotel efficiency in the Canary Islands (Spain), with particular regard to the heterogeneity observed in hotel ownership and size. A metafrontier approach, based on non-parametric deterministic efficiency methods (data envelopment analysis and free-disposal hull) and r...

The AIM of this study is to examine and evaluate differences in expenditure and length of stay between tourists who use low-cost carriers and those who travel with full service providers. We consider the statistical dependence between these variables and propose a bivariate distribution that describes tourist expenditure (continuous variable) and l...

This paper analyses the effects of AirBnb on the size of local tourism markets using AirBnb occupancy rates and hotel overnight stays in order to explore the causal relationship in several Spanish cities. A dynamic panel data model is applied at the city level (2014–2017). Our findings show a positive relationship between the increase in the number...

The aim of this study is to determine the presence or otherwise of transient and/or persistent cost inefficiency in the lodging industry. To do so, we applied the method proposed by Filippini and Greene, within a stochastic frontier panel data framework. Our empirical analysis is based on data for the hotel industry in the Canary Islands (Spain), a...

This paper analyses the unbiasedness hypothesis between spot and forward volatility, using both the actual and the continuous path of realised volatility, and focusing on long-memory properties. For this purpose, we use daily realised volatility with jumps for the USD/EUR exchange rate negotiated in the FX market and employ fractional integration a...

In this article, we analyse whether tourism promotes economic growth using a general dynamic panel data model that incorporates individual and interactive fixed effects and allows for contemporaneous correlation in model innovations. The empirical study is based on quarterly series of GDP and tourist arrivals for 14 European countries covering the...

Many regions and countries seek to develop their tourism industry as a strategy for economic growth. A growing body of research supports the hypothesis of tourism-led growth. This paper contributes to the existing literature in two ways. First, it proposes a new mechanism for sustained tourism-led growth, emphasising the crucial importance of the m...

This paper analyses the relationship between performance assessment methods used by banks to evaluate their branches and the corresponding time‐varying cost efficiency. To do this, we employ a panel data framework and consider bank branches' latent heterogeneity, which might arise from unobserved non‐systematic management problems. Our analysis is...

In this paper, we use a specification of the standardized duration to test unobserved heterogeneity in a nonlinear version based on a self-exciting threshold autoregressive conditional duration model. We illustrate the relevance of this procedure for identifying the presence of heterogeneous agents in the final days of trading of Banco Popular, the...

In this article, tourists’ choice of the number of stays (length of stay, a discrete variable) and daily expenditure (a continuous variable) is modelled relaxing the linearity assumption and employing a structural form. A bivariate copula distribution, specified in terms of the marginal distributions of daily tourist expenditure and length of stay,...

This paper analyses risk-integration and the degree of dependence between the Values-at-Risk (VaRs) estimates for the two major pharmaceutical stock markets in the world: USA and China. To do this, we study the dependence and fractional cointegration properties among risks. Using daily returns for an eleven-year period, we estimated the VaRs obtain...

Traditionally, the relationship between tourism and economic growth has been studied using methods based on stationary or nonstationary models. In this paper, we explore the validity of the tourism-led growth hypothesis, applying fractional cointegration techniques and comparing the results with those obtained in previous studies. To do this, we st...

Although the Poisson distribution is appropriate for modelling equi-dispersed distributions, it reflects bimodality less well. In this paper, we propose a distribution which is more suitable for the latter purpose. It can be fitted to both positively and negatively skewed data and appears to represent overdispersion phenomena correctly in count dat...

The main aim of this paper is to obtain a direct measure of the relation between the future and implied volatilities, in order to determine the appropriateness of using linear modelling to establish the implied–realised volatility relation. To achieve this aim, the dependence structure for implied and realised volatilities is modelled using bivaria...

This article explores the spending patterns of tourists by market segments of expenditure distribution. We focus on the case of the Canary Islands, that is, a region that is one of the main destinations in the European tourism market, and distinguish between expenditure at origin and expenditure at destination. To do this, we use unconditional quan...

This paper analyses the relationship between air pollution and tourism demand in Beijing. The study method is based on a gravity model, in which air quality variables are incorporated into the model of tourism demand. The results obtained show that air pollution has a negative influence on tourism flows and that this effect is more pronounced for i...

