María Dolores Gadea

María Dolores Gadea
University of Zaragoza | UNIZAR · Faculty of Economics and Business (FECEM)

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Publications (83)
Article
Full-text available
Realizamos en este artículo un análisis del fuerte impacto de la crisis económica derivada de la pandemia de COVID19 sobre el mercado laboral y el tejido empresarial de Aragón. En él diferenciamos la evolución en tres fases temporales distintas, con recuperaciones y recaídas, muy vinculadas a las restricciones a la movilidad y a la actividad ligada...
Article
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This paper provides an accurate chronology of the Spanish reference business cycle adapting a multiple change-point model. In that approach, each combination of peaks and troughs dated in a set of economic indicators is assumed to be a realization of a mixture of bivariate Gaussian distributions, whose number of components is estimated from the dat...
Article
In this paper, we analyse inflation comovements and their macroeconomic drivers across a wide set of advanced economies. We find a high degree of inflation interdependence, which is highest for euro area countries, which show strong trade links and share a common monetary policy. In contrast, core inflation interdependence is very limited. We also...
Article
The paper investigates the estimation bias of autoregressive models for bounded near‐integrated stochastic processes and the performance of the standard procedures in the literature that aim to correct the estimation bias. In some cases, the bounded nature of the stochastic processes worsens the estimation bias effect. The paper extends two popular...
Article
This paper proposes a new approach to the analysis of the reference cycle turning points, defined on the basis of the specific turning points of a broad set of coincident economic indicators. Each individual pair of specific peaks and troughs from these indicators is viewed as a realization of a mixture of an unspecified number of separate bivariat...
Article
In this paper, we analyse the volatility of US GDP growth using quarterly series starting in 1875. We find structural breaks in volatility at the end of World War II and at the beginning of the Great Moderation period. We show that the Great Moderation volatility reduction is only linked to changes in expansions, whereas that after World War II is...
Article
Many have argued that the Great Recession of 2008 marks the end of the reduction in output volatility known as the Great Moderation. This article shows that this is not the case through an empirical analysis. Output volatility remains subdued despite the output loss of the Great Recession. This finding has important implications for policymaking be...
Article
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply a time-varying parameter panel modelling framework to determine shifts in the pricing regime characterisin...
Article
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We propose a set of new quantitative measures to characterize more fully the features of economic recoveries. We apply these measures to post-war US expansions and use cluster analysis to determine that there are two different types of recoveries in recent US economic history, with most expansions before 1984 (Great Moderation) looking quite differ...
Article
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The peseta was the Spanish currency for more than a century and, during this time, it played a remarkable role in adjusting the balance of payments. This paper presents a chronology of the moments when the adjustment was crucial, which, consistent with the macro-trilemma, coincided with periods of external openness. Moreover, this paper provides em...
Article
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This study investigates changes in the relationship between oil prices and the US economy from a long-term perspective. Although neither of the two series (oil price and GDP growth rates) presents structural breaks in mean, we identify different volatility periods in both of them, separately. From a multivariate perspective, we do not observe a sig...
Article
We have decomposed the peseta/dollar real exchange rate (1870–1998) into its trend and cyclical components and used the former to proxy its time-varying equilibrium. Then, we have compared changes in the equilibrium with changes in the Spanish and the USA productivity differentials to identify years that do not fit with the Harrod–Balassa–Samuelson...
Article
This article employs a Bayesian methodology to measure the uncertainty involved in the long-run holding of the purchasing power parity (PPP) and in the half-life (HL) of deviations from it. Our Bayesian approach combines estimates obtained from ARMA, ARFIMA, and ARIMA specifications so that it is able to take into account model uncertainty. Exact p...
Article
The paper addresses the unit root testing when the range of the time series is limited and considering the presence of multiple structural breaks. The structural breaks can a¤ect the level and/or the boundaries of the time series. The paper proposes …ve unit root test statistics, whose limiting distribution is shown to depend on the number and posi...
Article
Much has been written about why economists failed to predict the latest crisis. Reading the literature, it seems that this crisis was so obvious that economists must have been blind not to see it coming. We approach this failure by looking at one of the key variables in this analysis, the evolution of credit. We compare the conclusions reached in t...
Article
The Great Moderation (GM) is widely documented in the literature as one of the most important changes in the US business cycle. All the papers that analyze it use post WWII data. In this paper, for the first time we place the GM in a long historical perspective, stretching back a century and a half, which includes secular changes in the economic st...
Article
The propensity of cutting some government spending during the crisis time generates the incentive for some policy-makers and governments to modify certain expenses irrespective to output variations. The goal of this paper is to analyse the cyclical properties of defence expenditure in Spain (1978–2009) and to characterize the consequences of econom...
