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Previous studies in energy stock markets have analyzed market connectedness using aggregate indexes and focusing on developed markets. We depart from the extant literature and we focus our attention on companies listed on emerging stock markets and examine connectedness from the firm’s perspective. Using a two-step approach, we remove the common global factors from energy stock returns and estimate the network of global energy stocks in emerging markets. We show that idiosyncratic components are highly relevant for our understanding of risk transmission in energy markets. Moreover, we offer precise diversification alternatives and identify the most systemically important firms and countries.

Com a resultat del procés de convergència en relació amb l'educació superior iniciat a Bolonya el 1999, el paper de la Universitat en la societat està experimentant una profunda transformació. El paradigma tradicional, segons el qual la Universitat és el punt de partida per construir coneixements al més alt nivell, s'està estudiant ara per donar cabuda a més estudis de formació professional, que inclouen l'adquisició de competències com a pilar central. No obstant això, dos dels principals actors que juguen un paper en el procés, acadèmics i emprenedors, tenen punts de vista diferents respecte a les competències que ha de tenir un graduat que entra en el mercat laboral. A partir dels resultats d'una enquesta realitzada a la Universitat de Barcelona, mostrarem com les empreses es giren a favor de competències relacionades amb la productivitat a mitjà-curt termini, mentre que la universitat aposta per deixar de banda el coneixement amb més caràcter científic. Aquest escenari reforça la necessitat d'un diàleg més profund entre la Universitat i les empreses, assenyalant els beneficis que alguns ajustos en la formació universitària poden acabar aportant a la societat., As a result of the process of convergence relative to higher education initiated in Bologna in 1999, the role of the University in the society is undergoing a profound transformation. The traditional paradigm, according to which the University is the point of departure for constructing knowledge at the highest level, is now under consideration in order to accommodate more vocational training studies, which include the acquisition of competencies as a central pillar. Nevertheless, two of the main actors that play a role in the process, academics and entrepreneurs, have different points of view with respect to the skills a graduate entering the labor market should have. Based on the results from a survey conducted at the University of Barcelona, we will show how firms turn in favor of competencies related to medium-short term productivity, whereas the university balks at setting aside knowledge with more scientific nature. This scenario reinforces the need of a deeper dialogue between University and firms, pointing out the benefits that some adjustments in college training may end up providing the society., Como resultado del proceso de convergencia relativa a la educación superior iniciado en Bolonia en 1999, el papel de la Universidad en la sociedad está experimentando una profunda transformación. El paradigma tradicional, según el cual la Universidad es el punto de partida para construir el conocimiento al más alto nivel, está ahora en consideración para dar cabida a más estudios de formación profesional, que incluyen la adquisición de competencias como pilar central. Sin embargo, dos de los principales actores que juegan un papel en el proceso, académicos y empresarios, tienen diferentes puntos de vista con respecto a las habilidades que debe tener un graduado que ingresa en el mercado laboral. A partir de los resultados de una encuesta realizada en la Universidad de Barcelona, mostraremos cómo las empresas están a favor de las competencias relacionadas con la productividad a medio-corto plazo, mientras que la universidad se resiste a dejar de lado el conocimiento con carácter más científico. Este escenario refuerza la necesidad de un diálogo más profundo entre la Universidad y las empresas, señalando los beneficios que algunos ajustes en la formación universitaria pueden acabar aportando a la sociedad.

We study the international propagation of financial conditions from the United States to global financial markets. The impact is highly heterogeneous alongside the quantiles of the distribution of the two major funding sources, credit and equity. Indeed, it is greater on the lower quantiles, which means that analogous to vulnerable growth episodes, examined by the past literature, there exist as well vulnerable funding periods of a global scale, originated from financial weakness in the US. These episodes are related to downside risk in terms of credit creation and firms’ market value around the world. Our estimates differentiate between first and second moment (i.e. uncertainty) shocks to financial conditions. This distinction proves to be relevant as it uncovers a complex propagation of shocks via different economic channels. On the one hand, credit growth largely responds to first moment shocks of US financial conditions four quarters after their occurrence, which is consistent with a credit view explanation of the transmission. On the other hand, stock markets react more sensitively and rapidly (mainly within a quarter) to second moment shocks, which can be theoretically associated with a portfolio channel underlying the shocks spread. We also document a heterogeneous impact across countries. In the case of credit growth this heterogeneity is better explained by the size or depth of the markets, while in the case of stock markets, the explanation is rooted on the strength of the financial connectedness with the US.