This article proposes a model of foreign tourist expenditure, based on expenditure in the country of origin (i.e. reservation of accommodation and transport) and on goods and services at the destination. The study focuses on two measures reflecting the two types of expenditure: the tourist budget share and the difference in growth rates between exp...

Empirically, the length of stay by tourists at their destination usually presents bimodality, overdispersion and non-zero observations, and classical distributions do not seem to fit this type of data very appropriately. In this paper, we introduce two distributions which accommodate bimodality. One is a flexible discrete distribution which can be...

Tourism receipts have important policy implications for destination countries in terms of government revenues and the management of tourism-related policies. This article uses time series models to analyse the risk exposure reflected in the growth rates of tourism revenues. To do so, we apply risk management measures based on value-at-risk (VaR) an...

This paper describes a two-stage procedure used to evaluate determinants of operational efficiency and profit dimensions, as an indication of the performance of branch managers in a large Spanish commercial bank, before and after the bailout of the Spanish banking system in 2012. This procedure is based on both the non-parametric and robust non-par...

The main objective of this paper is to study the impact of different exchange rate regimes on international trade and to analyze their performance during crises. To this end, a gravity equation for bilateral trade is estimated for a sample of 191 countries over the period 1970–2016 by adding a set of regressors built from a de factoclassification o...

The aim of this article is to obtain a statistical distribution that describes the aggregate expenditure of tourists related to their length of stay at a given location. This distribution enables us to estimate two parameters simultaneously; one controls the length of stay and the other, the expense incurred. We propose two distribution models, for...

The main purpose of this paper is to present an asymmetric logit probability model to estimate and predict the daily probabilities of delay in aircraft arrivals. The proposed model takes into account statistical regularity, noting that more arrivals are on time than delayed, thus reflecting an asymmetric pattern of behaviour. The data analysed were...

Following the recent work of Gómez-Déniz and Pérez-Rodríguez (2014), this paper extends the results obtained there to the normal-exponential distribution with dependence. Accordingly, the main aim of the present paper is to enhance stochastic production frontier and stochastic cost frontier modelling by proposing a bivariate distribution for depend...

The main purpose of this paper is to model time-varying asymmetry information costs. To do this, first, we use two classical reduced-form microstructure models defined in a Bayesian hierarchical framework. In this scenario, we consider adverse selection as a random unobserved state variable and we use the Markov chain Monte Carlo (MCMC) estimator....

In this paper, we assume that the duration of a process has two different intrinsic components or phases which are independent. The first is the time it takes for a trade to be initiated in the market (for example, the time during which agents obtain knowledge about the market in which they are operating and accumulate information, which is coheren...

p>This paper extends the conditional duration model proposed by De Luca and Zuccolotto (2003), proposing an infinite mixture of distributions based on non–exponentials which accounts for the unobserved market heterogeneity of traders. The model we propose takes into account the fact that reaction times follow a gamma distribution and that the inten...

The empirical relationship between trade and tourism has been explored during recent years finding that international tourism promotes international trade between countries. However, the impact of tourism on trade flows has been neglected within standard international trade models such as the gravity equation. The main aim of this paper is to provi...

This paper investigates the impact of the Economic and Monetary Union on international tourism flows across a set of 37 developed countries. To do this, an augmented gravity model is estimated using a sample of 31 European countries plus six non-European OECD countries over the period 1995–2012. Results suggest a substantial impact of the euro on i...

This paper proposes a bivariate continuous model based on normal–half normal distributions for testing the independence of idiosyncratic and inefficiency terms in the stochastic frontier model in a maximum likelihood framework. This model allows us to construct a closed-form of the marginal distribution of the composite error term dependent on a pa...

This paper investigates relationships between the spread component costs (adverse selection, order processing and inventory costs) and stock trading characteristics in the Spanish Stock Exchange (SSE), taking into account the random nature of these costs. First, we analyse the statistical properties of estimated spread components in the market, whi...

The main objective of the present chapter is to revisit the traditional estimates from the trade gravity equation in two ways. First, by recognizing the presence of "zero" trade flows between countries by following the methodology proposed by Helpman, Melitz and Rubinstein (2008), thereafter HMR. Disregarding countries that do not trade with each o...

