Fall - Winter 25-26
Apr 2026
Wed, 08 @ 12:30. Webinar /Onsite Macro Seminar 
- Speaker: Arianna Garofalo (UCM-ICAE)
- Title: Consumption and the Size of the Informal employment
- Abstract: We document four structural transformations of the Mexican economy from 2002 to 2024. The first transformation refers to the sustained decline in the share of workers in informal employment within both the goods and services sectors. The second transformation refers to the parallel decline in the share of household consumption expenditure allocated to informal outlets. The third transformation documents a persistent formal–informal gap in item-level unit values, where formal purchases systematically embody higher quality than informal ones. The fourth transformation, validated through a natural experiment exploiting the expansion of Mexico's universal 65+ pension program, confirms that exogenous income gains causally shift households toward higher-quality formal consumption. To explain these facts, we argue that consumers differentiate goods and services by the quality embodied in formal and informal varieties, and that demand for formal quality is highly income-sensitive. To formalize this rationalization, we build a dynamic general equilibrium model with two broad sectors (goods and services) each composed of a formal and an informal industry. Formal firms produce quality-augmented varieties subject to output taxes and labor wedges, while informal firms produce cheaper, non-quality varieties subject to subsistence requirements. We use the model to quantify the contribution of consumer demand for formal quality to the observed within-sector formalization of the Mexican economy between 2002 and 2024. Our results suggest that this demand-side mechanism accounts for a significant share of the decline in informal employment shares, offering a complementary explanation to the supply-side determinants emphasized in the existing literature.
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Mar 2026
Wed, 11 @ 12:30. Webinar / Online Econometrics - Finance Seminar
- Speaker: F. Díaz (UCM)
- Title: Three Essays on Long-Term Forecasting of Fossil Fuel Prices and climate risk assessment
- Note: This is an ICAE-Department of Economic Analysis Ph.D. seminar meant to Ph.D. candidates to show their work to the teaching staff and their peers. Pass this seminar is a requirement for satisfactory progress in the Doctoral joint Program in Quantitative Finance and Economics/Programa de Doctorado en Finanzas y Economía Cuantitativas (UCM-UPV-UV-UCLM)
- Invited by: M.D. Robles (ICAE-UCM)
- Abstract: This dissertation investigates the long‑term behaviour of energy commodity prices and the influence of climate‑related risks on financial markets. The first chapter estimates the permanent component of energy commodity prices and examines how data frequency affects the extraction of long-run trends. Using futures prices for three major commodities observed at four frequencies from the 1980s to 2021, and applying five complementary methodologies, the analysis shows that trend estimates are quite invariant across frequencies, although lower‑frequency data yield more efficient and trend‑focused results. The second chapter develops a combined forecasting framework to obtain a robust long‑term trend for crude oil prices. Five individual trend estimates—derived from polynomial fitting, moving averages, the Hodrick–Prescott filter, MODWT, and a Kalman‑filter implementation of the Schwartz and Smith (2000) model—are merged using seven ensemble methods. The newly proposed METS 2.0 algorithm delivers the most accurate and stable forecasts, and trend‑guided strategies outperform price‑based ones in long‑horizon investment simulations. The third chapter proposes a multi‑factor Climate Risk Index (CRI) integrating physical climate indicators, climate‑related news sentiment, and policy uncertainty. Using a two‑stage modelling pipeline and the meta‑ensemble procedure (METS 3.0), the study generates CRIs tailored to the fossil fuel and ESG markets. The resulting indices outperform conventional single‑metric measures in predicting risk premia. Together, the chapters provide new tools for analysing structural dynamics in energy prices and integrating climate risk into financial decision‑making.