By distinguishing between four general notions of uncertainty (good expected, bad-expected, good-unexpected, bad-unexpected) within a common and simple framework, we show that it is bad-unexpected uncertainty shocks that generate a negative reaction of macroeconomic variables (such as investment and consumption), and asset prices. Other notions of uncertainty might produce even positive responses in the macroeconomy. We also show that small uncertainty shocks might have larger impacts on economic activity and financial markets than bigger shocks between one to three years after its realization. We explore the time and magnitude of uncertainty shocks by means of a novel distributed lag nonlinear model. Our results help to elucidate the real and complex nature of uncertainty, which can be both a backward or forward-looking expected or unexpected event, with markedly different consequences for the economy. They have implications for policy making, asset pricing and risk management.

This study examines the dynamic linkages between commonality in liquidity in international stock markets and market volatility. Using a recently proposed liquidity measure as input in a variance decomposition exercise, we show that innovations to liquidity in most markets are induced predominately by inter-market innovations. We also find that commonality in liquidity peaks immediately after large market downturns, coinciding with periods of crisis. The results from a dynamic Granger causality test indicate that the relationship between commonality in liquidity and market volatility is bi-directional and time-varying. We show that while volatility Granger-causes commonality in liquidity throughout the entire sample period, market volatility is enhanced by commonality in liquidity only in sub-periods. Our results are helpful for practitioners and policy makers.

Recent literature has shown that international financial integration facilitates cross-country consumption risk sharing. We extend this line of research and demonstrate that the decomposition of financial integration into good and bad plays an important role. We also propose new measures of countries’ capital market integration, based on good and bad volatility shocks, as well as country specific indices of consumption risk sharing. We document a decoupling of individual consumption growth from global risk sharing after episodes of negative cross-spillovers, and a recoupling after positive spillovers. Our results support current views in the literature that advocate for an asymmetric treatment of good and bad volatility shocks, in order to assess the macroeconomic dynamics that follow risk episodes. They also challenge previous views in the literature that present capital market integration (without differentiating between positive and negative shocks) as a prerequisite for higher international consumption risk sharing. Overall, they cast doubts on the actual scope for consumption risk sharing across global financial markets.

We aimed to analyze the evolution over time and the seasonality of outcomes of nonrandom alcohol concentration breath tests performed on drivers at sobriety checkpoints in Catalonia (Spain) from 2005 to 2012. Differences by gender are also explored.

We propose a daily index of time-varying stock market uncertainty. The index is constructed after first removing the common variations in the series, based on recent advances in the literature that emphasize the difference between risk (expected variation) and uncertainty (unexpected variation). To this end, we draw on data from 25 portfolios between 1926 and 2014, sorted by size and book-to-market value. This strategy considerably reduces information requirements and modeling design costs, compared to previous proposals. We compare our index with indicators of macrouncertainty and estimate the impact of an uncertainty shock on the dynamics of variables such as production, employment, consumption, stock market prices and interest rates. Our results show that, even when the estimates can be considered as a measure of stock market uncertainty (i.e., financial uncertainty), they perform very well as indicators of the uncertainty of the economy as a whole.