Taking into account that the BDS test—which is used as a misspecification test applied to standardized residuals from the GARCH(1,1) model—is characterized by size distortion and departure from normality in finite samples, this paper obtains the critical values for the finite sample distribution of the BDS test. We focus on bootstrap simulation to...

Objective: This study empirically analyzes the effects of public information about the pharmaceutical R&D process on the market valuation of the sponsoring firm. We examined the market's response to scientific news and regulatory decisions about an antiobesity drug, rimonabant, and the effects on the sponsoring company (Sanofi-Aventis) and its incu...

Do extreme price changes of pharmaceutical stocks reflect unexpected scientific information produced during the drug R&D process, especially the approval of new drugs, but also pre- and clinical trial results, recalls and withdrawals? Do stock prices initially overreact to such information? We modelled market-adjusted daily changes in stock prices...

This study empirically analyzes the effects of public information about the pharmaceutical R&D process on the market valuation of the sponsoring firm. We examined the market's response to scientific news and regulatory decisions about an antiobesity drug, rimonabant, and the effects on the sponsoring company (Sanofi-Aventis) and its incumbent compe...

This paper studies the effect of the inception of the euro on the international tourism of the Eurozone. To do this, a gravity model is estimated using two different samples, the OECD countries and the European OECD countries, over the period 1995-2008. The results suggest a noticeable impact of the euro on tourism, bigger than estimated in previou...

Taking into account that transaction prices are realized at the bid or the ask price, we propose a probabilistic neural network model and a Bayesian rule to predict the incoming order signal of a stock and its probability using the buy-sell trade indicator or trade direction sign. We consider that if there is any private information to be inferred...

This paper attempts to identify implicit exchange rate regimes for the Yen/Dollar exchange rate. To that end, we apply a sequential procedure that considers both the dynamics of exchange rates and central bank interventions to data covering the period from 1971 to 2003. Our results suggest that implicit bands existed in two subperiods: April-Decemb...

This article studies the empirical link between international tourism and trade. We apply dynamic heterogeneous panel data techniques to analyse both long and short-run relationship for the case study of OECD countries. This link is studied by estimating the cointegration vector and analysing the short causality between variables. The analysis reco...

The main objective of this paper is to study the relationship between international trade and tourism in small island regions (that is, territories that are dependent to a significant degree on the rest of the world). To that end, the authors explore the different forms this relationship can take and apply cointegration and the Granger causality te...

SUMMARY This paper studies the empirical link between international travel and trade. We apply dynamic panel data techniques to analyse both the long-term and short-term relationship for the case study of OECD countries. The analysis recognizes that business and leisure travel can promote international trade and also that international business req...

Abstract The main aim of this study is to contribute to the debate on the effects of a common currency. In particular, the impact of a common currency on growth via trade and tourism is explored for a panel dataset which includes 179 countries as destination and 30 OECD countries as origin over the period 1995–2006. This research contributes to pre...

The present work empirically analyzes diverse budgetary theories (incrementalism, garbage can, rational) in municipal cost programs, paying special attention to the utility of financial information in decision making. The sample analyzed corresponds to a set of Spanish city councils in the period 1996–2004, and the econometric methodology used is a...

The main objective of this paper is to analyse the effect of exchange rate arrangements on international tourism. The ambiguity in the literature about the effect of exchange rate volatility contrasts with the magnitude of the impact of a common currency on trade. The authors apply panel data techniques to analyse the relevance of a common currency...

The main objective of this research is to revisit the estimation of the effect of a common currency on international trade by applying the new methodology proposed by Helpman, Melitz and Rubistein (2008) and incorporating tourism to the theoretical framework. Rose (2000) estimates an empirical model of bilateral trade, finding a significant coeffic...

El presente trabajo analiza empíricamente las diversas teorías presupuestarias (incrementalismo, anarquía organizada, racional) en los programas de gasto social, prestando especial atención a la utilidad de la información financiera en la toma de decisiones. La muestra analizada corresponde a un conjunto de ayuntamientos españoles en el periodo 200...

This paper attempts to identify implicit exchange rate regimes for currencies of the Central and Eastern European Countries vis-à-vis the euro. To that end, we apply a sequential procedure that considers the dynamics of exchange rates to data covering the period from 1977:01 to 2006:02. Our results would suggest that implicit bands have existed in...

