Treballs de Barcelona Graduate School of Economics

Enviaments recents

  • Banking liquidity and systemic risk under panel VAR approach
    Aguilar, Alicia; García, Alberto; González, Pablo; Tackett, Taylor (2017)
    Aquest article pretén analitzarempíricament com els canvis en el risc sistèmic, mesurats per l'indicador compost d'estrèssistèmic (en anglès, CISS), poden afectar la liquiditat bancària i el finançament. Ens centrem i ...
  • The effect of monetary policy on corporate share repurchases in the United States
    Aliyeva, Farida; Bertez, Conrad; Kaithakkel, Aswathi John; Mostacci, Maurizio; Özcan, Elif (2017)
    In the wake of the global financial crisis that began in 2007, central banks throughout the world engaged in unprecented amounts of monetary policy aimed at stimulating their respective economies. One frequent comment from ...
  • The impact of forward guidance on inflation expectations: evidence from the ECB
    Barrera, Marc de la; Falath, Juraj; Henricot, Dorian; Vaglio, Jean-Alexandre (2017)
    This paper empirically investigates the impact of forward guidance announcements on inflation expectations in the Eurozone. The ECB first resorted to forward guidance on July 4, 2013 thereby expanding its array of ...
  • Gender differentials in returns to education in developing countries
    Barnardt, Ignatius; Jush, Golschan Khun; Wollesen, Thies; Hayden, Samuel; Sotosek, Eva (2017)
    We investigate a possible gender gap in returns to education using data from the World Bank’ STEP program for seven developing and emerging countries. We control for cognitive skills, non-cognitive skills and parental ...
  • Modeling IPP capital and its effect on the labor share
    Andonie, Alfredo; Degler, Moritz; Greppi, Andrea; Pisati, Lorenzo; Yagman, Ece (2017)
    We investigate the effects of intellectual property products capital in the evolution of the labor share for five European countries. Using post-revision national accounts data, we construct a benchmark labor share with ...
  • Gravity in bank lending within the European Union
    Gudmundsdottir, Saga; Helgason, Olafur Heidar; Leitner, Moritz; McDonnell, Clíona; Schramm, Alexander (2017)
    This paper investigates whether and how geographical distance matters for bank lending within and between countries in the European Union. We estimate gravity-type regressions in various specifications, incorporating ...
  • Partial adjustment in policy functions of structural models of capital structure
    Bongini, Mattia (2017)
    
We present a tradeoff model of capital structure to investigate the sources of adjustment costs and study how firms' financing decisions determine partial adjustment toward target leverage ratios. The presence of market ...
  • Estimating stochastic volatility: the rough side to equity returns
    Grimm, Lukas; Haynes, Jonathan; Schmitt, Daniel (2017)
    This Project evaluates the forecasting performance of a Brownian Semi-Stationary (BSS) process in modelling the volatility of 21 equity indices. We implement a sophisticated Hybrid Scheme to simulate BSS processes with ...
  • A unified framework for pricing credit and equity derivatives
    De Martino, Andrea; Ruiz Crosby, Edward Manuel; Stagni, Roberto (2017)
    This Master Project scrutinizes the underlying theoretical arguments within Bayraktar and Yang’s (2011) (4) model and tests if it is robust with newer 2017 data. We demonstrate all the related strong mathematical foundations ...
  • Randomized numerical linear algebra for generalized linear models with big datasets
    Lange, Robert Tjarko (2017)
    Data scientific questions face the fundamental trade-off between complexity, generalizability and computational feasibility. The need for quick estimation and evaluation of a vast amount of statistical models has given ...
  • Particle filtering for nonlinear state space models
    Höllwirth, Hans-Peter (2017)
    This paper studies a novel particle filter method proposed by Brownlees and Kristensen (2017) for parameter estimation of nonlinear state space models. The particle filter, named Importance Sampling Particle Filter, is tested ...
  • A data science game: assessing music recommendation with factorization machines
    Garriga Calleja, Roger; Mas Adell, Javier; Poudel, Saurav (2017)
    Internet has seen a tremendous growth in the last few years. Because of that, we have a lot of information about most of the things in web. And the usage of Recommendation system has become more important than ever. Rec ...
  • Measuring the impact of bike lanes in the number of bikeshare trips in Barcelona
    Quintanilha Barbosa, Vitor (2017)
    We analyze the impact of the construction of bike lanes in Barcelona during 2015 and 2016 on the number of trips of a public bicycle-share system. We use different specifications of control groups and also different ...
  • Welfare effects of price discrimination : the impact of big data
    Branco, Samira; Brossard-Ruffey, Amélie (2017)
    The emerging practice of price discrimination based on Big Data will enable firms, especially online retailers to increase their profitability while consumers fear to be the losers of the game. A study of Netflix services ...
  • Data-driven mergers : a call for further integration of dynamics effects into competition analysis
    Fidelis, Andressa Lin; Ortaç, Zeynep (2017)
    This report reviews data-driven mergers by focusing on two main competition challenges associated with them. Departing from the economic characteristics of data-driven markets, we analyze the unreplicable competitive ...
  • The heterogeneous agent model
 : a calibration based on a simulation
    Garchi Casal, Skander (2017)
    This paper aims to replicate Michael Creel’s work in ”Neural Nets for Indi-rect Inference” by calibrating a heterogeneous agent model. Michael Creel proposes to use neural networks to approximate the limited posterior mean, ...
  • How does being a dollarized economy affect a country in times of a crisis? Evidence from Ecuador
    Bergevin-Chammah, Carine; Domenech, Maria del Mar; Guasch, Marta; Murillo, Ricard; Ripoll, Rosa (2017)
    This paper analyses how a dollarized country is affected by a financial crisis, since a different response is expected due to the lack of independent monetary policy. The study focuses on the case of the dollarized economy ...
  • Putting child labour laws to work: evidence from Colombia
    Ahmed, Naveed; García Jordan, Francisco; Keenan, Michael; Kline, Benjamin; Lecland, Inés (2017)
    This paper uses household-level survey data from the USAID and the Colombian government to analyse the e˙ect of the Code of Childhood and Adolescence of 2006, which raised the minimum working age from 12 to 15, on the ...
  • Money for nothing: what can basic income achieve?
    Ruberl, Heather; Stoian, Anca (2017)
    Extending an Aiyagari-Huggett style model to include health-related produc-tivity shocks with wealth-dependent probability of occurrence, this paper sets out to assess the implications of introducing a guaranteed minimum ...