Jorge M. Uribe

A comparative analysis of stock market cycles

In this article, we date the ‘recession’ and ‘expansion’ phases of 46 stock markets around the world from December 1994 to September 2013. We use the Harding and Pagan methodology to identify peaks and troughs in these stock market indices. This approach enables us to establish periods of synchronization between the markets based on the timing of peaks and troughs and to measure this synchronization by means of the Harding and Pagan statistic. We find that several recent world crisis episodes and simultaneous recoveries can be identified with this method. We also present evidence demonstrating an increase in the pro-cyclicality of stock markets around the world.

Financial Consumer Protection in Spain

In Spain the notion of consumer does not coincide with the legal definition of the individual protected by domestic financial regulation. That is, while a consumer (or user) refers to a physical or legal entity, which operates in an area outside a business or professional activity; the individual in financial regulation is a client. The client can be an active or passive user of banks’ services, or a retail consumer (investor) in the capital market. The concept of client is more general than the concept of consumer. For instance the non-financial firms are also included in the former, while they are not in the later.

Trends in the Quantiles of the Life Table Survivorship Function

We offer a new approach for modeling past trends in the quantiles of the life table survivorship function. Trends in the quantiles are estimated, and the extent to which the observed patterns fit the unit root hypothesis or, alternatively, an innovative outlier model, are conducted. Then a factor model is applied to the detrended data, and it is used to construct quantile cycles. We enrich the ongoing discussion about human longevity extension by calculating specific improvements in the distribution of the survivorship function, across its full range, and not only at the central-age ranges. To illustrate our proposal, we use data for the UK from 1922 to 2013. We find that there is no sign in the data of any reduction in the pace of longevity extension during the last decades.

Risk Synchronization in International Stock Markets

Abstract We explore international risk synchronization in global stock markets over the last two decades. To this end, we construct global indices of risk synchronization based on individual estimations of market risk and their aggregation via spatial correlations. We then use these indices to analyze the effects of several financial crises on market risk synchronization. Our results reveal different risk-profile dynamics for mature and emerging markets. Contrary to general reports, we also find that not all financial crises induce a higher level of synchronization among markets, at least in relative terms. Indeed, some crises had the opposite effect, that is, a decoupling of market risk.

Effects of the United States interest rate innovations on Colombia, Peru and Chile

All Inclusive System has become a predominant service in sun and beach destinations. In Dominican Republic it is set as the main tourist attraction. The purpose of this research is to analyze the ratings of “all inclusive” international tourists that reach the tourist resort of Puerto Plata. This research is based on the responses obtained from of a questionnaire completed by foreign visitors. The main results show that tourists are a medium-high economic profile highlighting those visitors who choose this destination online. The beaches and ease of entry are the most highly valued.

Asymmetric Uncertainty of Mortality and Longevity in the Spanish Population

Using data of specific mortality rates, discriminating between males and females, we estimate mortality and longevity risks for Spain in a period spanning from 1950 to 2012. We employ Dynamic Factor Models, fitted over the differences of the log-mortality rates to forecast mortality rates and we model the short-run dependence relationship in the data set by means of pair-copula constructions. We also compare the forecasting performance of our model with other alternatives in the literature, such as the well-known Lee-Carter Model. Finally, we provide estimations of risk measures such as VaR and Conditional-VaR for different hypothetical populations, which could be of great importance to assess the uncertainty faced by firms such as pension funds or insurance companies, operating in Spain. Our results indicate that mortality and longevity risks are asymmetric, especially in aged populations of males.