Antonio Rubia Serrano

Long-Horizon Regressions when the Predictor is Slowly Varying

Predictive stock return regressions have two distinctive characteristics: i) the predictor on the right-hand side is persistent and its variance is orders of magnitude smaller than the variance of returns; (ii) the left-hand side variable is a long-horizon return constructed from overlapping sums of short-horizon returns. We offer a new model for the predictor that parsimoniously captures and links its persistence and small variance. We then use two asymptotic approaches to analyze the properties of long-horizon regressions. The approaches differ in their treatment of the overlap. One of the asymptotics has previously been analyzed with other data generating processes, while the second one is novel. We find that under both asymptotics, least-squares estimators are not consistent, their t-statistics diverge, and the R is not an adequate goodness-of-fit measure. Interestingly, a re-scaled version of the t-statistic is consistent under both long-horizon approximations and is suitable for testing predictability in long-horizon regressions. A Monte Carlo analysis of the finite-sample properties of the re-scaled t-statistic reveals that both approximations are accurate even for small sample sizes. We apply these results to test for predictability in returns of real estate investment trusts (REITs) which have come into existence only since the early 1970s and for which a reliable predictability test is crucial given the small dataset.

On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates

Testing for unit roots in short-term interest rates plays a key role in the empirical modelling of these series. It is widely assumed that the volatility of interest rates follows some time-varying function which is dependent of the level of the series. This may cause distortions in the performance of conventional tests for unit root nonstationarity since these are typically derived under the assumption of homoskedasticity. Given the relative unfamiliarity on the issue, we conducted an extensive Monte Carlo investigation in order to assess the performance of the DF unit root tests, and examined the effects on the limiting distributions of test procedures (t- and likelihood ratio tests) based on maximum likelihood estimation of models for short-term rates with a linear drift.

Cycles, Economic Crisis and Tourism Competitiveness in Spain: Mechanisms of Transmission and Structural Effects

La version espanola de este articulo puede encontrarse en http://ssrn.com/abstract=2197369.This paper considers the influence of business cycles and economic crises on Spain’s tourism competitiveness. This competitiveness is measured by its share in world tourism. Analysing a period of forty years, the permanent effects of temporary or structural economic crises on competitiveness are observed. Furthermore, it identifies the economic transmission mechanisms operating within this context, analysing them within the framework of the most relevant explanatory models of tourist destination competitiveness. The main conclusion obtained is that although in terms of demand the Spanish tourism industry has proved to be highly resilient to crises, when they are considered in terms of competitiveness (measured by Spain tourism international market share), the effects of these shocks are not neutral with the negative effects being more persistent in highly intensive crises. This effect works through two basic transmission mechanisms: the reduction of internal and external tourism demand and falling investment.

Ciclos, Crisis Económica y Competitividad Turística en España: Mecanismos de Transmisión y Efectos Estructurales (Cycles, Economic Crisis and Tourism Competitiveness in Spain: Mechanisms of Transmission and Structural Effects)

The English version of this paper can be found at http://ssrn.com/abstract=2201776.En este trabajo se considera la influencia de los ciclos y las crisis economicas sobre la competitividad turistica de Espana, medida a traves de su cuota de participacion en el turismo mundial. Analizando un periodo de cuarenta anos se observan los efectos permanentes que las crisis economicas, coyunturales o estructurales, generan sobre la competitividad. Asimismo se identifican los mecanismos de transmision economica que operan en este contexto, analizandolos bajo el marco teorico que brindan los modelos explicativos mas relevantes de la competitividad de los destinos turisticos. La principal conclusion obtenida es que si bien el turismo espanol se ha caracterizado en terminos de demanda por una fuerte resistencia a las crisis, las mismas no son neutras en terminos de competitividad, pues provocan efectos negativos sobre misma, que se tornan mas persistentes con aquellas crisis de elevada intensidad y que tienen su reflejo en la participacion mundial de Espana en el sector. Dicho efecto obra a traves de dos mecanismos basicos de transmision: la reduccion de la demanda turistica interna y externa, y la caida de la inversion.This paper considers the influence of business cycles and economic crises on tourism competitiveness of Spain. This competitiveness is measured by its share in world tourism. Analyzing a period of forty years, the permanent effects of temporary or structural economic crises on competitiveness are observed. The authors also identifies the main economic transmission mechanisms operating in this context, analyzing them from the theoretical framework provided by the most relevant explanatory models of tourism destinations competitiveness. The main conclusion obtained is that while the Spanish tourism has been characterized for a strong resilience to shocks in terms of demand, when they are considered in terms of competitiveness (measured by Spain tourism international market share), these shocks have not neutral effects, being the negative ones more persistent with those high intensity crisis. This effect works through two basic transmission mechanisms: the reduction of internal and external tourism demand, and falling investment.