Scientific articles

• Importance of Balance Sheet Composition in Stress Test Estimates

  Climent, S., Bustos-Contell, E. and Labatut-Serer, G.

  (2019).Article

  Journal of Economic Science Research. No.Volume 01| Issue 01

  The stress tests are based on macroeconomic variables for the estimations of the results. However, there are other factors that may influence them. This paper studies the influence of the balance sheet structure in the NPL and the loss caused by the NPL using econometric models. The objective is to research how they affect the aggregates in the balance sheet to the delay in payment and the the provision for impairment, distinguishing these effects according to the economic cycle, so that can be applied to the stress test. The results show that the Balance sheet structure is important in delinquency and losses caused by it, especially in respect of stockholders’ funds, ECB resources and...

  The stress tests are based on macroeconomic variables for the estimations of the results. However, there are other factors that may influence them. This paper studies the influence of the balance sheet structure in the NPL and the loss caused by the NPL using econometric models. The objective is to research how they affect the aggregates in the balance sheet to the delay in payment and the the provision for impairment, distinguishing these effects according to the economic cycle, so that can be applied to the stress test. The results show that the Balance sheet structure is important in delinquency and losses caused by it, especially in respect of stockholders’ funds, ECB resources and the account Non-current assets held for sale. It also highlights the influence of the economic cycle and the different behavior of the NPL and the losses due to default with respect to the same explanatory variables.

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• The decision to acquire listed vs. unlisted firms: Determinants and value effects in the Spanish stock market

  Farinós, J.E., B. Herrero y M.A. Latorre

  (2017).

  Revista de Economía Aplicada. No.73, 1–40

• Self-selection bias and the listing status of target firms: Value effects in the Spanish market

  Farinós, J.E., B. Herrero y M.A. Latorre

  (2017).Article

  Czech Journal of Economics and Finance. No.67(5),423–438

• Effects of economic variables on NPLs depending on the economic cycle

  Climent, S Serrano

  (2017).Article

  Empir Econ. No.56, 325–340

  Late payments are a major problem for Spanish banks. This paper studies as determinants of loan delinquency: unemployment, interest rates, inflation, housing prices, leverage, bad debt coverage and solvency, which were the main problems facing the Spanish economy between 2004 and 2015, and also examines these determinants in periods of growth and recession. The results show that the price of housing, bad debt coverage, interest rates and solvency are the variables with the greatest impact on NPLs. Furthermore, differences exist in the behaviour of variables during periods of growth compared with periods of recession. Inertia of the dependent variable has also been detected.

  DOI: https://doi.org/10.1007/s00181-017-1362-y

• Bank Fragility and Contagion: Evidence from the CDS market. Journal of Empirical Finance Forthcoming.

  Ballester, L., Casu, B. and González-Urteaga, A.

  (2016).Article

• Revolving doors: are the valued in the Spanish stock market?

  Farinos, J.E., Garcia, C.J., Herrero, B. e Ibánez, A.M.

  (2016).Article

  Academia Revista Latinoamericana de Administración. No.Vol. 29, nº 2, pp. 147-164

• Volatility spillovers in the European bank CDS market. Finance Research Letters

  Alemany, A., Ballester, L. and González-Urteaga, A.

  (2015).Article

  Vol. 13, 137-147

• Do acquirers’ stock prices fully react to the acquisition announcement of listed vs. unlisted target firms? Out–of–sample evidence from Spain

  Latorre, M.A., B. Herrero y J.E. Farinós

  (2014).Participació en congressos

  Social Science Research Network.

• Options and Accounting Information: Empirical Evidence in Stock and Derivative Markets

  García Martín, C.J.; B. Herrero Piqueras and A.M. Ibáñez Escribano

  (2014).Participació en congressos

  SSRN.

• What makes carbon traders cluster their orders?

  Palao, Fernando and Ángel Pardo

  (2014).

  Energy Economics. No.pp. 158-165