Article
The recent financial crisis has placed the concept of fiscal dominance at the center of current debates on macro-prudential policies. However, empirical evidence of fiscal dominance, understood as fiscal policy driving monetary policy, has been mixed, especially for low inflation countries. The literature hypothesizes that institutional constraints...
Article
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The properties of the historical real exchange rate series constructed in Taylor have been reexamined in this paper. Focusing on two significant sources of bias (structural change and small sample bias), our results do not support for Taylor's claim that the abrupt changes which occurred throughout the twentieth century (political, economic, instit...
Article
Many have argued that the Great Recession of 2008 marked the end of the Great Moderation of the eighties and nineties. Through painstaking empirical analysis of the data, this paper shows this is not the case. Output volatility remains subdued despite the turmoil created by the Great Recession. This fi nding has important implications for policymak...
Article
We show that the use of generalized least squares (GLS-)detrending procedures with bound-specific non-centrality parameter leads to important empirical power gains compared to using the ordinary least squares (OLS-)detrending method when testing the null hypothesis of unit root for bounded processes.
Article
The empirical link between the post-WWII expansion of international market integration and the growth of national public expenditure has been widely noted, with no consensus as yet regarding the interpretation of this correlation. We posit that a likely link between increased openness and public spending is the use of the latter to offset changes i...
Article
Much has been written about why economists failed to predict the latest financial and real crisis. Reading the recent literature, it seems that the crisis was so obvious that economists must have been blind when looking at data not to see it coming. In this paper, we analyze whether such claims are justified by looking at one of the most cited and...
Article
Full-text available
This article analyses the relationship between oil price shocks and the macroeconomic evolution of the Group of Seven (G7) countries. Using the Qu and Perron (2007) methodology, we endogenously identify three breaks in the nonlinear relationship across our 1970 to 2008 sample. We compute long-term multipliers and find that the response of output an...
Article
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For most of the twentieth century, Argentina solved the macroeconomic policy trilemma through domestic monetary sovereignty. This article illustrates how the need to finance deficits was behind Argentine sovereignty. We test the hypothesis of fiscal dominance between 1875 and the approval of the Austral Plan in 1991 and find that deficits drove mon...
Article
Spanish long-run fiscal sustainability is analysed by using the multicointegration methodology. It permits the estimation of dynamic equilibrium relationships between flow and stock variables, and is here adjusted to fit the recurrent use of monetization. The results reveal that seigniorage was essential in guaranteeing long-run government solvency...
Article
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This paper sets out a comprehensive framework to identify regional business cycles within Spain and analyses their stylised features and the degree of synchronisation both within them and between them and the Spanish economy. We show that the regional cycles are quite heterogeneous although they display some degree of synchronisation. We also propo...
Article
This paper analyses the impact of oil price shocks on both the GDP growth and on inflation in the economy of Spain and its seventeen regions. The Qu and Perron (2007) and the Bai and Perron (1998, 2003a and 2003b) methods identify different periods across the sample. Evidence of a diminishing effect of oil price shocks on GDP growth and on inflatio...
Article
According to the literature, the predominance of budget deficits conditioned money growth in Spain while the peseta was its currency. The idea of a long-running fiscal interference in monetary dynamics is partly backed by the contribution of the public component to monetary base growth in 1874-1998. This paper confirms the existence of this interfe...
Article
We investigate the existence of multiple structural changes in the persistence of a broad sample of Real Exchange Rate (RER) using a new methodology proposed by Kejriwal et al. (20092. Kejriwal , M. , Perron , P. and Zhou , J. 2009. “Wald tests for detecting multiple structural changes in persistence”. In Mimeo, Boston: Boston University. View a...
Article
Este articulo contiene una revisión de la literatura empírica que contrasta el vínculo entre apertura externa y tamaño del sector público. En teoría, la hipótesis de compensación (Rodrik, 1996,1998) postula una relación positiva para el vinculo. En la práctica, los abundantes trabajos acumulados en los últimos diez años muestran resultados heterogé...
Article
This paper surveys the empirical literature on the link between countries' openness to international trade and the growth of public expenditure. Theoretically, the compensation hypothesis (Rodrik 1996, 1998) posits a positive relation from openness to public expenditure. In practice, research on the topic has provided mixed evidence. The meta-analy...
Conference Paper
The goal of this paper is to show how the progress of vertical specialization can rationalize the econometric puzzle of typifying external openness as unit root series during the Second Era of Globalization (from 1948 to the recent crisis) and illustrates the responsibility of vertically specialised trade in the presence of unit roots. We call it a...
