• "Publishing Performance in Economics: Spanish Rankings (1990-1999)" On the existence of Bayesian Cournot equilibrium (
(with A. García-Romero and G. Zamarro).
Shitovitz), SPANISH ECONOMIC REVIEW, G 2003.
Abstract: This paper contributes to the growing literature that analyses the Spanish publishing performance in Economics throughout the 1990s. Several bibliometric indicators are used in order to provide Spanish rankings (of both institutions and individual authors) based on Econlit journals. Further, lists of the ten most influential authors and articles over that period, in terms of citations, are reported.
(Full text.)
smb://ishimura.uc3m.es/personal_old/dolado/publicaciones/dgm_DFHendry.volume.pdf
• "Long-Range Dependence in Spanish Political Poll Series" (with Jesus Gonzalo and Laura Mayoral)
,
JOURNAL OF APPLIED ECONOMETRICS (2003).
Abstract:
This paper investigates the time series properties of partisanship for five political parties in Spain. It is
found that pure fractional processes with a degree of integration, d, between 0.6 and 0.8 fit the time-series
behaviour of aggregate opinion polls for mainstream parties quite well, whereas values of d in the range of
0.3 to 0.6 are obtained for opinion polls related to smaller regional parties. Those results are in agreement
with theories of political allegiance based on aggregation of heterogeneous voters with different degrees
of commitment and pragmatism. Further, those models are found to be useful in forecasting the results of
the last general elections in Spain. As a further contribution, new econometric techniques for estimation and
testing of ARFIMA model are used to provide the previous evidence. Copyright 2003 John Wiley & Sons,Ltd.
(Full text.)
• "Where Do Women Work?: Analysis Patterns of Occupational Segregation by Gender"(with F. Felgueroso and J.F. Jimeno). ANNALES D´ECONOMIE ET DE STATISTIQUE, 2004 (annales03.pdf)
~
Abstract: Recent studies have shown that the degree of occupational segregation by gender is
declining in the case of high-educated female workers, while it has remained fairly steady for
less-educated women. This suggests that education is a key factor in explaining occupational
segregation. Nonetheless, despite a strong upward trend in the educational attainments of the
female population, female participation in the labour market varies widely across countries, not
just in terms of magnitude but also in terms of the nature of jobs held by women.
Our goal in this paper is twofold. First, to uncover some determinant factors, besides
education, which may help at explaining differences between the EU and the US in occupational
segregation by gender. Secondly, to examine its relationship with job characteristics,
remuneration and promotion opportunities of female employees. The main findings are that: i)
occupational segregation is still higher in the EU than in the US and is mostly due to a lower
share of women in executive and managerial jobs, ii) there is a strong positive correlation
between overall occupational segregation by gender and the share of part-time jobs; and iii) there
is, however, weaker evidence on the existence of a positive relationship between residual gender
pay differences and the proportion of women across occupations.
(Full text.)
• "Nonlinear Monetary Policy Rules: Some New Evidence for the U.S" (with Ramón Maria-Dolores and Francisco J Ruge-Murcia), STUDIES IN NONLINEAR DYNAMICS & ECONOMETRICS, 2004.
Abstract: This paper derives optimal monetary policy rules in setups where certainty
equivalence does not hold because either central bank preferences are not quadratic,
and/or the aggregate supply relation is nonlinear. Analytical results show that
these features lead to sign and size asymmetries, and nonlinearities in the policy
rule. Reduced-form estimates indicate that US monetary policy can be charac-
terized by a nonlinear policy rule after 1983, but not before 1979. This finding is
consistent with the view that the Fed’s inflation preferences during the Volcker-
Greenspan regime differ considerably from the ones during the Burns-Miller
regime.
(Full text.)
• " Wald Tests of I(1) Against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components" (with J. Gonzalo and L. Mayoral) STUDIES IN NONLINEAR DYNAMICS & ECONOMETRICS,; 2008.