Una tendencia predominante en el sistema universitario europeo es la de otorgar un papel de mayor relevancia al estudiante. Las renovadas estrategias docentes y de aprendizaje confieren especial importancia al proceso evaluador, en el que el tradicional esquema sumativo va quedando relegado en pos de una evaluación formativa y colaborativa. En este artículo se analiza una experiencia de evaluación entre iguales enmarcada en el Grado de Estadística Interuniversitario de la Universitat de Barcelona y la Universitat Politècnica de Catalunya. Se expone una estrategia llamada doble corrección, que se lleva a cabo en dos fases. En la primera, los estudiantes, a través de rúbricas elaboradas por el docente, evalúan a sus compañeros, detectando posibles debilidades en el aprendizaje, y devolviéndoles un feedback que permite mejorar los trabajos antes de que el profesor les asigne una calificación. Como resultado se produce un incremento del rendimiento académico y un progreso en importantes competencias transversales. Una tendència predominant en el sistema universitari europeu és la d'atorgar un paper de major rellevància a l'estudiant. Les renovades estratègies docents i d'aprenentatge confereixen especial importància al procés avaluador, en què el tradicional esquema sumatiu va quedant relegat a favor d'una avaluació formativa i col·laborativa. En aquest article s'analitza una experiència d'avaluació entre iguals emmarcada en el Grau d'Estadística Interuniversitari de la Universitat de Barcelona i la Universitat Politècnica de Catalunya. S'exposa una estratègia anomenada doble correcció, que es porta a terme en dues fases. A la primera, els estudiants, a través de rúbriques elaborades pel docent, avaluen els seus companys, detectant possibles debilitats en l'aprenentatge, i retornant un feedback que permet millorar els treballs abans que el professor els assigni una qualificació. Com a resultat es produeix un increment del rendiment acadèmic i un progrés en importants competències transversals. A prevailing trend in the European university system at present is to confer an active role to the student. The new teaching and learning strategies give a preeminent position to the assessment process, which has moved from the traditional summative system to a formative and collaborative one. In this article we analyze a peer assessment experience in the Statistics Grade jointly taught at the Universitat de Barcelona and the Universitat Politècnica de Catalunya. The experience is carried out through the so-called double correction strategy, which is divided into two stages. In the first one students evaluate their peers through teacher-elaborated rubrics, identifying potential weaknesses in the learning process and giving feedback in order to improve the students work before being graded by the teacher. This seems to lead to an improvement in the academic achievement as well as on generic competences.

Esta publicación recoge diversas contribuciones del Grupo de Innovación Docente Consolidado “ANDES - Análisis de Datos en Economía y Empresa” que difunden los trabajos relacionados con la innovación docente en el amplio universo del análisis de datos. Se trata, pues, de un texto que pretende hacer llegar a docentes universitarios (o personas interesadas en la docencia universitaria) la investigación y la innovación que se producen en este ámbito. El Grupo de Innovación Docente Consolidado “ANDES” tiene como objetivos estudiar, analizar, ajustar y movilizar los recursos y acciones necesarias para mejorar la docencia de la Estadística y otras asignaturas de análisis de datos, que se dirigen a estudiantes de diferentes Grados, como Estadística, ADE, Economía, etc. Fundamentalmente, el trabajo de innovación docente se focaliza en asignaturas obligatorias y troncales de los Grados mencionados., Este texto ha sido llevado a cabo en el marco de los proyectos 2012PID-UB/094, 2013PID-UB/004, REDICE12-1623-02 y REDICE-ACCIÓ-13-01. Agradecemos a la Universitat de Barcelona su apoyo y financiación., Este texto ha sido llevado a cabo en el marco de los proyectos 2012PID-UB/094, 2013PID-UB/004, REDICE12-1623-02 y REDICE-ACCIÓ-13-01. Agradecemos a la Universitat de Barcelona su apoyo y financiación

This paper examines volatility spillovers between the stock and currency markets of ten Asian economies in the period 2003 to 2014. To carry out this analysis, a multivariate asymmetric GARCH model is used. In general, our results present evidence of bidirectional volatility spillovers between both markets, independently of the individual country’s level of development. Additionally, our findings show that the global financial crisis has had mixed effects on the volatility transmission patterns. Overall, our results suggest that exchange rate policies and investment decisions should not be implemented without first taking into consideration the links between the stock and currency markets.

Esta publicación es el cuarto volumen de una colección surgida a raíz del trabajo que lleva a cabo el Grupo de Innovación Docente Consolidado de Análisis de Datos en Economía y Empresa (UB) para recopilar y difundir los trabajos relacionados con la innovación docente en el amplio universo del análisis de datos. Se trata, pues, de una publicación que pretende hacer llegar a docentes universitarios (o personas interesadas en la docencia universitaria) la investigación que se produce en este ámbito.

This study examines the dynamic linkages between commonality in liquidity in international stock markets and market volatility. Using a recently proposed liquidity measure as input in a variance decomposition exercise, we show that innovations to liquidity in most markets are induced predominately by inter-market innovations. We also find that commonality in liquidity peaks immediately after large market downturns, coinciding with periods of crisis. The results from a dynamic Granger causality test indicate that the relationship between commonality in liquidity and market volatility is bi-directional and time-varying. We show that while volatility Granger-causes commonality in liquidity throughout the entire sample period, market volatility is enhanced by commonality in liquidity only in sub-periods. Our results are helpful for practitioners and policy makers.

