Disclaimer: The views expressed on this website are my own and do not necessarily reflect those of the Banco de España or the Eurosystem.
Macroeconomics and finance: Climate Change, fiscal policy and government debt, interactions between monetary and fiscal policy, contagion in a Monetary Union
Econometrics: spatial econometrics, VARs, Markov-switching regressions
Broto, C. and O. Hubert (2025), “Desertification in Spain: Is there any impact on credit to firms?”, Banco de España Working Paper Series 2513 (full article).
We study whether the process of desertification in Spain has an impact on the volume of credit granted to Spanish non-financial corporations (NFCs). To this end, we use a panel data model at the municipal level from 1984 to 2019 for bank loans obtained from the Banco de España’s central credit register, where the main explanatory variable is the aridity index. Given that aridity is a long-term climatic phenomenon, we also estimate the model with local projections (Jordà, 2005) to disentangle the impact of aridity on credit to NFCs over longer horizons. Consistent with the literature, we find that higher aridity leads to lower credit to firms, at both short and long-term horizons. We also show that the effect of aridity on credit is sector-specific and depends on the climate zone. Credit to the agricultural sector is most negatively affected by this climatic hazard, while this phenomenon leads to more credit to the tourism sector in the most humid regions.
Alves, P. and O. Hubert (2025), "Does energy efficiency affect house prices in Spain?", Banco de España Occasional Paper Series 2508 (full article in Spanish).
This paper analyzes the impact of energy efficiency on housing prices in Spain, using data from over one million property sales between 2015 and 2022. A hedonic pricing model reveals that homes with higher energy ratings (A-B) sell for up to 9.7% more than the least efficient ones (F-G), with the effect growing over time. The price premium is especially significant in detached single-family homes and in municipalities with greater heating needs. These findings indicate that energy efficiency is increasingly valued in the housing market. From a policy standpoint, the results support initiatives that promote energy-efficient construction and strengthen certification systems, contributing to environmental goals while improving market transparency and consumer decision-making.
Gonne, N. and O. Hubert (2020), “Spatial distancing: air traffic, COVID-19 propagation, and the benefits of air travel restrictions”, COVID Economics 24. (full article or VoxEU column).
We analyse how air traffic across countries contributed to the propagation of COVID-19 by fitting a Spatial Durbin-Watson model adapted to local projections. Such a model explicitly accounts for spatial dependence of observations and allows to track the effect of domestic and foreign new infections over time. Our estimates show that air travel-induced cases amount to 8-9% of all confirmed cases on average, and that these infections from abroad came in two waves: in mid-March and the fourth week of March. We also evaluate that air travel restrictions had a marked impact in reducing the progression of the pandemic from April onward. Closing all air traffic 4 weeks earlier could have prevented between 7,000 and 7,800 deaths. Based on standard values of a statistical life and on the latest estimates of GDP loss induced by air travel restrictions, we conclude that, just as social distancing, spatial distancing might be a cost-effective way to tackle COVID-19 in the short run.
In this paper, I model sovereign yields spreads in the euro area as a function of global factors, domestic factors and I stress the influence of neighbors through the introduction of a spatial transmission mechanism based on the cross-border holdings of sovereign debt by domestic banks. Results indicate that financial shocks in the core countries (Germany, France, the Netherlands, Belgium, Austria and Finland) do not strongly propagate beyond their borders while spreads in the periphery countries (Italy, Spain, Ireland and Portugal) are largely influenced by other periphery countries.
"Macroeconomic Policy Interactions and the Cost of Fiscal Stimulus" with Romain Houssa (University of Namur).
In this research, we investigate whether larger deficits always cause higher sovereign yields. For this purpose, we identify episodes of sustainable and unsustainable fiscal and monetary policies where fiscal policy can be classified as sustainable or unsustainable and where monetary policy can be classified as dovish or hawkish. We apply local projections and show that yields respond differently to fiscal policy shocks depending on the combination of fiscal and monetary regimes considered. Typically, a combination of unsustainable fiscal policy with a dovish central bank leads to higher yields while a sustainable fiscal policy coupled with a hawkish central bank decreases sovereign yields.
"Nonlinear Effects of Fiscal Policy on the Yield Curve" with Hans Dewachter (National Bank of Belgium, KULeuven) and Romain Houssa (University of Namur).
We investigate whether the degree of sovereign debt sustainability has an influence on the way fiscal policy shocks influence sovereign yields and risk premia. Unsustainable and sustainable debt dynamics episodes are estimated with a Markov-switching regression framework of the fiscal instrument of the government. During periods of unsustainable fiscal policy, shocks to the primary deficit lead to a larger increase in sovereign yields and a flattening of the yield curve. Investors also appraise risk differently such that excess returns are consistently larger when fiscal policy is unsustainable.
Review of Development Economics