Working papers

  • The impact for Spain of the new banking regulations proposed by the Basel Committee

    Working Paper Series 01/10

    This document provides a preliminary assessment for Spain of the trans- ition costs arising from the adjustment to the new solvency and liquidity regulation of banks proposed by the Basel Committee of Banking Supervision on 17/12/2009. Based on publicly available data, we estimate the shortfall of core capital for the Spanish banking system and the need for additional liquidity. We discuss several corrective actions that credit institutions could take to adapt to these new requirements, as well as their implications for outstanding credit and GDP levels under three di¤erent scenarios of market openness and length of the transition period.

  • The Drivers of Housing Cycles in Spain

    Working Paper Series 02/09

    Oriol Aspachs, Pau Rabanal
    • In the last fifteen years, Spain has witnessed a large increase in housing prices and in the importance of the housing sector, which has refreshed the debate on the drivers of housing cycles. Since Spain joined the EMU, two main important factors behind the housing boom appear to be the decrease of nominal interest rates due to the disappearance of currency risk premia, and demographic factors related to immigration and changing patterns in household composition. In order to assess the importance of these and other factors, in this paper we estimate a New Keynesian model of a currency area with durable goods, using data for Spain and the rest of the EMU. We find that parameter estimates are similar to the ones estimated in the literature, in that, in particular, durable goods prices are more flexible than nondurable consumption goods. We find that housing demand and technology shocks are the main driver of the recent housing boom. Finally, we examine the role of different rigidities suggested in the literature to help the model fit the data. We find that labor market frictions, that in the model imply costly labor reallocation across sectors, are crucial to explain main features of the data. On the other hand, financial frictions that impose a collateral constraint on borrowing do not appear to be relevant.

  • What Matters for Education? Evidence for Catalonia

    Working Paper Series 01/09

    Alícia Adserà, Maria Gutiérrez-Domènech

    This paper studies the association between socioeconomic factors, school characteristics and children's cognitive and non-cognitive development in Cat- alonia. We find that children born later in the year, close to the December 31st cutoff date, persistently tend to have lower academic results than those born in the first two quarters. However, we do not observe any difference in non-cognitive development by quarter of birth. The analysis also shows that children who ever attended nursery school do generally better than those who first started at pre-school (P3) or later. Furthermore, we find that fam- ily structure matters since children raised in non-nuclear and low educated families tend to underperform others at school. Estimates also indicate that first generation immigrants, especially Africans, have worse academic perfor- mance than those born in Spain. There seem to be strong benefits associated to time spent reading and studying languages, computer science and music. Finally, there is inconclusive evidence that students who arrive late in the academic year and those with special needs generate negative peer effects in the classroom.

  • Cointegrated TFP Processes and International Business Cycles

    Working Paper Series No. 03/08

    Juan Francisco Rubio-Ramírez, Pau Rabanal, Vicente Tuesta
    • A central puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard International Real Business Cycle (IRBC) models cannot reproduce this fact when calibrated using conventional parameterizations, and can only generate one fourth of the real exchange rate volatility observed in the data. Typically, IRBC models are solved assuming that total factor productivity (TFP) processes are stationary. In this paper, we …rst show that TFP processes for the U.S. and the "rest of the world" have a unit root, are cointegrated, and can be jointly characterized with a Vector Error Correction Model (VECM). Then, we explore the implications of extending an otherwise standard international real business cycle model that allows for cointegrated technology shocks. We show that the model can account for the high real exchange rate volatility observed in the data without having to rely on any particular nominal or real friction. Also, we show that the increase of relative volatility of the real exchange rate with respect to output in the last 20 years can be explained by changes in the parameter estimates of the VECM.