Maximo Camacho

Welcome to my web page

 

Address

Phone, Fax, e-Mail

Departamento de metodos cuantitativos,
Facultad de Economia y Empresa,
Universidad de Murcia,
 30100, Murcia, Spain

+00 34 968 367982 (Phone)
+00 34 968 367905 (Fax)
mcamacho@um.es

In this page...

1. Working papers

2. Published papers

3. Teaching (Spanish)

4. Curriculum vitae

Working Papers

   We present evidence about the loss of the so-called “plucking effect”, that is, a high-growth phase of the cycle typically observed at the end of recessions. This result matches the popular belief, presented informally by different authors, that the current recession will have permanent effects, or that the current recession will have an L shape versus the old-time recessions that have always had a V shape. Furthermore, we show that the loss of the “plucking effect” can explain part of the Great Moderation. We postulate that these two phenomena may be due to changes in inventory management brought about by improvements in information and communications technologies.

   What is the meaning of green shoots? In this paper we provide a statistical definition of this term which allows us to analyze where, when and how the recovery started. With the same methodology, we confirm that the symptoms of recovery are clear in the US, the Euro area and Spain with some differences in timing. In addition, we find some leading behaviour from the quotes in the press to the actual confirmation of the data, even when the data include variables with clear expectations contents.

 

back

Published Papers

    We propose a model to compute short-term forecasts of the Euro area GDP growth in real time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. In this context, we provide examples that show how data revisions and data availability affect point forecasts and forecast uncertainty.

   We develop a dynamic factor model to compute short term forecasts of the Spanish GDP growth in real time. With this model, we compute a business cycle index which works well as an indicator of the business cycle conditions in Spain. To examine its real time forecasting accuracy, we use real-time data vintages from 2008.02 through 2009.01. We conclude that the model exhibits good forecasting performance in anticipating the recent and sudden downturn.

    We analyze the redistributive impact of the 1990s expansion in US, UK, France, Germany, Italy, and Spain by evaluating the income distribution changes over the trough-peak years that determine the expansionary period in these countries. Our empirical strategy separates between market-driven changes affecting income distribution and the role of government interventions through taxes and transfer payments. Overall, the Euro-area tax and transfer system plays a crucial role in offsetting the market-driven poverty and inequality evolutions. However, government interventions reduce the equalitarian effect of the market in UK, and aggravate the market-driven inequality in US.

    This paper provides a comprehensive framework to analyze business cycle features other than synchronization. We use stationary bootstrap and model-based clustering methods to analyze similarities and differences among the European cycles. We find evidence that the length, deep and shape of cycles differ across European countries and that these differences are not decreasing over time. Finally, even though we find some correlation between business cycle synchronization and characteristics, there is important information in the characteristics that is not captured by the synchronization measures.

    We propose a new panel data methodology to test real convergence in a non-linear framework. It extends the existing methods by combining three approaches: the threshold model, the panel data unit root tests and the computation of critical values by bootstrap simulation. We apply our methodology on the per-capita outputs of a total of fifteen European countries, including some of the East-European countries that have recently joined the EU.

  • 2008. Determinants of Japanese Yen Interest Rate Swap Spreads: Evidence from a Smooth Transition Vector Autoregressive Model (with Carl R. Chen and Ying Huang). In Journal of Futures Markets, Vol. 28, No. 1, 2008, pp. 82-107. Download the paper.

    This paper investigates the determinants of variations in the yield spreads between Japanese yen interest rate swaps and Japan government bonds for a period from 1997 to 2005. A smooth transition vector autoregressive (STVAR) model and generalized impulse response functions are used to analyze the impact of various economic shocks on swap spreads. The volatility based on a GARCH model of the government bond rate is identified as the transition variable that controls the smooth transition from high volatility regime to low volatility regime. The break point of the regime shift occurs around the end of the Japanese banking crisis. The impact of economic shocks on swap spreads varies across the maturity of swap spreads as well as regimes. Overall, swap spreads are more responsive to the economic shocks in the high volatility regime. Moreover, volatility shock has profound effects on shorter maturity spreads, while the term structure shock plays an important role in impacting longer maturity spreads. Our results also show noticeable differences between the non-linear and linear impulse response functions.

    One of the most familiar empirical stylized facts about output dynamics in the United States is the positive autocorrelation of output growth. This paper shows that positive autocorrelation can be better captured by shifts between business cycle states rather than by the standard view of autoregressive coefficients. The result is extremely robust to different nonlinear alternative models and applies not only to output but also to the most relevant macroeconomic variables.

    We propose a comprehensive methodology to characterize the business cycle comovements across European economies and some industrialized countries, without imposing any given model but trying to "leave the data speak". We develop a novel method to show that there is no evidence of a "European economy" that acts as an attractor to the other economies of the area. We show that the establishment of the Monetary Union has not significantly increased the level of comovements across Euro-area economies. Finally, we are able to explain an important proportion of the distances across their business cycles using macro-variables related to the structure of the economy, to the directions of trade, and to the size of the public sector.

     Based on a novel extension of existing multivariate Markov-switching models, we provide the reader with a useful tool to analyze current business conditions and to make predictions about the future state of the Euro-area economy in real time. Apart from the Industrial Production Index, we find that the European Commission Industrial Confidence Indicator, that is issued with no delay, is very useful to construct the real-time predictions.

    In this paper, we propose a new framework to analyze pairwise business cycle synchronization across a given set of countries. We show that our approach, that is based on multivariate Markov-switching procedures, lead to more confident results than other popular approaches developed in the literature. According to recent findings, we show that the G7 countries seem to exhibit two differentiated "Euro-zone" and "English-speaking" business cycles dynamics.

    I investigate cointegrating relationships such that, even though the long-run attractors are assumed to be linear, the dynamics of the equilibrium errors depends on the business cycle. I postulate a Markov-switching stochastic trends model to study both the short-run responses to permanent shocks and the effects of severe recessions in the long-run growth. I apply these findings to explore the short-run and long-run asymmetric relationships among output, consumption and investment.

    In this paper, I extend to a multiple-equation context the linearity, model selection, and model adequacy tests recently proposed for univariate Smooth Transition Regression models. Using this result, I examine the nonlinear forecasting power of the Conference Board Composite index of Leading Indicators to predict both output growth and the business-cycle phases of the U.S. economy in real time.

    We use the Stock-Watson diffusion index methodology to summarize the information contained ina wide set of monthly series (published in the Statistical Bulletin of the Bank of Spain) by menas of a reduced number of facors. We find that the first two factors may be used as indicators of the core inflation and the business cycle dynamics of the Spanish economy, respectively. In addition, we study the effects of incorporating large information sets for the analysis of monetary policy. Finally, we show that forecasting prices and output with our factors outperforms other standard alternative forecasting procedures.

    We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyze the CLI's accuracy at anticipating US output growth. We compare the predictive performance of linear, VAR extensions of smooth transition regression and switching regimes, probit, nonparametric models and conclude that a combination of the switching regimes and nonparametric forecasts is the best strategy at predicting both the NBER business cycle schedule and GDP growth. This confirms the usefulness of CLI, even in a real-time analysis.

back


Teaching (Spanish)

 I prepared some computer lectures in econometrics that include E-views and GAUSS files. You can click on the link for visiting my teaching web pages.

1. Econometrics

2. Forecasting models

back

Curriculum Vitae

back

ˇ  Since May 2003, you are the visitor number...