Abstract:
This paper analyses the behaviour of a Wald-type test, i.e., the (E¢ cient) Fractional
Dickey-Fuller (EFDF) test of I(1) against I(d); d less 1; relative to LM tests. Further, it extends
the implementation of the EFDF test to the presence of deterministic trending components in
the DGP. Tests of these hypotheses are important in many macroeconomic applications where
it is crucial to distinguish between permanent and transitory shocks because shocks die out in
I(d) processes with d less 1. We show how simple is the implementation of the EFDF in these
situations and argue that, under ...xed alternatives, it is preferred to the LM test in Bahadur ́ s
sense. Finally, an empirical application is provided where the EFDF approach allowing for
deterministic components is used to test for long-memory in the GDP p.c. of several OECD
countries, an issue that has important consequences to discriminate between alternative growth
theories.
( Full text.)
• "Are Monetary-policy Reaction Functions Asymmetric ?: The Role Of Nonlinearity In The Phillips Curve "(with R.María-Dolores and M. Naveira), EUROPEAN ECONOMIC REVIEW, (2005).
Abstract: This paper investigates the implications of a nonlinear Phillips curve for the derivation of
optimal monetary policy rules. Combined with a quadratic loss function, the optimal policy is
also nonlinear, with the policy-maker increasing interest rates by a larger amount when in ation
or output are above target than the amount it will reduce them when they are below target.
Speciÿcally, the main prediction of our model is that such a source of nonlinearity leads to the
inclusion of the interaction between expected in ation and the output gap in an otherwise linear
Taylor rule. We ÿnd empirical support for this type of asymmetries in the interest rate-setting
behaviour of four European central banks but none for the US Fed.
c 2003 Elsevier Science B.V. All rights reserved.
(Full text.)
• "Asymptotic Inference Results For Multivariate Long-memory Processes" (with F. Marmol).
THE ECONOMETRICS JOURNAL, 2004
Abstract:
In this paper, we extend the well-known Sims, Stock and Watson (SSW)
(Sims et al. 1990; Econometrica 56, 113–44), analysis on estimation and testing in vector
autoregressive process (VARs) with integer unit roots and deterministic components to a more
general set-up where non-stationary fractionally integrated (NFI) processes are considered. In
particular, we focus on partial VAR models where the conditioning variables are NFI since
this is the only finite-lag VAR model compatible with such processes. We show how SSW’s
conclusions remain valid. This means that whenever a block of coefficients in the partial VAR
can be written as coefficients on zero-mean I(0) regressors in models including a constant
term, they will have a joint asymptotic normal distribution. Monte Carlo simulations and an
empirical application of our theoretical results are also provided.
(Full text.)
• "On-the-Job Search in a Matching Model of Heterogeneous Jobs and Workers"(with M. Jansen and J.F. Jimeno),
ECONOMIC JOURNAL, 2009.
Abstract:
This article examines the effects of transitory skill mismatch in a matching model with hetero-
geneous jobs and workers. In our model, some highly-educated workers may accept unskilled jobs for
which they are over-qualified but are allowed to engage in on-the-job search in pursuit of a better job.
We show that this feature has relevant implications for the set of potential equilibria, the un-
employment rates of the different types of workers, the degree of wage inequality, and the response
of the labour market to shifts in the demand and supply of skills.
(Full text.)
• "Ceilings or Floors?: Gender Wage Gaps by Education in Spain " (with S. de la Rica and V. Llorens), , JOURNAL OF POPULATION ECONOMICS2008.
Abstract:
; (Full text.)
"A Positive Analysis of Employment Protection Legislation" (with M. Jansen and J. Jimeno),
THE B.E: JOURNAL OF MACROECONOMICS, TOPICS, 2008.
Abstract: (Full text.)
"Testing Weak Exogeneity in the Exponential Family: An Application to Financial Point Processes" (with J. Rodriguez-Poo and D. Veredas).
Abstract: (Full text.)
"State Asymmetries in the Effects of Monetary Policy Shocks on Output: Some New Evidence for the Euro-area" (with R. María-Dolores), CH. 12 in NONLINEAR TIME SERIES ANALYSIS OF BUSINESS CYCLES, (eds., C. Milas, P. Rothman and D. van Dijk) (Elsevier),2006.
Abstract:
In this chapter, we provide some empirical evidence on whether
the effects monetary policy shocks on real output growth in the Euro
area depend upon the phase of the business cycle that the economy
was undergoing (the so-called state asymmetries). To do so, we fol-
low a two-step procedure: (i) first, we derive short-term interest rate
shocks from a Taylor rule which accounts for a nonlinearity in the
interest-rate setting behaviour of the central bank, and (ii) next, we
apply a multivariate version of Hamilton(1989)’s Markov switching
methodology to allow for different effects of interest-rate shocks on
real output growth in periods of high and low growth. Our findings
provide some support for the presence of this type of asymmetries,
whereby interest rate shocks have larger effects in recessions than in
expansions.
