Research by areas

(If you are interested in any of the papers below and it cannot be accessed through the Web page, please get in touch at anovales@ccee.ucm.es)

1. Economic policy design and evaluation
    
2. Numerical solution metods for growth models
    
3. Volatility and Risk factors in financial markets
    
4. Forecasting and Econometric methodology

1. Economic policy design and evaluation

• Growth, income taxes and consumption aspirations, con G. Marrero, Economics Letters, 2011, 113 , pp. 221-224, DOI information: 10.1016/j.econlet.2011.07.021, ECOLET4923   
• Política monetaria antes y después de la crisis financiera, Claves de la Economía Mundial, ICEX-UCM, volumen 10, p. 29-41
• Transitional dynamics and welfare effects of the public investment/output ratio, with G. Marrero, in Journal of Current Issues in Finance and Economics, 1 (4), 14-42, 2008. Reprinted en Economic Dynamics: Theory, Games and Empirical Studies, Nova ed..
• Growth and Welfare: Distorting versus Non-distorting Taxes, with G. Marrero, Journal of Macroeconomics, 27, 3, (2005), 403-433.
• Income taxes, public investment and welfare in a growing economy, with G. Marrero, Journal of Economic Dynamics and Control, 31, 10, 3348-3369.
• Dynamic Laffer Effects, with J.Ruiz, Journal of Economic Dynamics and Control, 27 (2002), 181-206.
• Indeterminacy under non-separability of public consumption and leisure in the utility function, with E. Fernandez y J. Ruiz, Economic Modelling.
• The role of adjustment costs in interest rate determination, 1992, Journal of Economic Dynamics and Control 16, 1-25.
• Solving nonlinear rational expectations models: A stochastic, monetary equilibrium model of interest rates, 1990, Econometrica, 58, 1, 93-111.

2. Numerical solution metods for growth models

• Economic Growth: Theory and numerical solution methods

In addition to standard theoretical discussions, this Springer-Verlag textbook covers in detail stability issues and policy evaluation questions, providing numerical exercises in Excel and Matlab along with the theoretical analysis. Excel files are used for single realizations in deterministic models, while MATLAB files reproduce the analysis with a large number of sample realizations in stochastic economies.

A specific chapter reviews numerical solution methods. Further chapters are devoted to some endogenous growth models and to monetary economies. The effects of alternative monetary and fiscal policies and the possibilities for optimal policy design are emphasized throughout the book. Other non-standard issues addressed are: i) the possibility for nominal indeterminacy of the price level under some monetary policies, ii) stability of the time path for public debt, iii) the sample discretization of continuous-time models, iv) numerical solution methods for a wide class of endogenous growth models.

The book has been written by E. Fernandez-Casillas, A. Novales and J. Ruiz. For further details or any additional information regarding the manuscript, please contact: anovales@ccee.ucm.es.

• The role of Simulation methods in Macroeconomics, Spanish Economic Review, 2, 155-181, 2000. Power Point presentation.
• Solving nonlinear rational expectations models by eigenvalue-eigenvector decompositions, 1999, with E.Domínguez, J.Pérez, J.Ruiz, in Computational Methods for the Study of Dynamic Economies, A. Scott y R.Marimón (eds.), Oxford University Press.
• Solución numérica de problemas de control estocástico en Economía, with E. Domínguez, J. Pérez, J. Ruiz, 2004, in Optimización bajo Incertidumbre, Antonio Alonso-Ayuso, Emilio Cerdá, Laureano F. Escudero y Ramon Sala, Coordinadores, ed. ASEPUMA.

• Is it worth refining linear approximations to non-linear rational expectations models?, with J. Pérez, Computational Economics, 23 , p. 343-377, Kluwer Academic press, The Netherlands.

