Teodosio Pérez Amaral

An econometric model for international tourism flows to Spain.

The reported study measures the impact of the economic determinants of the international demand for tourist services in Spain. A panel data set of seventeen countries over the period 1985–1995 is used. By using appropriate panel data techniques the effects of real per capita income, exchange rates and real prices on the demand for Spanish tourist services. The estimated elasticities are +1.40, +0.50, and -0.30, respectively. The negative effect of the Gulf War is also detected, with a coefficient of -0.15. These results are comparable to previous empirical studies for other countries.

The Ten Commandments for Managing Value-at-Risk under the Basel II Accord

Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of Value-at-Risk (VaR) models to measure risk. The purpose of this paper is to provide a simple explanation and a set of prescriptions for managing VaR under the Basel II Accord. The commandments deal with understanding the Basel II colours, understanding the risk model before choosing, varying the choice of risk model, avoiding the green zone and being willing to violate, incurring large violations, stopping before the red zone, avoiding frequent violations, avoiding the estimation of large portfolios, aggregating portfolios into a single index, and interpreting commandments sensibly as guidelines.

Demand for international telephone traffic in Spain: An econometric study using provincial panel data

Abstract In this study we model the demand for outgoing international telephone traffic in Spain. We make use of a standard theoretical framework that incorporates the special characteristics of this type of telephone service. Consequently, equations for real expenditure per line and for the number of international calls per line are estimated. We use annual data for the 50 Spanish provinces for the period 1985–1989, and employ appropriate panel data techniques. The selected equations (one for expenditure per line in international traffic and another for the number of international calls per line) pass a battery of diagnostics. We conclude that this type of traffic, whether measured by expenditure per line or by the number of international calls per line, presents both high income and price elasticities. Moreover we find that price and income affect both the number of calls and their average duration. Likewise, we find a significant increase in social welfare when a tariff rebalancing that maintains the profit of the operating company is carried out.

The rise and fall of S&P500 variance futures

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility, and hence also an important barometer of investor sentiment and market volatility. Investors interpret the VIX cash index as a “fear” index, and of VIX options and VIX futures as derivatives of the “fear” index. VIX is based on S&P500 call and put options over a wide range of strike prices, and hence is not model based. Speculators can trade on volatility risk with VIX derivatives, with views on whether volatility will increase or decrease in the future, while hedgers can use volatility derivatives to avoid exposure to volatility risk. VIX and its options and futures derivatives has been widely analysed in recent years. An alternative volatility derivative to VIX is the S&P500 variance futures, which is an expectation of the variance of the S&P500 cash index. Variance futures are futures contracts written on realized variance, or standardized variance swaps. The S&P500 variance futures are not model based, so the assumptions underlying the index do not seem to have been clearly understood. As variance futures are typically thinly traded, their returns and volatility are not easy to model accurately using a variety of volatility model specifications. This paper analyses the volatility in S&P500 3-month and 12-month variance futures Before, During and After the GFC, as well as for the full data period, for each of three alternative conditional volatility models and three densities, in order to determine whether exposure to risk can be incorporated into a financial portfolio without taking positions on the S&P500 index itself.

Demand for Internet Access and Use in Spain

The goal of this paper is to analyze a new phenomenon: Internet demand in Spain. To do so, we use a new high quality data set and advanced econometric techniques for estimating Internet demand functions, incorporating the socio-demographic characteristics of the individuals. We begin with a graphic analysis of the data, searching for relationships between the different characteristics. Then we specify and estimate two econometric models, one for broadband access at home and another for Internet use intensity. We also find that 25.2% of the Spanish population accesses the Internet at home, but less than half uses broadband connection. This demand is positively related to income and other technological attributes and negatively related to socio-demographic attributes such as habitat and age. Our results are compatible with previous literature for other countries, although there is a important difference: broadband Internet connections are still considered as a luxury good in Spain.

Business telephone traffic demand in Spain: 1980-1991, an econometric approach

In this paper we use a theoretical model for the demand of telecommunication services to derive econometric models of the business demand for telephone traffic in Spain for the period 1980-1991. Using quaterly data, we estimate separate equations for the different types of toll traffic: local, long distance, national and international. We use cointegration techniques to obtain long run and short run equations, both estimated separately in two steps and jointly, in one step. A battery of diagnostics is applied to each of the equations, Price and output elasticies agree with previous findings and could be used for analizing the revenue effects of changes in tariffs and medium term forecasting of traffic and revenues.

GFC-Robust Risk Management Strategies under the Basel Accord

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily capital charges and violation penalties. The new method is illustrated by using the S&P500 index before, during and after the 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. The median VaR risk management strategy is GFC-robust as it provides stable results across different periods relative to other VaR forecasting models. The new strategy based on combined forecasts of single models is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions.

e-Commerce Use in Spain

This paper analyzes the factors that influence private e-commerce from the demand side in Spain. We use econometric models and a survey of 18,948 individuals for 2003, of which 5,273 are internet users.

Internet Purchases of Specific Products in Spain

Figures of Internet purchases by product categories reveal that certain types of products fare better than others. This research investigates product differences in the context of the individuals decision to purchase online. A theoretical model of consumer e-commerce adoption is developed and tested. By using a large and representative sample of 8837 Internet users in Spain, we analyse the factors that influence the popularity of Internet purchasing in 12 groups of products. We measure popularity of each category by the proportion of individuals who buy from a particular product category. Our results show that consumers behave differently, according to the product under consideration. We find that, overall, men are more likely to purchase than women. However, we identify products and services that are more popular among women and others that are more popular among men. For most products the probability of purchase increases with age up to a certain point, at which it starts decreasing. Education generally has a positive and significant effect on the purchase of most categories of products, although it varies by categories. All the categories show a positive and significant relationship between the consumers computer and Internet skills and the probability of purchasing online. The frequency of use and the level of trust of consumers in the Internet are found to have a large impact on the probability of purchasing online, although in varying degrees according to category. These results may be useful for retailers to devise marketing strategies and for policymakers to decide if and how to promote e-commerce.

Models for Individual Adoption of eCommerce, eBanking and eGovernment in Spain

This paper analyzes the adoption patterns of selected internet services such as eCommerce, eBanking and eGovernment in Spain. High quality official data from the Survey on Equipment and Use of Information and Communication Technologies in Households (ICT-H) of the National Institute of Statistics are used. The dataset is a cross section of 16,209 individuals for 2016. Theoretical demand models, grounded in a standard neoclassical utility maximization framework, are adapted to these services. Logistic regression techniques allow quantifying the impact of the socioeconomic characteristics of the individual on the adoption of each service. The resulting models are statistically significant and with a high predictive power. Age, education and levels of internet and computer skills are all significant in explaining the adoption of any of the three services; as are gender and income, but just for eCommerce and eBanking. Interestingly, the level of trust in internet is only significant to explain participation in eCommerce. Finally, policy recommendations are suggested, highlighting the desirability of using specific measures for the different socio-demographic groups and income strata.