We estimate multivariate quantile models to measure the responses of the six main Latin American (LA) stock markets to a shock in the United States (US) stock index. We compare the regional responses with those of seven developed markets. In general, we document weaker tailcodependences between the US and LA than those between the US and the mature markets. Our results suggest possible diversification strategies that could be exploited by investing in Latin America following a sizable shock to the US market. We also document asymmetrical responses to the shocks depending on the conditioning quantile at which they are calculated.

A prevailing trend in the European university system at present is to confer an active role to the student. The new teaching and learning strategies give a preeminent position to the assessment process, which has moved from the traditional summative system to a formative and collaborative one. In this article we analyze a peer assessment experience in the Statistics Grade jointly taught at the Universitat de Barcelona and the Universitat Politècnica de Catalunya. The experience is carried out through the so-called double correction strategy, which is divided into two stages. In the first one students evaluate their peers through teacher-elaborated rubrics, identifying potential weaknesses in the learning process and giving feedback in order to improve the students work before being graded by the teacher. This seems to lead to an improvement in the academic achievement as well as on generic competences.

In this paper we investigate the response of bond markets to euro area and US monetary policy shocks. Specifically, we analyze the effect of unexpected changes in interest rates implemented by the European Central Bank -ECB- and the Federal Open Market Committee -FOMC- not only on the returns, but also on the volatility and the integration of European government bond markets. For all three characteristics our results show that the response to monetary policy surprises varies across groups of countries -EMU EU-15 central, EMU EU-15 peripheral, non-EMU EU-15 and non-EMU new EU-. We also find that the effects of monetary policy announcements on the level of integration are more pronounced than those on returns and volatility. Finally, our results paint a complex picture of the effects of monetary policy news releases on the level of integration. The effect of ECB monetary policy surprises differs across old and new European Union members, while the effect of FOMC monetary policy surprises differs across EMU and non-EMU members.

Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2020-2021, Tutor: Helena Chuliá, El trabajo final de master se centra en el análisis de la relación lineal y no lineal entre los precios de commodities, los cuales han ido ganando fuerza e importancia en el mercado financiero internacional en las últimas décadas, y el índice bursátil S&P 500 de los Estados Unidos, siendo los commodities estratégicos escogidos en el análisis, el oro, el cobre, el petróleo crudo, el trigo y el algodón. Para ello, recurriremos desde un enfoque lineal al modelo DCC-GARCH. Mediante este modelo obtendremos las correlaciones condicionales y realizaremos un análisis comparativo de las mismas centrándonos especialmente en la crisis financiera del 2008 y la crisis del COVID-19. Por otro lado, utilizaremos el modelo de regresión cuantílica para medir la relación no lineal entre el S&P 500 y los precios de los commodities. Abstract The final master thesis focuses on the analysis of the linear and non-linear relationship between commodities prices, which have attracted considerable interest in the international financial market in recent decades and the S&P 500 stock index of the United States, being the strategic commodities chosen in the analysis, gold, copper, crude oil, wheat and cotton. For that purpose, we will use the DCC-GARCH model as a linear approach. By using this model, we will obtain the conditional correlations and we will carry out a comparison of them, focusing on the financial crisis of 2008 and the crisis of the COVID-19. On the other hand, we will use the quantile regression to measure the non-linear relationship between the S&P 500 the commodity prices.

Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2019-2020, Tutoria: Helena Chulià, El trabajo final de máster se centra en el análisis de los activos verdes, los cuales han tenido una mayor presencia en el ámbito financiero durante los últimos años. Se propone un análisis de la correlación y el riesgo de este tipo de activos para analizar su comportamiento y compararlos respecto a los activos tradicionales. Para ello, se utilizará un modelo DCC-GARCH a partir del cual estimaremos la correlación y el riesgo.