3. Volatility and Risk factors in financial markets

• Estimation of stochastic volatility and jumps in stock market indices using the Efficient Method of Moments , with A. Gonzalez Urteaga and G. Rubio, 2011
• Variance swaps, non Normality and Macroeconomic and Financial Risks, with B. Nieto and G. Rubio, manuscript, 2011
• Variance Swaps and Intertemporal Asset Pricing, with B. Nieto and G. Rubio, 2011, The Spanish Review of Financial Economics, 9, 1, 20-30. doi:10.1016/j.srfe.2011.01.001
• State-Uncertainty preferences and the Risk Premium in the Exchange rate market, with J. A. Jiménez, Economic Modelling, 27, 5, September 2010
• Are volatility indices in international stock markets forward looking?, with M.T. González, Revista de la Real Academia de Ciencias, October 2009.
• Liquidity and hedging effectiveness under futures mispricing: international evidence, with A. Andani and J.A. Lafuente, Journal of Futures Markets, 29, 7, 1-17, 2009.
• A factor analysis of volatilities across the term structure: the Spanish case, with S. Benito, Revista de Economía Financiera, November, 2007.
• An Error Correction Factor Model of Term Structure Slopes in International Swap Markets, with P.Abad, Journal of International Financial Markets Institutions & Money, 15, 3 (2005), 229-254.
• Volatility Transmission across the Term Structure of IRS Markets: International Evidence, with P. Abad, Applied Financial Economics (2004), 14, 1-14.
• Optimal hedging under departures from cost-of-carry valuation: evidence from the Spanish stock index futures market, with J.A. Lafuente, Journal of Banking and Finance (2003), 27, 1053-1078.
• A factor model of term structure slopes in eurocurrency markets, with E. Domínguez, Applied Economics Letters, (2002), 9,5 85-593.
• Correlations among Term Structure Slopes in Eurocurrency Markets, with E. Domínguez, International Journal of Finance, (2000), vol. 12, No 3, 1807-1822.
• Can Forward Rates improve Interest Rate Forecasts?, with E. Domínguez, Applied Financial Economics, 12, 7, 493-504.
• Testing the Expectations Hypothesis in Eurodeposits, with E. Domínguez, Journal of International Money and Finance, 19 (2000), 713-736.
• Dynamic correlations among slopes in Eurocurrency markets, con E. Domínguez, 2002, International Journal of Finance, 12, 3, 1807-1822.

4. Forecasting and Econometric methodology

• "Too much testing, poor testing: a review essay of research in empirical economics", manuscript. Presentation
• Datos y Modelos en el Análisis de Política Macroeconómica, Discurso de ingreso en la Real Academia de Ciencias Políticas y Morales, leído el dia 10 de noviembre de 2009
• La enseñanza de la Econometría en el Espacio europeo de Estudios Superiores
• Las interrelaciones entre investigación y docencia en economía aplicada, e-publica, revista electrónica: http://www.unizar.es/e-publica/, 2009
• A comment on : “Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination,” (paper written by T. Terasvirta et al.), International Journal of Forecasting, 21, 4 (2005), 775-780.
• "Cointegration, error correction models and forecasting: The UK demand for money", Journal of Forecasting, 1998, with A. García Ferrer, 17, pp. 125-145.
• "Forecasting with periodic models", International Journal of Forecasting, 1997, with R. Flores, 13, pp. 393-405.
• "A General Test for Univariate Seasonality", Journal of Time Series Analysis, 1997, with R. Flores, 18, pp. 209-49.
• "Recursive Identification, Estimation and Forecasting of Nonstationary Time Series with Applications to GNP International Data", 1996, with Garcia-Ferrer, A., del Hoyo, J., and Young, P.C., in Bayesian Analysis in Statistics and Econometrics: Essays in Honour of Arnold Zellner,  New York, John Wiley.
  

5. Desigualdad y pobreza

• Crecimiento, desigualdad y pobreza, Anales de la Real Academia de Ciencias Morales y Políticas, 2011, 437-450
• El triángulo del crecimiento, desigualdad y pobreza

    Current research projects

• Research head for project (SEJ2006-1435) "Optimalidad de la política fiscal y monetaria: 1) análisis teórico, 2) impacto sobre los mercados" 2006-2009.
  
• Research head for project (jointly with C. Sebastián): "Análisis regional del mercado laboral y de la inflación", Convenio UCM - CajaEspaña.
  
• Research head for project (jointly with C. Sebastián) : "Elaboración de un informe semestral sobre la economía de la Comunidad de Madrid", convenio UCM - Consejería de Economía e Inovación Tecnológica de la Comunidad de Madrid.
  
• Research head for project: "Grupo de investigación en análisis cuantitativo de política económica y mercados financieros", funded by Dirección General de Universidades e Investigación, Consejería de Educación, Comunidad de Madrid.

anovales@ccee.ucm.es
Despacho: Edificio 1 curso, N-126
Teléfono - Voz: 91 394 2611 - Fax: 91 394 2613
Departamento Economía Cuantitativa
Universidad Complutense de Madrid
Campus de Somosaguas
28223 Madrid