Universidad Complutense de Madrid

  • Economic Analysis Seminar June 2, Laura García-Jorcano (UCLM)

  • Inicio: Miércoles, 02 junio 13:00
    Fin: Miércoles, 02 junio 14:30
  • UCM Facultad de Ciencias Económicas y Empresariales, Campus de Somosaguas, Pozuelo de Alarcón, España

  • Dept. Economic Analysis

    Research Seminars
    Dear all,
     
     

    The following  virtual seminars will take place next week.

     

     

    Department of Economic Analysis & ICAE Research Seminars:

     

     

    WEDNESDAY, June 2nd, 2021, 13:00 h

    Laura García-Jorcano (U Castilla-La Mancha)

     

    Title: Forecasting the climate change risk by sea-level rises using time-varying extreme value analysis

     

    Abstract: One of the most significant potential impacts of climate change is the sea-level rise. A better understanding and measurement of extreme sea-level rise benefits the detection and attribution of climate change signals. Using the global and regional mean sea-level rise (mm) every 10 days (Dic/1992-Oct/2020), we propose two news forecasts measures called Extreme Sea-Level Value at Rise (ExSLVaR) and Extreme Sea-Level Expected Rise (ExSLER) at 10 days and at 1 month calculated for 8 seas/oceans of the Earth using Extreme Value Theory (EVT) and Filtered Historical Simulation (FHS) approach. Both measures enable us to calculate the dynamic risk of extreme sea-level rise in the coastal cities/countries of these oceans/seas. We also obtain time-varying mean sea-level rise projections for 10-80-280 years, reaching levels of 9.5 meters for 2300 for the Atlantic Ocean. Finally, we analyze the connection between our measures and financial risk in different sectors. The main evidence shows different regional and global forecasts. The results can serve as valuable inputs for these sectors in different cities/countries in deciding how much risk they are willing to accept, and consequently how much adaptation they need depending on the risk aversion of their decision-makers.

     

     

     

    You can join both  seminars through Google Hangout Meets at the following link:

    @ucm accounts are granted immediate access to the webinar. External accounts require explicit approval by the moderators.

    You can find the recording of the talk  as well as previous sessions, papers, and the schedule of upcoming seminars at the seminar’s webpage

    Hope to see you all there.
    Best,
    Jimenez-Martin, Juan-Ángel 
    Rodríguez Álvarez, Carmelo 
    Rodríguez Hernández, Juan Gabriel
    Sartarelli, Marcello
     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

     

    Dept. Economic Analysis

    Research Seminars
    Dear all,
     
    Next week, we'll have a double header with an internal seminar joint with the Taller de Avances (Programa Doctorado Facultad CCEE) on TUESDAY and a regular seminar on WEDNESDAY.
     

     

     

    Department of Economic Analysis & ICAE Internal Seminar & Taller Avances (Programa Doctorado Facultad CCEE):

    TUESDAY,  May 25th, 2021

    Conrado Brum (Banco Central Uruguay & PhD UCM)

    Title: : An indicator of monetary bias for emerging and dollarized economies: The case of Uruguay (joint with A García-Hiernaux ICAE UCM)

    Abstract: The instability of the relationships between interest rates, amount of money, and exchange rate, and the transmission problems between different interest rates hinder the measurement of monetary policy through a single variable. This difficulty is particularly relevant in emerging and dollarized economies. This paper proposes a multivariate indicator of monetary bias for these economies in which the monetary and financial variables are considered according to the impact they have on inflation in each period. We analyze the case of Uruguay and use a Factor Augmented Vector AutoRegressive Moving Average model with eXogenous variables (FAVARMAX) to estimate these effects. Using the evolution of the indicator proposed, called the Monetary Conditions Index (MCI), we characterize the policy adopted by the Central Bank of Uruguay between 2010-2019, a period of inflation targeting.

     

      JOIN WEBINAR_  

     

     

     

    Department of Economic Analysis & ICAE Research Seminars:

    WEDNESDAY, May 26 th, 2021, 13:00 h

    Lidia Sanchis-Marco (Univ Castilla-La Mancha)

     

    Title: Spillover effects between commodity and stock markets: A SDSES approach.

    Abstract: In this paper, we developed a state-dependent sensitivity expected shortfall (SDSES) approach using expectiles. This model enabled us to quantify the direction, size, and persistence of risk spillovers among the US and emerging market stock indices and different individual commodities as a function of the state of financial markets (tranquil, normal, and volatile). We obtained high and more significant spillovers and financialization process evidence in the volatile state after Lehman Brothers bankruptcy and market stock indices appeared to play a major role in the transmission of shocks to other markets.

     

     

     

    You can join both  seminars through Google Hangout Meets at the following link:

    @ucm accounts are granted immediate access to the webinar. External accounts require explicit approval by the moderators.

    You can find the recording of the talk  as well as previous sessions, papers, and the schedule of upcoming seminars at the seminar’s webpage

    Hope to see you all there.
    Best,
    Jimenez-Martin, Juan-Ángel 
    Rodríguez Álvarez, Carmelo 
    Rodríguez Hernández, Juan Gabriel
    Sartarelli, Marcello