Open Access
Asymmetry in the EMS: new evidence based on non-linear forecasts
(2000) Bajo Rubio, Óscar; Sosvilla Rivero, Simón; Fernández Rodríguez, Fernando; Economía; Ekonomia
In this paper we provide new evidence on the hypothesis of German leadership and asymmetric performance in the EMS, in the framework of causality tests, using daily data. Given the evidence about non-linearity in financial series, we propose applying non-linear forecasting methods based on the literature on complex dynamic systems. Our analysis covers nine countries, and the sample period runs until 30 April 1998, so including the more recent events in the EMS history. A comparison of our results with those obtained from standard linear econometric techniques leads us to conclude that inference on causality based on our non-linear predictors would be preferable to that based on the standard linear approach.
Open Access
There was monetary autonomy in Europe on the eve of EMU? The German dominance hypothesis reexamined
(1999) Bajo Rubio, Óscar; Montávez Garcés, María Dolores; Economía; Ekonomia
In this paper we re-examine the German dominance hypothesis, as a way to assess whether the loss of monetary autonomy in Europe associated with EMU had been significant. We use Granger-causality tests between the interest rates of Germany and all the countries participating at any time in the European Monetary System, with the sample period running until December 1998. Our results would support a weak version of the hypothesis, with Germany playing a certain “leadership” or special role in the EMS, although she would not had been strictly the “dominant” player.
Open Access
Foreign direct investment and trade: a causality analysis
(1999) Bajo Rubio, Óscar; Montero Muñoz, María; Economía; Ekonomia
We analyse in this paper the relationship between outward FDI and exports, with Spanish quarterly data for the period 1977-1992. The empirical methodology makes use of Granger-causality tests in a cointegration framework, where the order of lags for each variable has been selected by means of Hsiao’s sequential approach. The tests have been performed both in a bivariate and multivariate setting, in the latter case including as additional variables a proxy for world income and the relative price of exports. Since cointegration between outward FDI and exports was found, error-correction mechanisms under three alternative specifications were included, which allowed us to discriminate between short- and long-run Granger-causality. Our results point to the existence of long-run Granger-causality from outward FDI to exports, according to a complementary relationship, for the Spanish case during the period of analysis.
Open Access
On the insurance function of fiscal policy in a monetary union
(2000) Bajo Rubio, Óscar; Díaz Roldán, Carmen; Economía; Ekonomia
In this paper we first review the available literature on the degree of insurance against shocks, provided by the central budget in the federal systems already existing. Next, we discuss the main points raised on the debate about the implementation of an automatic mechanism designed to cope with country-specific shocks in a monetary union, and present a specific proposal of such a mechanism.
Open Access
Simulating the effects of the European singles market: a CGE analysis for Spain
(2005) Bajo Rubio, Óscar; Gómez Gómez-Plana, Antonio; Economía; Ekonomia
In this paper we provide an empirical assessment of two of the measures proposed in the context of the European Single Market, namely, easing the provision of domestic and foreign services, and modifying the rules of public procurement, for the case of Spain. We build and simulate a computable general equilibrium (CGE) model, which incorporates three particular features: (i) increasing returns to scale and a noncompetitive price rule; (ii) sectoral export demand functions; and (iii) equilibrium unemployment according to a matching function approach.
Open Access
Fiscal policy and growth revisited: the case of the Spanish regions
(1999) Bajo Rubio, Óscar; Díaz Roldán, Carmen; Montávez Garcés, María Dolores; Economía; Ekonomia
This paper presents an assessment of the effects of fiscal policy on economic growth. Starting from a theoretical model in which only those fiscal policy instruments presumed to strictly influence the production process (i. e., public capital and transfers) are incorporated into the production function, we provide an empirical application for the case of the Spanish regions during the period 1967-1991. The results confirm the positive effect of public investment on growth, together with a positive effect of transfers but only for poorer regions.
Open Access
An industry analysis of foreign direct investment in Spanish manufacturing, 1986-1992
(1998) Bajo Rubio, Óscar; López Pueyo, Carmen; Economía; Ekonomia
This paper tries to analyse the main features associated with foreign direct investment (FDI) directed to Spanish manufacturing, both across industries and through time. To this end, we will make use of a data set on 20 manufacturing industries for the years 1986-1992, in which Spanish manufacturing industry experienced a sustained period of growth. Then, a relative FDI measure will be related to several industry indicators, as well as to some macroeconomic variables, which will allow us to obtain a general characterization of FDI in Spanish manufacturing over that period.
Open Access
A further generalization of the Solow growth model: the role of the public sector
(1999) Bajo Rubio, Óscar; Economía; Ekonomia
We develop in this paper an augmented version of the Solow (1956) growth model, including the role of government. The model leads to a non-monotonic relationship between the rate of growth of per capita output and government size, generalizing previous results by Barro (1990) to the case in which returns to scale to private factors are not constant.
Open Access
¿Existe un efecto Fisher en el largo plazo? Evidencia para la economía española, 1962-1996
(1998) Bajo Rubio, Óscar; Esteve, Vicente; Economía; Ekonomia
En este trabajo se contrasta empíricamente el cumplimiento del efecto Fisher a largo plazo para el caso español, utilizando datos trimestrales para el periodo 1962-1996. Para ello se utilizan nuevas técnicas de raíces unitarias y cointegración, donde se tienen en cuenta explícitamente la presencia de posibles cambios estructurales en la tendencia de las series. Los resultados son favorables a la existencia de un efecto Fisher parcial en el largo plazo, con una transición al tipo de interés nominal de aproximadamente un tercio por cada punto de incremento en la tasa de inflacción.
Open Access
A general framework for the macroeconomic analysis of monetary unions
(2001) Bajo Rubio, Óscar; Díaz Roldán, Carmen; Economía; Ekonomia
The objective of this paper is to develop a general framework for the macroeconomic modelling of monetary unions, which could be useful for policy analysis, as well as for teaching purposes. Our starting point will be the standard two-country Mundell-Fleming model with perfect capital mobility, extended to incorporate the supply side, and modified so that the money market is common for two countries forming a monetary union. The model is presented in two versions: for a small and a big monetary union, respectively. After solving each model, we will derive multipliers for monetary, real (i. e., demand-side), supply, and external shocks, paying a special attention to the distinction between symmetric and asymmetric shocks. A graphical analysis is also provided.