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The uncertainty of conditional returns, volatilities and correlations in DCC models

  • Fresoli, Diego
  • Ruiz, Esther
When forecasting conditional correlations that evolve according to a Dynamic Conditional Correlation (DCC) model, only point forecasts can be obtained at each moment of time. In this paper, we analyze the finite sample properties of a bootstrap procedure to approximate the density of these forecasts that also allows obtaining conditional densities for future returns and volatilities. The procedure is illustrated by obtaining conditional forecast intervals and regions of returns, volatilities andcorrelations in the context of a system of daily exchange rates returns of the Euro, Japanese Yen and Australian Dollar against the US Dollar, Both authors acknowledge financial support from the Spanish Government project ECO2012-32401
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Efectos de una alta penetración de energías renovables en el sistema eléctrico

  • Bueno Lorenzo, Míriam
The increased share of renewable energies has changed both power system functioning and conventional plants operation. With regard to the latter, power plants using fuel have change their operation mode to accommodate to the variability and partial predictability of renewable energy sources. This fact increases the operation costs of the conventional plants. Besides, market prices behaviour will experience changes, such as the decrease of average prices and the increase of their variability. The positive e ects of an increased renewable installed capacity are also assessed. Furthermore, in countries with abundant solar resource, studying the e ects of a higher share of renewable energy sources on the generation mix is necessary, including a high portion of photovoltaic and solar thermal energy in the generation portfolio. Therefore, a model of the concentrated solar power generators has been developed in this work. The results of the thermoelectric model supplies the annual production of this technology, which has been integrated in the generation schedule model. To analyse the impact of the future con guration of the generation mix on the power system, a model of unit commitment has been employed. It includes the characteristics and installed capacity of the generators using fuel and the estimation of the future production series of renewable energies. The results discussion contains an analysis of some relevant characteristics of the future power system behaviour, such as, daily market prices, yearly production by technology, capacity factors of the different technologies, wind spilled energy, ratio of demand coverage coming from renewable sources, hourly variation of the energy supplied by hydro, coal, and natural gas power plants, greenhouse emissions and operation costs.
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Information disclosure in optimal auctions

  • Ganuza, Juan-José
  • Penalva, José
A celebrated result in auction theory is that the optimal reserve price in the standard private value setting does not depend on the number of bidders. We modify the framework by considering that the seller controls the accuracy with which bidders learn their valuations, and show that in such a case, the greater the number of bidders the more restrictive the reserve price. We also show that the auctioneer provides more information when using an optimal auction mechanism than when the object is always sold., Juan-José Ganuza gratefully acknowledges the support of the Barcelona GSE Research, the government of Catalonia, and the Spanish Ministry of Education and Science Through Project ECO 2011-28965. Jose Penalva acknowledges the support of the Spanish Ministry of Education and Science Through Project ECO 2012-36559.
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The value of public information in common value Tullock contests

  • Einy, Ezra
  • Moreno, Diego
  • Shitovitz, Benyamin
We study how changes in the information available to the players of a symmetric common-value Tullock contest with incomplete information affect their payoffs and their incentives to exert effort. For the class of contests where players' state dependent cost of effort is multiplicative, we show that if the players' Arrow-Pratt measure of relative risk aversion is increasing (decreasing), then the value of Public information is positive (negative). Moreover, if players' cost of effort (value) is state independent, then players' effort decreases (increases) with the level of information., Einy acknowledges financial support of the Israel Science Foundation, grant 648/2. Moreno acknowledges financial support from the Ministerio de Ciencia e Innovación, grant ECO2011-29762.
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Economic Freedom in the Long Run: Evidence from OECD Countries (1850-2007)

  • Prados de la Escosura, Leandro
This paper presents historical indices for the main dimensions of economic freedom and an aggregate index for nowadays developed countries -(pre-1994) OECD, for short-. Economic liberty expanded over the last one-and-a-half centuries, reaching two thirds of its maximum possible. Its evolution has been, however, far from linear. After a substantial improvement since mid-nineteenth century, World War I brought a major setback. The post-war recovery up to 1929 was followed by a dramatic decline in the 1930s and significant progress took place during the Golden Age but fell short from the pre-World War I peak. A steady expansion since the early 1980s has resulted in the highest levels of economic liberty of the last two centuries. Each main dimension of economic freedom exhibited a distinctive trend and its contribution to the aggregate index varied over time. Nonetheless, improved property rights provided the main contribution to the long-run advancement of economic liberty.
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Within and across department variability in individual productivity : the case of economics

