This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish government securities market. First, we propose a classification of bonds into four different categories based on their degree of liquidity. Second, we estimate liquidity premia,...

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two lognormals and...

Inflation-indexed bonds are fixed-income securities whose nominal cash flows are adjusted to an inflation index. In countries where these securities exist, inflation expectations are sometimes estimated as the spread between the nominal yield on a conventional bond and the real yield on an...

This paper analyses the volatility of euro money market interest rates and tests for the existence of volatility transmission from overnight rates to longer term rates. The results suggest that a significant proportion of the volatility of the EONIA is transmitted to 1 month and 3 month interest...

The main objective of this paper is to test whether the risk neutral densities (RNDs) implied in the prices of the future options contract on the Spanish IBEX 35 index accurately predict the distribution of future outcomes of the underlying asset. We estimate RNDs using both parametric and...

This paper applies the methodology developed by Forte and Peña (2006) to extract the implied default point in the premium on credit default swaps (CDS). As well as considering a more extensive international sample of corporations (96 US, European and Japanese companies) and a longer time...

House prices in Spain have shown one of the biggest cumulative growth rates among the OECD countries over the past five years and, indeed, over a more extensive period. This paper focuses on analysing this development and its possible determinants. The evidence provided suggests income and...

In this paper, we construct a firm-level estimate of the probability of default for a large sample of Spanish firms that can be interpreted as a composite measure of individual corporate financial pressure. By combining firms' accounting data from the Central Balance Sheet Data Office of the...

This paper uses panel data on banks, for the period 1991-98, to test the existence of a banklending channel in the Spanish economy. In order to distinguish between loan demand and supply movements, several exercises are performed. First, we analyse the differential responses, to monetary policy...

This paper analyses the cyclical behaviour of bank credit, loan losses and provisions for loan losses in Spain. These three variables are strongly cyclical in Spain -as in many other countries- and this poses some problems to bank supervisors and regulators. In a context of strong competitive...