This paper explores the evolving relationship in the volatility of sovereign yields in the European Economic and Monetary Union (EMU). To that end, we examine the behaviour for daily yields for 11 EMU countries (EMU-11), during the 2001-2010 period. In a first step, we decompose volatility in...

This paper examines the regime changes in the Exchange Rate Mechanism (ERM) of the European Monetary System (EMS), applying the duration model approach to weekly data of eight currencies participating in the ERM, covering the complete EMS history. When using the non-parametric (univariate)...

In this paper we present new evidence on the positive correlation between returns from technical trading rules and periods of central bank intervention. To that end, we evaluate the profitability of a trading strategy based on nearest-neighbour (nonlinear) predictors, which may be viewed as a...

In this paper we present new evidence on the positive correlation between returns from technical trading rules and periods of central bank intervention. To that end, we evaluate the profitability of a trading strategy based on nearest-neighbour (nonlinear) predictors, which may be viewed as a...

The evolution of financial data shows a high degree of volatility of the series, coupled with increasing difficulties of forecasting the shorter is the time horizon, when using standard (i.e., based on linear models) forecasting methods. Some alternative forecasting methods for non-linear time...

In this paper we assess the empirical relevance of an expectations version of purchasing power parity in forecasting the Dollar/Euro exchange rate. This version is based on the differential of inflation expectations derived from inflation-indexed bonds for the Euro area and the USA. Using the...

Previous research considered the impacts of fiscal policy on economic activity in Spain using Vector autoregression (VAR) models. In this paper, we contribute to the existing literature by making use of autoregressive distributed lag estimation procedures that present significant advantages over...

In this paper, we assess the economic impact on the Spanish economy resulting from European Union enlargement. We present a detailed analysis of the process of negotiation for candidate countries and an outline of their economic situation, as well as a first qualitative balance of the effects of...

Based on a data set of 115 economies, this paper empirically investigates the relation between public debt and economic growth. We find that those countries that present low public debt are characterized by higher economic growth, while the smallest growth rates are associated with high public...

This paper measures the connectedness in European Economic and Monetary Union (EMU) sovereign and bank CDS between April 2008 and December 2014, in order to understand the transmission of stress during the euro crisis. To this end, we perform a connectedness analysis using the framework proposed...