(Full text.)
"What is What ?: A Simple test of Long Memory vs. Structural Breaks in the Time Domain" (with L. Mayoral and J. Gonzalo)
Abstract:This paper proposes a time-domain test of a process being I(d), 0 less d ≤ 1, under
the null against the alternative of being I(0) with deterministic components subject to
structural breaks at known or unknown dates. Denoting by AB (t) the different types of
structural breaks in the deterministic component of a time series considered by Perron
(1989), the test statistic proposed here is based on the t-ratio (or the infimum of a se-
quence of t-ratios) of the estimated coefficient on yt−1 in an OLS regression of ∆d yt on
the above-mentioned deterministic components and yt−1 , possibly augmented by a suit-
able number of lags of ∆d yt to account for autocorrelated errors. The case where d = 1
coincides with the Perron (1989) or the Zivot and Andrews (1992) approaches if the
break date is known or unknown, respectively. The statistic is labelled as the SB-FDF
(Structural Break-Fractional Dickey- Fuller) test, since it is based on the same princi-
ples as the well-known Dickey-Fuller unit root test. Both its asymptotic behavior and
finite sample properties are analyzed, and two empirical applications are provided. The
proposed SB-FDF test is computationally simple and presents a number of advantages
over other available test statistics addressing a similar issue.
(Full text.)
•
R"Do Men and Women-Economists Choose the Same ResearchFields ?: Evidence from Top-50 Departments" (with F. Felgueroso and M.Almunia).
Abstract:
This paper analyzes the gender distribution of research fields in economics based
on a new dataset of almost 1900 researchers affiliated to top-50 economics
departments in 2005, as ranked by Econphd.net website. We document that
women are unevenly distributed across fields and test some behavioral
implications from theories underlying such disparities. Our main findings are
that the probability that a woman works on a given field is positively related to
the share of women already working on that field (path-dependence), and that
this phenomenon is better explained by women avoiding male-dominated fields
than by men avoiding female dominated fields. This pattern, however, is weaker
for younger female researchers who spread more evenly across fields.
(Full text.)
"Which Factors Determine Academic Performance of Economics Freshers ?: Some Spanish Evidence "(with E.Morales), INVESTIGACIONES ECONOMICAS, 2009.
Abstract:
This paper analyses the impact of several factors potentially a ecting aca-
demic performance of first-year undergraduates (freshers) in Economics at
Universidad Carlos III de Madrid during 2002-2005. Outcomes are the grades
obtained in three core subjects which di er substantially in their requirements
of math skills. Our main finding is that those students who completed a
technical track at high school tend to perform much better in math-intensive
subjects than those who followed a social sciences track and that the latter do
not perform better in subjects where prior training in economics is bound to
be helpful.
(Full text.)
"Does Immigration Affect the Phillips Curve?: Some Evidence for Spain" (with S. Bentolila and JF Jimeno), EUROPEAN ECONOMIC REVIEW, 2008.
Abstract:This article appeared in a journal published by Elsevier. The attached
copy is furnished to the author for internal non-commercial research
and education use, including for instruction at the authors institution
and sharing with colleagues.
Other uses, including reproduction and distribution, or selling or
licensing copies, or posting to personal, institutional or third party
websites are prohibited.
In most cases authors are permitted to post their version of the
article (e.g. in Word or Tex form) to their personal website or
institutional repository. Authors requiring further information
regarding Elsevier’s archiving and manuscript policies are
encouraged to visit:
http://www.elsevier.com/copyright
(Full text.)
"Los efectos económicos y las políticas de inmigración: Panorámica y reflexiones" (with P. Vázquez).
Abstract: (Full text.)
On Gender Gaps and Self-Fulfilling Expectations: Theory, Policies and Some Empirical Evidence" (with S. de la Rica and C. García-Peñalosa). .