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Feb 2026
Wed, 11 @ 12:30. Webinar / Onsite Internal Seminar
- Speaker: M. Palomeque (UCM)
- Title: The Sisyphus Effect: Dynamic Gender Discrimination in the Music Industry
- Abstract: This paper examines gender inequality in popular music using a newly constructed, comprehensive dataset covering the universe of songs that entered the Billboard Hot 100 between 1958 and 2025. By integrating chart histories with artist-level characteristics across multiple sources, the dataset enables dynamic analyses of participation, performance, and survival that were previously infeasible at this scale and horizon. Combining structural break analysis, dynamic participation models, and artists’ performance regressions, we show that non-male representation does not evolve cumulatively but is repeatedly reset at moments of technological and institutional change. Participation rises within regimes but drops sharply at structural transitions, consistent with renewed uncertainty and gatekeeping. Conditional on chart entry, non-male artists systematically over-perform at entry and peak visibility, yet exhibit weaker chart persistence, a pattern strongest in periods of stagnating participation. We interpret these findings as evidence of a Sisyphus Effect in the music industry, whereby higher effective entry thresholds force non-male artists to repeatedly rebuild representation under changing industry conditions. More broadly, the paper highlights conditional over-performance as a general empirical strategy for identifying discrimination in truncated markets when under-representation is observed in-sample.
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Oct 2025
Wed, 22 @ 12:30. Webinar / Onsite Internal Seminar
- Speaker: M. Sartarelli (ICAE-UCM)
- Title:Demand and Supply Shocks in eBay Electronics and COVID Lockdown
- Abstract: We leverage a novel dataset with more than 30,000 eBay auctions of electronics sold to Spanish customers to test the role Covid19 lockdowns in Europe plays on relevant market characteristics, such as supply and demand, equilibrium prices, as well as proxies for buyers degree of ``sophistication''. We use a regression discontinuity design to estimate the effect of arguably exogenous lockdown dates and summarise our results as follows. First, the n. auctions tends to decrease after a lockdown although not all estimates are significant at conventional levels. Second, both demand and supply at most lockdowns are sensitive to products from Great Britain, as they account for more than 50% of auctions. Third, laptops auctions differ relative to other products, e.g. at the German lockdown last minute bids increase for laptops while they decrease for other products. Our results suggests that the economic uncertainty associated to the lockdown seems to have impacted supply more than demand, with the latter exhibiting somewhat greater heterogeneity.
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Wed, 15 @ 12:30. Webinar / Onsite Internal Seminar
- Speaker: Francesca Lipari (ICAE-UCM)
- Title: Public support for replacing road tolls with universal road pricing: a stated choice experiment.
- Abstract:The fight against climate change passes by adapting people’s travel behavior. Several countries are now considering moving towards universal road pricing, where all car drivers pay a tax based on kilometers driven, which varies by time and place. While there is some evidence on public opposition against road tolls, fuel taxes, and other environmental taxes, there is little evidence on attitudes towards universal road pricing. As with any other tax, this intervention requires public support. In this paper, we show evidence from a stated choice experiment among survey participants in Madrid. Through different informational treatments, the experiment sheds light on the motivations behind possible support for the policy, both economic and social ones. The experiment shows that a substantial share of the respondents prefer universal road pricing over current road tolls and fuel taxes, but that support depends on the price level and how revenues are spent. There are some informations that are more salient than other in guiding policy support. The experiment elicits social norms on sustainable travel behavior that are used as additional motivation for studying citizen support. Using latent class analysis and machine learning methods, we identify distinct groups of respondents with varying policy preferences.