Article
The aim of this paper is to analyze whether the persistence properties of the European real exchange rates changed when their currencies joined the euro or during the monetary integration process. More specifically, we investigate whether, as a result of the single currency or the previous macroeconomic stability, nominal price rigidities have decr...
Article
Recently, Imbs, Mumtaz, Ravn and Rey (2005, hereinafter IMRR) have argued that much of the purchasing power parity (PPP) puzzle is due to upwardly biased estimates of persistence. According to them, the source of the bias is the existence of heterogeneous price adjustment dynamics at the sectoral level that established time series or panel data met...
Article
Full-text available
This paper studies the relationship among Italian, Spanish and United Kingdom prices over the period 1874-1998, for most of which the currencies of these three countries maintained a floating exchange rate regime. By using cointegration techniques with broken linear trends, we find a single vector for the period 1874-1935 and two vectors and, conse...
Article
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This paper aims to describe the evolution of the external risk in the United Kingdom between 1961 and 2008. We first present a theoretical description of the risk indicator. Then, we calculate this measure for the British economy in the period of study. In general, the results reveal a very small increase of external risk. Finally, the relationship...
Article
Full-text available
The aim of this work is to theorically describe the measurement of the external risk of an economy, that is to say, the domestic income risk derived from the possible shocks in the international markets. These measures are calculated for the Spanish economy in the period 1960-2000, which show in general an increase of that risk. We complete the emp...
Article
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The aim of this paper is to empirically determine whether there is a relation between trade openness and public expenditure in Spain using annual long-run data from 1960 to 2000, a period that has witnessed an accelerated process both of openness to the international markets of goods and services and of public sector growth. Results, based on the c...
Article
Full-text available
The concept of multicointegration allows to test the sustainability of public finances by assessing dynamic equilibrium relationships between flow and stock variables. This paper focus on the very long-run Spanish case, characterized by the more or less intensive use of monetization to offset the recurrent deficits. The results support that seignio...
Article
Full-text available
RESUMEN Este trabajo propone periodificar el sector exterior de la España contemporánea (1869–1999) con mirada ingenua . Es decir, su propuesta es periodificar dejando que sea el análisis estadístico de las nuevas series de Prados (2003), quien establezca etapas y las caracterice. Los resultados así obtenidos permiten afirmar que existieron dos eta...
Article
Full-text available
This paper adopts an unbiased approach to the evolution of Spanish foreign trade (1869-1999). It aims to characterize the long-run performance of the Spanish external sector by applying a statistical analysis to the new series presented by Prados (2003). We identify two well-defined, clearly distinguished stages separated by a period of transition....
Article
Full-text available
Despite the theoretical agreement on the inflationary effects of persistent deficits empirical work did not provide supporting evidence until the inclusion of non-developed countries in panel studies. This paper proposes an alternative approach, by exploiting the changes in development in a single country in the very long run, Spain over 1874-1998....
Article
Despite the theoretical agreement on the inflationary effects of persistent deficits empirical work did not provide supporting evidence until the inclusion of non-developed countries in panel studies. This paper proposes an alternative approach, by exploiting the changes in development in a single country in the very long run, Spain over 1874-1998....
Article
We model pre-euro Spanish monetary policy and use our findings to assess the compatibility of the interest rates set by the ECB since 1999 with Spanish macro-fundamentals. We find that in the 1990s Spain implemented successfully a monetary strategy tailored to its own domestic fundamentals; and by abolishing it to join the euro she has paid a cost...
Article
Full-text available
Two main factors underlie the rebirth of interest in the study of the influence of the real exchange rate on trade, the reduction of its volatility and the current trend towards price stability. The objective of this study is to analyse the effects of the process of nominal convergence, required of the European member states for the fulfilment of m...
Article
The Spanish peseta never formally belonged to the gold club, neither the classical nor the exchange-rate gold standards. It has been traditionally argued that the reason was the predominance of deficits in the Spanish budget from 1874 to 1935. The financing needs of the Treasury led to money creation and, consequently, to sacrificing the gold commi...
Article
Full-text available
Este trabajo aplica una moderna aproximación al análisis de los ciclos económicos, con el objetivo de capturar los hechos estilizados de las diecisiete regiones españolas y determinar el número de ciclos existentes. En primer lugar, se aplica un modelo Markov-switching autorregresivo (MS-AR) para estudiar el comportamiento del índice de producción...
Article
The statistical properties of inflation and, in particular, its degree of persistence and stability over time is a subject of intense debate, and no consensus has been achieved yet. The goal of this paper is to analyze this controversy using a general approach, with the aim of providing a plausible explanation for the existing contradictory results...