Abstract:
This paper presents a simple model of self-fulfilling expectations by firms and households
that generates multiplicity of equilibria in pay and time allocation for ex-ante identical
household partners. Multiplicity arises from the role of statistical discrimination in the
provision of training by firms to male and female workers, rather than from the existence of
incentive problems in the labour market. Firms ́ beliefs about differences in spouses ́
reactions to household shocks lead to symmetric (ungendered) and asymmetric (gendered)
equilibria. We find that: (i) the ungendered equilibrium can become a unique equilibrium as
the economy becomes more productive (regardless of the generosity of family aid policies),
(ii) the ungendered equilibrium could yield higher welfare than the genderered one under
some scenarios, and (iii) gender-neutral job subsidies are more effective that gender-targeted
ones in removing the gendered equilibrium. Empirical evidence based on time use surveys
for three European countries yields some support for these implications.
(Full text.)
"Diferencias de género y temporalidad: El caso de los profesionales superiores en el sector sanitario en España" (con F. Felgueroso).
Abstract:
(Full text.)
Occupational Mismatch and Moonlighting Among Spanish Physicians: Do Couples Matter ?" (With F. Felgueroso)
Abstract: There are relevant gender differences in the labour-market status of health sciences
graduates in Spain: (i) female physicians have lower participation rates than male physicians
plus they are subject to higher occupational mismatch, and (ii) moonlighting is more frequent
among male physicians. In this paper we investigate whether such differences are related to
the monopsonistic features of the labour market of health-care professionals. This provides
an interesting case study since, among all university graduates, Spanish physicians are the
ones most often coupled to partners with the same educational level and/or same type of
studies.
(Full text. The companion working paper: .)
"Simple Wald Tests of the Fractional Integration Parameter: An Overview
of New Results" (with J. Gonzalo and L. Mayoral), THE METHODOLOGY AND PRACTICE OF ECONOMETRICS ( A FESTSCHIFT IN HONOUR OF DAVID HENDRY) (eds., J. Castle and N. Shepard) (OUP), 2009.
Abstract:
(Full text.)
"Do temporary contracts affect TFP ?: Evidence from Spanish Manufacturing firms" (with R. Stucchi).
Also slides from updated version.,
(
Full text.)
"Two-tier employment protection reforms: The Spanish experience" , (with S. Bentolila and J.F. Jimeno), CESifo-DICE Report, Journal for Institutional Comparisons, 2008.
Abstract: (Full text.)
"The Spanish Productivity Puzzle: Immigration and Other Factors" , SLIDES de LSE-CCIES conference (with S. Bentolila and J.F: Jimeno)
Abstract:
(Full text.
)
"El Conflicto entre la Demanda de Flexibilidad Laboral y la Resistencia a la Reforma del Mercado de Trabajo en España" (with F. Felgueroso and M. Jansen).
Abstract: La resistencia a las reformas laborales puede explicarse como un conflicto de intereses entre
colectivos de individuos con distintas preferencias sobre la flexibilidad laboral. En este artículo
presentamos evidencia empírica sobre cómo varían estas preferencias en función de las
características socio-económicas de los ciudadanos en España. Documentamos que, a diferencia
de lo que ocurre en los países de nuestro entorno, hay una gran diversidad de opiniones sobre la
reforma laboral entre determinados grupos de individuos: por un lado, estudiantes, jóvenes con
contratos temporales, autónomos y parados están a favor de reducir la rigidez laboral existente
y, por otro, los trabajadores de mayor edad con contratos indefinidos se resisten a cambiar el
statu quo. Caracterizamos al votante mediano en las elecciones sindicales y analizamos como
evolucionan las preferencias electorales de insiders y outsiders conforme aumenta el riesgo de
perder el empleo durante la crisis. Concluimos que la actual estrategia del Gobierno de evitar
reformas que choquen con los intereses de las cúpulas sindicales y sus representados aumenta el
riesgo de perder las próximas elecciones generales.
(
Full text.)
"Gender gaps in performance pay. New evidence from Spanish workers" (with S. de la Rica and R. Vegas).
"Two-Tier Labor Markets in the Great Recession: France vs.Spain" (with S.Bentolila, P. Cahuc and T. Le Barbanchon).
"Detecting Big Structural Breaks in Large Factor Models" (with L. Chen
and J. Gonzalo).
"The Effect of Public Sector Employment on Women´s Labour Market Outcomes" (with B. Anghel and S. de la Rica).