[eng] This dissertation contributes to a better understanding of liquidity in financial markets. Relying on the latest proxies for liquidity and TAQ benchmark data, this dissertation investigates liquidity in financial markets from different perspectives and gives answers to crucial challenges when assessing the importance of liquidity; its time-varying commonality across assets and stock markets; its impact on asset pricing in abnormal market states and finally its dynamics and determinants on a daily basis. This study has implications for investors and market makers as part of risk management and portfolio diversification and for policy makers in the context of designing optimal regulatory frameworks to predict and prevent common sources of liquidity tightness in global financial markets. In the second chapter, I study commonality in liquidity and its association to market volatility. Taking on a global perspective on this matter and examining nine major stock markets, I first construct a novel and dynamic measure of commonality in liquidity. I show that liquidity commonality is present in global stock markets and increases parallel to crisis periods. This finding points towards abrupt changes in liquidity fundamentals and clearly provide evidence for demand- and supply-driven sources of commonality in liquidity (i.e. correlated trading behavior on institutional level paired with restrictions on funding capital) on a global scale. Driven by the well acknowledged findings of a positive relationship between volatility and illiquidity, I investigate the time-varying tie between common variation in liquidity and volatility. Using a dynamic granger-causality test, I find that global market volatility always causes commonality in liquidity while commonality in liquidity causes volatility only in sub-periods, spanning over the financial crisis and its aftermath period. In the third chapter, I examine the effect of systemic liquidity risk as a priced risk factor in asset pricing. Hereby, I challenge the previous literature in their finding of a linear relationship between systemic liquidity risk and asset prices. I show that systemic liquidity risk is not always a priced factor in the explanation of asset prices. I find that systemic liquidity risk and asset prices are negatively associated in bad market states. This finding can be explained by downward trended liquidity spirals, in other words, an interaction between demand and supply-sided commonality in liquidity, which cause a depression in asset pricing during bad market states. I also show that liquidity risk has a positive link to asset pricing in good market states, which is mainly associated with search-for-yield considerations. Finally, I document that there is no significant relationship between systemic liquidity risk and asset pricing during normal market swings. This finding supports the initial claim that market participants do not worry too much about the state of market-wide liquidity during regular times. In the fourth chapter, I investigate daily liquidity and trading activity of energy stocks traded at U.S. stock exchanges, categorized into five energy sectors, that is, oil and gas, coal mining, renewables, electric- and multi-utilities. Using TAQ (trades and quotes) data, I examine various dimensions of liquidity and trading – effective spreads, price impact of trades, number of trades and volume – on sectoral level. I document cross-sectional differences in the level of liquidity and trading across energy stock segments. I find that liquidity and trading is trended and exhibit serial dependency up to higher lags, similarly across sectors. There is a weekly pattern for trading and liquidity, both decline on Fridays, on average. I also identify a number of factors that affect trading and liquidity commonly across sectors, that is, general market movements, short-term momentum runs and overall stock market volatility, which points again towards the direction of correlated trading, amplified by institutional investors. Moreover, I show that trading and liquidity are sensitive to a widening Term Spread. I find a heterogeneous effect of the oil price on liquidity and trading activity, dependent on the energy segment. Despite controlling for stock market volatility, I observe that illiquidity and trading increase with higher levels of oil price volatility. Finally, I show that trading activity, both, in number of trade executions and share volume, increases for renewable and multi-utility stocks when climate change receives global media attention. Fast markets and increased trading make liquidity to be one of the top considerations in the smooth functioning of financial markets, especially in the light of financial distress and sudden, downward trended liquidity spirals, where liquidity adjusts to different equilibria levels. For future discussion, there is further need to address liquidity in its different dimensions and in the context of financial market quality, information efficiency and sentiment. This dissertation is yet another step for a more comprehensive knowledge on liquidity.

Treballs Finals del Màster de Ciències Actuarials i Financeres, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2014-2015, Tutora: Helena Chuliá Soler, In this study we investigate the impact of conventional and unconventional measures made by central banks and rating announcements made by rating agencies on peripheral bonds correlations during the financial crisis (2007-2009) and the sovereign debt crisis (2010-2013). Previously, we estimate these correlations using the Dynamic Conditional Correlation (DCC) model proposed by Engle (2002). Our results reveal that peripheral bond markets became less integrated during the sovereign debt crisis and we find that negative news on interest rates and Quantitative Easing (QE) announcements had a negative impact on dynamic correlations and provided diversification opportunities. The effect of downgrades was also negative in most of the cases suggesting that the increased sovereign risk among peripheral countries lead to lower correlations.

El actual trabajo presenta los resultados obtenidos y las técnicas aplicadas al analizar la probabilidad de impago a 90 días en la cartera de clientes de una entidad de financiación al consumo, a partir del comportamiento de uso de sus tarjetas de crédito. A través de la extracción y posterior explotación de la base de datos transaccional, se han generado nuevas variables que, mediante el uso de los algoritmos Adaboost y Random Forest, permiten ordenar la cartera de clientes de forma efectiva, permitiendo así a la entidad actuar sobre ésta sin asumir más riesgo del necesario.