  • Perianes-Rodríguez, Antonio
  • Ruiz-Castillo, Javier
University departments (or research institutes) are the governance units in any scientific field where the demand for and the supply of researchers interact. As a first step towards a formal model of this process, this paper investigates the characteristics of productivity distributions of a population of 2,530 individuals with at least one publication who were working in 81 world top Economics departments in 2007. Individual productivity is measured in two ways: as the number of publications until 2007, and as a quality index that weights differently the articles published in four journal equivalent classes. The academic age of individuals, measured as the number of years since obtaining the PhD until 2007, is used to measure productivity per year. Independently of the two productivity measures, and both before and after age normalization, the main findings of the paper are the following five. Firstly, individuals within each department have very different productivities. Secondly, there is not a single pattern of productivity inequality and skewness at the department level. On the contrary, productivity distributions are very different across departments. Thirdly, the effect on overall productivity inequality of differences in productivity distributions across departments is greater than the analogous effect in other contexts. Fourthly, to a large extent, this effect on overall productivity inequality is accounted for by scale factors well captured by departments’ mean productivities. Fifthly, this high degree of departmental heterogeneity is found to be compatible with greater homogeneity across the members of a partition of the sample into seven countries and a residual category., Ruiz-Castillo acknowledges financial support from the Spanish MEC through grant SEJ2007-67436
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The impact of public research contracts on scientific productivity

  • Alonso-Borrego, César
  • Romero-Medina, Antonio
  • Sánchez Mangas, Rocío
We analyze a competitive research-oriented public program established in Spain, the Ramon yCajal Program, intended to offer contracts in public research centers to high-quality researchers.We study the effects of the Program on the ex-post scientific productivity of its recipients, relativeto unsuccessful applicants with comparable curricula at the time of application. The full sampleresults demonstrate that the Program has a positive and significant effect on the scientific impactof the recipients, as measured by the average and the maximum impact factors, but the effect onthe number of published papers is not significant. Consequently, receiving a contract does notsignificantly affect the quantity, but increases the quality, of the contract recipients' publications.This result is primarily driven by the particular relevance of experimental sciences in the Program., Research funding from the Ministry of Finance and Competitiveness, Grant Nos. ECO2012-31358 (Alonso-Borrego), ECO2011-25330 (Romero-Medina) and ECO2012-32854 (Sánchez-Mangas) is acknowledged
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‘You can vote but you cannot choose’: Democracy and the Sovereign Debt Crisis in the Eurozone

  • Alonso, Sonia
The objective of this paper is to analyze the alleged unfolding of ‘democracy without choices’ in Europe and its consequences for the quality of national democracies, particularly those of the Eurozone periphery (GIIPS – Greece, Ireland, Italy, Portugal and Spain). The argument is, in a nutshell, that the lack of responsiveness of GIIPS national Governments to their respective national constituencies is the reverse of the medal of an excess of responsiveness in core Euro countries, particularly Germany. Governments are trapped between the pressure to be responsive at home and the need to be responsible to their European partners and the European project. If the trade-off of all democratic politics is between responsiveness and responsibility, Euro core countries have clearly opted for responsiveness (to domestic constituencies) and Eurozone peripheral countries have been forced to be responsible (towards their EU partners and the EU as a whole). As a result, the 2008 financial crisis has led to a three-fold breach inside the EU between core and periphery concerning the pace of economic recovery, the degrees of governmental autonomy and, most important of all, democratic legitimacy. Eurozone peripheral countries are at the losing side of this three-fold breach.
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Labor Force Participation among Immigrants in 10 Western European Countries: Generation, Gender and Ethnicity

  • Gorodzeisky, Anastasia
  • Semyonov, Moshe
Using data from five European Social Surveys the study focuses on labor force incorporation of sub-groups of immigrants in 10 West-European countries. Whereas the analysis reveals that rate of labor force activity among first-generation immigrants is lower than that of comparable native-born populations regardless of ethnicity or gender, meaningful differences across sub-groups of second-generation immigrants are observed. Second-generation male and female immigrants of European origin achieve parity with native-born Europeans in rate of participation; by contrast, second-generation immigrant men and women of non-European origin and of the Muslim faith are less likely to become economically active than comparable Europeans., The research was funded by the People Program (Marie Curie Actions) of the EU Seventh Framework Program (FP7/2007-2013) under REA grant agreement PCIG11-GA-2012-321730.
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Should I stay or should I go? Losers’ fate and the role of Spanish political parties in candidate renomination for regional executive office

  • Astudillo, Javier
Under what conditions do oppositional politicians in Western parliamentarian democracies repeat as candidates after losing their first election? Political leaders need to attain the highest executive offices to lead. But in most democracies this means that parties must previously select them as their candidates for those offices. Parties' intervention in candidate selection is thus a vital part of the game. However, this is still an understudied topic in Western parliamentarian politics. A few studies have analyzed losers’ fate, but they have exclusively focused on the US case where party machines have played for long a lesser role in leadership recruitment. This paper seeks therefore to make a contribution to the literature about the current role of party organizations for political leadership survival in party-centered parliamentarian countries by studying the specific case of candidates for the presidency of the Spanish Comunidades Autonómas., This study has been possible thanks to a research grant of the Instituto Carlos III-Juan March de Ciencias Sociales.
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