In this article we study the out-of-sample real exchange rate forecasts of an Artificial Neural Network model, an AR model and a random walk model. The results confirm the relevance of nonlinear adjustment in the dynamics of the real exchange rate.

The paper presents an overview of several studies about the credibility of the European Monetary System (EMS). These studies compare different credibility indicators in terms of their ability to detect exchange rate crises in a target zone. Marginal credibility seems to be the best measure for capturing the main events. The credibility indices are...

The main objective of this paper is to analyze the effect of the exchange rate arrangements on international tourism. The ambiguity of literature about the effect of exchange rate volatility contrasts with the magnitude of the impact of a common currency on trade. On the basis of a gravity equation we estimate a moderate effect of a currency union...

We find empirical evidence suggesting that the volatility dynamics of Japanese firms cross-listed in the US is characterized as a Meteor Shower with Country-Specific News. Furthermore, we find differences in volatility dynamics depending on the international exposure of firms. These differences are consistent with a higher contribution of foreign t...

This paper analyses whether the expansion of the lodging industry in Gran Canaria (Canary Islands, Spain), which has occurred during the last 10 years as a result of increases in tourist numbers and the accommodation made available to them, has been accompanied by a parallel increase in efficiency over the same period. Thus, the cost efficiency and...

En este trabajo se analiza qué régimen de volatilidad habría dominado tras la entrada del euro en los tipos de cambio de contado implícitos de la peseta, así como la libra esterlina y el yen con respecto al dólar. Para ello, se modeliza la heterocedasticidad de las rentabilidades cambiarias empleando un modelo de cambios de régimen con varianza de...

The objective of this article is to identify implicit bands for the Spanish peseta/Deutschmark exchange rate. To this end, based on the ‘natural’ classification approach suggested by Reinhart and Rogoff (200425. Reinhart , CM and Rogoff , KS . 2004. The modern history of exchange rate arrangements: a reinterpretation. Quarterly Journal of Economi...

This paper studies the exchange rate risk of Euro, Pound and Yen against US Dollar before and after the EMU. The key question is to analyse the impact of the Euro to exchange rate risks. The risk is measured by estimating risk price coefficient (RPC) from an excess return equation. A conditional heteroskedastic variance model with time-varying mean...

This paper attempts to identify implicit exchange rate regimes for the Yen/Dollar exchange rate. To that end, we apply a sequential procedure that considers both the dynamics of exchange rates and central bank interventions to data covering the period from 1971 to 2003. Our results would suggest that implicit bands existed in two subperiods: April-...

This study provides empirical evidence on the determinants of exchange rate credibility under the European Monetary System (EMS). To that end, it considers both economic variables and political factors using data of eight currencies participating in the Exchange Rate Mechanism, covering the complete EMS history (1979 to 1998). The results suggest t...

This paper discusses the interdependent effects of conditional volatilities in returns of the Euro and other major currencies against U.S. dollar exchange rates (spot rates) since the launch of the Euro, using, for this purpose, the daily data and dynamic conditional correlation (DCC)–GARCH model with country-specific effects. The following conclus...

The objective of this paper is to identify implicit exchange rate regimes for the Spanish peseta/Deutschmark exchange rate. To this end, several statistical approaches, proposed by previous studies, are applied to the period 1965-1998. The results indicate the existence of implicit regimes other than a free-floating one.

RESUMEN En este trabajo se aplican tres procedimientos estadísticos alternativos al tipo de cambio peseta/dólar norteamericano, con el objetivo de conocer el verdadero régimen cambiario al que estuvo sujeto durante el período 1965–1998. El estudio toma la perspectiva que señala la divergencia entre regímenes cambiario de facto y de iure . Los resul...

En este trabajo se investiga el efecto de la periodicidad intradía sobre la volatilidad de las rentabilidades de los mercados de contado y futuro del Ibex35. Para ello, se modeliza el componente periódico de cada mercado de manera determinista mediante una forma flexible de Fourier, y se utiliza para filtrar las rentabilidades. Luego, se analiza el...

Este artículo analiza la evolución de las primas de riesgo cambiarlo de la peseta y libra esterlina frente al dólar. Para ello, consideramos que las primas de riesgo son una función de la covarianza condicional entre dos tipos de cambio, y pueden descomponerse en dos componentes que varian en el tiempo: el coeficiente de remuneración del riesgo y l...