Article
This paper underlines the relevance of considering breaks in Purchasing Power Parity (PPP) tests, by studying the floating peseta over the period 1870--1935. In some cases, only the stationarity of the real exchange rate in the presence of structural breaks could be accepted. Moreover, breaks clearly improve the significance of the proportionality...
Article
Estimating the size of the hidden economy continues to attract the interest of both researchers and politicians alike. However, and despite the recent increase in the technical sophistication of the two estimation methods most commonly employed in the empirical literature, namely the monetary approach and the multiple causes-indicators technique, i...
Article
In this paper we study the evolution of the US dollar real exchange rate vis-à-vis the European Union currencies in the floating post-Bretton-Woods era, both before and after the birth of the Euro. In the first period we find that most of the persistence shown by this rate is due to the movements of the US dollar during the mid-1980s. Once these ef...
Article
The aim of this paper is to illustrate the risks of neglecting the potential presence of structural changes in economic series when estimating their long memory parameters. To that end, our empirical exercise is carried out for the inflation series of the UK, Italy and Spain during the period of 1874–1998. The persistence of the inflation rates is...
Article
Full-text available
This paper analyses the long-run demand for defence output through a homogeneous treatment of 15 NATO member countries between 1960 and 1999. We carry out a progressive study of the interactions between either defence spending or defence burden and their main determinants: income, external threat and allied military spending. To that end, we use ti...
Article
Este trabajo analiza la relación entre el gasto en defensa y la renta de los quince miembros de la OTAN entre 1960 y 2002 con un tratamiento homogéneo que permite hacer comparaciones entre países que pertenecen a una misma alianzamilitar. La estimación simultánea de la demanda de defensa con la ayuda del método de regresiones aparentemente relacion...
Article
This paper analyses the relationship between the Spanish peseta, the currency of a peripheral country, and the pound sterling, the central currency of the gold standard. From 1883, when Spain suspended metallic convertibility, until 1931, when Great Britain definitively abandoned gold, the peseta was a fiat currency with a flexible exchange rate re...
Article
This paper aims to illustrate the relevance of considering structural breaks in Purchasing Power Parity (PPP) tests. To that end, we examine the peseta–sterling real exchange rate between 1870 and 1935. This is an interesting series, given that the peseta was not part of the gold standard yet maintained a floating rate regime during most of that pe...
Article
Full-text available
In this paper we analyse the unit root hypothesis when the variable being studied exhibits two changes in its mean. To that end, we design a new statistic which tests for the joint hypothesis that the autoregressive parameter is 1 and that the parameters associated with the structural breaks that appear under the alternative hypothesis are 0. The u...
Article
The aim of this paper is to estimate the level and evolution of hidden income in Spain during the period 1964–1997. To this end, we employ the well-known monetary approach which supposes that the hidden economy is a response on the part of the economic agents to the tax burden, one which manifests itself in an excess of demand for currency. The est...
Article
This paper analyses the behaviour of Spanish public spending on defence for the period 1850-1995. Through the use of recent cointegration and unit root techniques, we demonstrate the existence of an equilibrium relationship between this variable and Spanish GDP during the years in question. Furthermore, the income elasticity of this relationship is...
Article
Full-text available
The Thirlwall's Law test has been extensively employed in order to explain, from the demand side, the differences in rates of economic growth between countries. In this paper the test is put to an alternative use, namely to explain the uneven economic growth experienced in one single country, Spain, during two different periods, 1940-59 and 1960-85...
Article
El objetivo de este trabajo es presentar una descripción teórica de los indicadores representativos del riesgo externo de una economía, es decir, del riesgo en el ingreso doméstico derivado de los posibles shocks en los mercados internacionales. Además, se calculan dichos índices para la economía española en el periodo 1960-2000, los cuáles muestra...
Article
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This paper uses the model of the tax incidence of protection (Clements and Sjaastad, 1984) to shed more light on the effectiveness of protection and the political economy aspects of tariff reforms in Spain and Sweden at the turn of the XIXth century. The model focuses on how trade policy changes the domestic prices of traded goods relative to non-t...
Article
ABSTRACT This paper analyzes the consequences,of aggregating regional business cycles into a common cycle at country level. So, it questions the conventional wisdom of directl y considering countrywide,business cycles without paying attention to the links within a
Article
Full-text available
La justificación de los criterios distributivos ha de contar con una base ética, esto es, construida en condiciones ideales de imparcialidad. Con esta proposición inicial, el trabajo realiza una incursión en los fundamentos contractuales de la redistribución de la renta, a partir de la caracterización de la igualdad como juicio moral. Manteniendo l...

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