Antonio Rubia

Testing For General Fractional Integration In The Time Domain

We propose a family of least-squares–based testing procedures that look to detect general forms of fractional integration at the long-run and/or the cyclical component of a time series, and that are asymptotically equivalent to Lagrange multiplier tests. Our setting extends Robinson’s (1994) results to allow for short memory in a regression framework and generalizes the procedures in Agiakloglou and Newbold (1994), Tanaka (1999), and Breitung and Hassler (2002) by allowing for single or multiple fractional unit roots at any frequency in [0, π ]. Our testing procedure can be easily implemented in practical settings and is flexible enough to account for a broad family of long- and short-memory specifications, including ARMA and/or GARCH-type dynamics, among others. Furthermore, these tests have power against different types of alternative hypotheses and enable inference to be conducted under critical values drawn from a standard chi-square distribution, irrespective of the long-memory parameters.

The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance

This paper discusses the asymptotic and finite-sample properties of CUSUM-based tests for detecting structural breaks in volatility in the presence of stochastic contamination, such as additive outliers or measurement errors. This analysis is particularly relevant for financial data, on which these tests are commonly used to detect variance breaks. In particular, we focus on the tests by Inclan and Tiao [IT] (1994) and Kokoszka and Leipus [KL] (1998, 2000), which have been intensively used in the applied literature. Our results are extensible to related procedures. We show that the asymptotic distribution of the IT test can largely be affected by sample contamination, whereas the distribution of the KL test remains invariant. Furthermore, the break-point estimator of the KL test renders consistent estimates. In spite of the good large-sample properties of this test, large additive outliers tend to generate power distortions or wrong break-date estimates in small samples.

Sovereign Tail Risk

We provide a new measure of sovereign country risk exposure to global sovereign tail risk (SCRE) based on information incorporated in 5-year sovereign CDS spreads. Our panel regressions with quarterly data from 53 countries show that macro risks have strong explanatory power for SCRE. After controlling for liquidity conditions and financial market variables, SCRE increases for countries with higher interest rates, public debt, public deficit, credit-to-GDP, lower economic growth and looser monetary policy. We show that our risk exposure variable reacts significantly more than mean (median) CDS spreads to macro-financial risks. Our results therefore imply that good fundamentals protect countries against sovereign risk especially in times of global distress.

The Effects of Economic Crises on Tourism Success: An Integrated Model

This paper provides a theoretical model of the influence of economic crises on tourism destination performance. It discusses the temporary and permanent effects of economic crises on the global market shares of tourism destinations through a series of potential transmission mechanisms based on the main economic competitiveness determinants identified in the literature. The proposed model explains the non-neutrality of economic shocks in tourism competitiveness. The model is tested on Spains tourism industry, which is among the leaders of the global tourism sector, for the period 1970–2013 using non-linear econometric techniques. The empirical analysis confirms that the proposed model is appropriate for explaining the changes in the market positions caused by the economic crises.

Finite sample performance of frequency- and time-domain tests for seasonal fractional integration

Testing the order of integration of economic and financial time series has become a conventional procedure prior to any modelling exercise. In this paper, we investigate and compare the finite sample properties of the frequency-domain tests proposed by Robinson [Efficient tests of nonstationary hypotheses, J. Amer. Statist. Assoc. 89(428) (1994), pp. 1420–1437] and the time-domain procedure proposed by Hassler, Rodrigues, and Rubia [Testing for general fractional integration in the time domain, Econometric Theory 25 (2009), pp. 1793–1828] when applied to seasonal data. The results presented are of empirical relevance as they provide some guidance regarding the finite sample properties of these tests.

The Value of Liquidity and Trading Activity in Forecasting Downside Risk

In this paper, we analyze the role played by market liquidity and tradingrelated variables in forecasting one-day-ahead “value-at-risk” (VaR). We use the quantile-regression methodology, as this allows us to directly study the effects of the predictive variables on the tail distribution of returns. Our empirical setting builds on the so-called CAViaR model put forward by Engle and Manganelli (2004) and extends it empirically by incorporating further information beyond volatility. The backtesting VaR analysis, based on unconditional and conditional coverage tests, reveals that liquidity and trading variables considerably enhance the VaR performance.

Información estratégica en la negociación colectiva: evidencia empírica para el mercado continuo español

RESUMEN El objetivo de este trabajo es analizar la actividad de divulgación en prensa escrita para las empresas cotizadas en el Mercado Continuo que negocian un convenio laboral y cómo afecta esta política divulgadora al comportamiento del precio de los títulos afectados y al resultado final de la negociación. El periodo anterior a la firma de un convenio de empresa ofrece incentivos potencialmente fuertes para cambiar la política de divulgación de una compañía. Si la política de divulgación puede aumentar la rentabilidad de la empresa, bien por reducción de la asimetría informativa o por promocionar la acción, ésta disfrutará de un coste de capital menor. Pero también la empresa puede tener incentivos para cambiar la opinión del sindicato acerca de la solvencia y futuros flujos de caja de la empresa, de tal forma que, el incremento pactado en los salarios sea lo menor posible. Por ello, la política divulgadora de la empresa afronta un conflicto entre el deseo de influenciar al mercado con una política agresiva de divulgación de buenas noticias, paliando el efecto negativo que la firma del convenio tiene sobre el mercado y, por otro lado, el deseo de que la negociación del convenio sea lo más favorable para la empresa. Nuestros resultados proporcionan evidencia al respecto.