This study employs different nonlinear models (smooth transition autoregressive models (STAR), artificial neural networks (ANN) and nearest neighbours (NN)) to study the predictability of one-step-ahead forecast returns for the Ibex35 stock future index at a one year forecast horizon. It is found that the STAR, ANN and NN models beat the random wal...

In this paper the hypothesis that repeated purchases in the tourism markets could be considered as a consequence of asymmetrical information problems is studied. This hypothesis is analysed with the case study of the island of Tenerife using the estimation of a count data model. It was found that the length of the stay and the information obtained...

This paper provides some new evidence on the credibility of the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS). The study differs from previous research in the literature in three main respects. First, the main contribution is the use of several credibility indicators, some of which have never been applied before to all of the...

This paper studies whether it is possible to exploit the nonlinear behaviour of daily returns on the Spanish Ibex-35 stock index returns to improve forecasts over short and long horizons. In this sense, we examine the out-of-sample forecast performance of smooth transition autoregression (STAR) models and artificial neural networks (ANNs). We use o...

Este artículo analiza la evolución de las primas de riesgo cambiario de la peseta y libra esterlina frente al dólar. Para ello, consideramos que las primas de riesgo son una función de la covarianza condicional entre dos tipos de cambio, y pueden descomponerse en dos componentes que varían en el tiempo: el coeficiente de remuneración del riesgo y l...

En este trabajo se estudia la evolución del riesgo cambiario de la peseta-dólar (euro-dólar desde el 1 de enero de 1999) a través de la relación entre los excesos de rendimiento cambiario y la volatilidad condicional. Para ello, se utiliza un modelo GARCH-M cuyos parámetros son estimados por máxima verosimilitud. El período muestral abarca desde el...

(*) Este trabajo ha sido financiado por el Proyecto BEC2001-3777 del Ministerio de Ciencia y Tecnología. Los autores desean agradecer los comentarios realizados por T. Bollerslev y F. Fernández-Rodriguez cuyas sugerencias han contribuido a mejorar este trabajo. Todos los errores y omisiones son de la entera responsabilidad de los autores. Es habitu...

En este estudio se analiza la repercusión que la crisis de 1997 tuvo sobre las bolsas de USA, Europa (UK, Francia, Alemania y España) y Japón. Concretamente se estudia si existió contagio o interdependencia entre las mismas durante dicha crisis. Para ello, se una muestra de datos diarios, que abarca el período comprendido entre el 30 de noviembre d...

Este trabajo trata de identificar regímenes de cambio implícitos mediante el uso de procedimientos estadísticos. En particular, empleamos tres técnicas alternativas propuestas recientemente en este área de investigación: el índice de flexibilidad del tipo de cambio de Poirson (2001), el algoritmo diseñado por Reinhart y Rogoff (2002) para detectar...

In this study, we analyze the repercussion of the crisis of 1997 on the USA, Europe (UK, France, Germany and Spain) and Japan Stock Exchange Markets. Concretely, we study if there was contagion or interdependence among the same ones during November 30th 1995 and December 13th 2000, using daily data. The results show that contagion didn't exist, but...

This paper studies the nonstationary and nonlinear dynamics of the stock returns on the Ibex35 Stock Exchange Market. We analyze the nonstationary and nonlinear path of time series using unit root tests, mean reversion test, long-term memory test, BDS standard and recursive test, and regime switching models for the volatility. These are analyzed an...

El objetivo de este trabajo es analizar las propiedades estadísticas y la existencia de cambios de régimen que están presentes en la dinámica de los rendimientos diarios del índice de activos del mercado continuo español, desde el comienzo de su negociación el 31 de diciembre de 1989. Como conclusiones más relevantes, pueden destacarse la existenci...

We provide some new evidence on the credibility of the Exchange Rate Mechanism of the European Monetary System. To that end, we use of several credibility indicators, analysing the complete EMS history. We also compare the prediction qualities of the different indicators, and apply them to the experience of the new ERM linking the currencies of non...

In this paper the hypothesis that repeated purchases in the tourism markets could be considered as a consequence of asymmetrical information problems is studied. This hypothesis is analysed with the case study of the island of Tenerife using the estimation of a count data model. It was found that the length of the stay and the information obtained...