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Wed, 8 @ 12:30. Webinar / Onsite Internal Seminar
- Speaker: Laurentiu Guinea (ICAE)
- Title:Sovereign Risk Uncertainty and Macroeconomic Transmission: Short-, Medium-, and Long-Run Effects
- Abstract:This paper identifies Sovereign Risk Uncertainty (SRU) embedded in U.S. credit default swap spreads across maturities and quantifies its macrofinancial effects. We estimate a Bayesian dynamic factor model that extracts three latent SRU factors: short run (s-SRU), medium run (m-SRU), and long run (l-SRU), reflecting transitory, reassessment of default risk, and structural risks. We then trace their effects in a set of Bayesian VARs for macro aggregates, labor-market outcomes, interest rates, uncertainty, expectations, and oil markets. Short-run uncertainty effects on activity and inflation expectations are brief and small. Medium-run uncertainty nudges expectations with gradual real-side effects. The long-run component behaves like a news shock: its impulse responses are hump-shaped and persistent in all systems except the oil BVAR, and it shifts macro expectations in ways that accumulate over time. Across VARs, l-SRU delivers the most durable real effects on output, consumption, savings, and labor-market slack, and it raises inflation-risk pricing without unanchoring long-run expectations. By separating SRU into these horizons, the paper clarifies how sovereign risk uncertainty transmits through financial markets into the macroeconomy.
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Thu, 02 @ 12:30. Webinar / Onsite Econometrics - Finance Seminar
- Speaker: A. García-Sanz (UCM - ICAE)
- Title: Sustainability and financial risks of the best-in-class: A comprehensive analysis
- Note: This is an ICAE-Department of Economic Analysis Ph.D. seminar meant to Ph.D. candidates to show their work to the teaching staff and their peers. Pass this seminar is a requirement for satisfactory progress in the Doctoral joint Program in Quantitative Finance and Economics/Programa de Doctorado en Finanzas y Economía Cuantitativas (UCM-UPV-UV-UCLM)
- Invited by: M.D. Robles (ICAE-UCM)
- Abstract: This study offers a comprehensive analysis of the relationship between corporate sustainability performance and financial risk. Drawing on a panel of 490 leading´best-in- class´ ESG firms from the United States and Europe over the 2000–2021 period, the study examines the impact of ESG scores on seven distinct dimensions of risk, including default risk, market volatility, information risk, and risk-adjusted performance (Jensen’s Alpha). The findings consistently show that stronger ESG performance is associated with significantly lower financial risk, with the Environmental pillar emerging as the most influential driver of risk mitigation. The analysis also uncovers notable heterogeneity between U.S. and European firms, reflecting differences in regulatory environments and cultural norms. These results remain robust across a range of sensitivity tests, including checks for non-linear effects, firms’ GHG emissions, and potential endogeneity, the latter addressed through instrumental variable techniques. Overall, the study provides compelling evidence that ESG integration is a critical component of modern corporate risk management and offers empirical support for regulatory initiatives that promote sustainability as a means to enhance systemic financial stability and market resilience.
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Sep 2025
Wed, 17 @ 12:30. Webinar / Onsite Macro Seminar
- Speaker: Ricardo Pérez-Valls (UCM - ICAE)
- Title: Wealth Accumulation under Bequest-Loving Households and Risky Assets
- Note: This is an ICAE-Department of Economic Analysis Ph.D. seminar meant to Ph.D. candidates to show their work to the teaching staff and their peers. Pass this seminar is a requirement for satisfactory progress in the Doctoral joint Program in Quantitative Finance and Economics/Programa de Doctorado en Finanzas y Economía Cuantitativas (UCM-UPV-UV-UCLM)
- Invited by: L. Puch (ICAE-UCM)
- Abstract: This paper studies the role of stochastic, scale-dependent returns on capital to understand the observed paths of wealth accumulation over the life cycle, as opposed to non-homothetic saving motives -namely, preference towards leaving bequests. It provides a numerical solution to a model with idiosyncratic capital income risk and borrowing constraints, calibrated to match some observed features of life cycle profiles on saving rates, and marginal propensities to consume. By allowing returns to be correlated with the size of the portfolio, random deaths, different elasticities towards bequests and consumption, it accounts for the fact that expenditure rates increase from a given wealth and age but decrease abruptly at the top.
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Winter - Spring 2025
Jimenez-Martin, Juan-Angel - Finance & Econometrics