Embedded Files
I always value the opportunity to write papers with PhD, Masters and even undergraduate students. Mentoring is a very valuable part of my work. Most research does not necessarily produce papers, but in some cases it is successful.
with Zeynep O. Kurter and Rubens Morita
with Zeynep O. Kurter and Rubens Morita
We investigate the lead-lag relationship between weekly sovereign bond yield changes and stock market returns for eight European countries, and how it changed during the period 2008-2022. We use a Markov-Switching Granger Causality method that determines reversals of causality endogenously. In all countries, there were often changes in the direction of the Granger causality between the two markets that coincided with global and idiosyncratic economic events. Stock returns led changes of sovereign bond yields in most countries, particularly during the nancial, the Euro Area crisis and Covid Pandemic. In contrast with the literature, we nd evidence that changes of sovereign bond yields led stock returns in several periods.
JEL Classification: C32; C54; C61; G01; G12; G15.
Keywords: Sovereign Bond Yields, Stock Markets, Vector Autoregression, Markov-
Switching, Granger Causality.
Working paper, 2023
With Idriss Fontaine, Ismael Galvez-Iniesta and David Vila-Martin
With Idriss Fontaine, Ismael Galvez-Iniesta and David Vila-Martin
We measure the size of gross worker flows between public and private sector and their importance for the dynamics of public employment over the last two decades in the US, UK, France and Spain. Between 10 and 35 percent of all inflows and outflows of the public sector are from and to private employment. These flows only account for 7 to 25 percent of the fluctuations of public employment.
JEL Classification: E24; E32; J21; J45; J60.
Keywords: Worker gross flows; job-to-job flows; public employment.
Presented at: University of Girona seminar, NIERS seminar, Royal Economic Society Conference, Symposium of the Spanish Economic Association and the T2M Conference.
Published, 2020
Journal of Cultural Economics
Journal of Cultural Economics
With Alejandro Librero-Cano
With Alejandro Librero-Cano
We measure the regional impact of the European Capital of Culture programme using a difference-in-differences approach. We compare the regions of cities that hosted the event with the regions of cities that tried to host it but did not succeed. GDP per capita in hosting regions is 4.5 percent higher compared to non-hosting regions during the event and the effect persists more than 5 years after it. This result suggests that the economic dimension of the event is important and support claims that the event serves as catalyst for urban regeneration and development.
JEL Classification: R10; R58; Z10.
Keywords: European Capital of Culture; Difference-in-differences.
Published, 2018
Page updated
Google Sites
Report abuse