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Cuadernos de Economía. Número 108. 2015.

Permanent URI for this collectionhttp://dspace7.ti.uam.es/handle/10486/685338

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    Qualitative judgement in public credit ratings: A proposed supporting approach using Self-Organising Maps (SOMs)
    (Elsevier España S.L.U., 2015-08-05) García Estévez, Pablo; Carballo, Antonio
    The financial crisis that began in late 2007 has raised awareness on the need to properly measure credit risk, placing a significant focus on the accuracy of public credit ratings. The objective of this paper is to present an automated credit rating model that dispenses with the excessive qualitative input that, during the years leading to the 2007 crisis, may have yielded results inconsistent with true counterparty risk levels. Our model is based on a mix of relevant credit ratios, historical data on a corporate universe comprising the global pharmaceutical, chemicals and Oil & Gas industries and a powerful clustering mathematical algorithm, Self-Organising Maps, a type of neural network.
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    Analysis of the evolution of sovereign bond yields by wavelet techniques
    (Elsevier España S.L.U., 2015-08-05) Chinarro, David; Martínez, Eduardo; Sosvilla, Simón J.
    The term "wavelets" covers a set of resources from the mathematical analysis that has proven their efficiency in system identification on areas such as hydrology, geology, glaciology, climatology and energy resources optimization. The methodology undergone on systems engineering could be extrapolated to everything conceptualized as "complex system" whatever its nature be. The wavelet techniques provide the description of non-stationary components and the evolution of macroeconomic variables in the frequency domain. The identification of predominant frequential scales and transient effects in time series highlights the multiresolutional analysis that would be more difficult to treat with traditional methods of econometrics. A review of the literature will show the potential problems that can be solved with these techniques, including prediction of benefits calculated on the evolution of the risk premium of a country, the extraction of symmetric macroeconomic shocks in country clusters, or detection of transient effects on the mutual influence of sovereign bonds between pairs of countries, among others. The dissertation will culminate in specific applications that show the power of wavelet techniques in identifying possible determinants and correlation of the evolution of sovereign bond yields in the euro area countries.
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    Determining factors of private sector salaries in Ecuador for the year 2014: A case study in the city of Guayaquil
    (Elsevier España S.L.U., 2015-08-14) Zambrano-Monserrate, Manuel A.; Sanchez-Loor, Daniel A.
    In Ecuador, wage compensation for private sector workers has become a difficult problem to deal with and conciliate throughout history. The current Ecuadorean Constitution approved in Montecristi in 2008 strongly protects labour rights; however, many companies do not obey the law. This study investigates the variables that are significant to address private-sector wages in Guayaquil city. An analysis of the results in the previous literature and a review by Mincer (1974) suggest these variables: years of work experience, education, gender of the employee, position, seniority in the company, and marital status. Interactive and quadratic variables were also included. The inference methodology selected was ordinary least squares (OLS) with robust standard errors of White, and taking into account the sample bias correction proposed by Heckman (1979). The results show that the significant variables concerning human capital depend on the type of company they are working for and its interaction with other variables. Thus, empirical evidence was found to support that small companies are not paying their labour force in terms of productivity, specifically to new employees.
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    Burbujas especulativas: El estado de una cuestión poco estudiada
    (Elsevier España S.L.U., 2015-06-15) Madrid, Alberto; Hierro, Luis A.
    Este trabajo examina la literatura sobre burbujas especulativas. En el mismo se incluyen tanto los trabajos teóricos, destinados a conocer el origen de las burbujas y sus consecuencias, como los trabajos empíricos, destinados fundamentalmente a definir procedimientos econométricos para la detección de burbujas y a aplicarlos. También repasamos la discusión sobre si es posible considerar racional el comportamiento de los agentes en situaciones de burbujas. Las principales conclusiones que obtenemos son que existe una clara separación entre los estudios teóricos y empíricos que ha impedido el avance de la investigación sobre burbujas y que esta se encuentra también muy limitada por la tendencia de los investigadores a mantener los modelos y supuestos de los estudios pioneros. Ambas razones nos hacen pensar que la investigación sobre burbujas tendrá un importante desarrollo en el futuro