Luis Aguiar-Conraria - Academia.edu (original) (raw)
Papers by Luis Aguiar-Conraria
Journal of Elections, Public Opinion & Parties, May 26, 2023
Carbon Management, Jul 4, 2015
Abstract We provide a comparative analysis of how short-run variations in carbon and energy price... more Abstract We provide a comparative analysis of how short-run variations in carbon and energy prices relate to each other in the emerging greenhouse gas market in California (Western Climate Initiative [WCI], and the European Union Emission Trading Scheme [EU ETS]). We characterize the relationship between carbon, gas, coal, electricity and gasoline prices and an indicator for economic activity, and present a first analysis of carbon prices in the WCI. We also provide a comparative analysis of the structures of the two markets. We estimate a vector autoregressive model and the impulse--response functions. Our main findings show a positive impact from a carbon shock toward electricity, in both markets, but larger in the WCI electricity price, indicating more efficiency. We propose that the widening of carbon market sectors, namely fuels transport and electricity imports, may contribute to this result. To conclude, the research shows significant and coherent relations between variables in WCI, which demonstrate some degree of success for a first year in operation. Reversely, the EU ETS should complete its intended market reform, to allow for more impact of the carbon price. Finally, in both markets, there is no evidence of carbon pricing depleting economic activity.
Journal of Economic Dynamics and Control, Jun 1, 2023
Ph hi il ll li ip ps s C Cu ur rv ve e a at t 6 60 0: : t ti im me e f fo or r t ti im me e a an ... more Ph hi il ll li ip ps s C Cu ur rv ve e a at t 6 60 0: : t ti im me e f fo or r t ti im me e a an nd d f fr re eq qu ue en nc cy y" " L Lu uí ís s A Ag gu ui ia ar r-C Co on nr ra ar ri ia a M Ma an nu ue el l M M.. F F.. M Ma ar rt ti in ns s M Ma ar ri ia a J Jo oa an na a S So oa ar re es s NIPE WP 04/ 2019 NÚCLEO DE INVESTIGAÇÃO EM POLITICAS ECONOMICAS E EMPRESARIAIS UNIVERSIDADE DO MINHO " "T Th he e P Ph hi il ll li ip ps s C Cu ur rv ve e a at t 6 60 0: : t ti im me e f fo or r t ti im me e a an nd d f fr re eq qu ue en nc cy y" " L Lu uí ís s A Ag gu ui ia ar r-C Co on nr ra ar ri ia a M Ma an nu ue el l M M.. F F.. M Ma ar rt ti in ns s M Ma ar ri ia a J Jo oa an na a S So oa ar re es s N NI IP PE E *
Journal of Elections, Public Opinion & Parties, May 26, 2023
The Energy Journal, Oct 1, 2022
While we can say that there is a global market for crude oil, we cannot say the same cannot for n... more While we can say that there is a global market for crude oil, we cannot say the same cannot for natural gas. There is a strand of literature that argues that, in the last decades, gas markets have become less regional and more global. We use wavelets to test this hypothesis and conclude otherwise: although the European and Japanese gas markets are signi…cantly synchronized, they are much less than the oil markets, which we take as the benchmark. We also show that the North American gas market ‡uctuations are independent of the other gas markets. Finally, we show that the existing synchronization between gas markets almost vanishes once one …lters out the e¤ect of oil price variations, suggesting that it is the global oil market that connects the regional gas markets.
Social Science Research Network, 2006
We analyze a simple overlapping-generations model with two capital goods. The dynamical system is... more We analyze a simple overlapping-generations model with two capital goods. The dynamical system is de…ned by savings behavior and short-run perfect-foresight assetmarket clearing. Since lifetimes are …nite, there is no transversality condition. If there is a bubble in asset pricing, it will burst in …nite time: expectations will eventually be frustrated, but this may take several generations. This raises the question of whether (in…nite) long-run perfect foresight is a reasonable assumption for overlappinggenerations economies and hence whether bursting bubbles can occur in equilibrium.
B E Journal of Macroeconomics, Jun 8, 2016
We use wavelet analysis to conclude that individual U.S. states' business cycles are very well sy... more We use wavelet analysis to conclude that individual U.S. states' business cycles are very well synchronized. We also find evidence of a strong and significant correlation between business cycle dissimilitudes and the distance between each pair of states, consistent to gravity type mechanisms where distance affects trade. Trade, in turn, increases business cycle synchronization, while a higher degree of industry specialization is associated with a higher dissimilitude of the state cycle with the aggregate economy. Finally, there is evidence that business cycle dissimilitudes have been decreasing with time, consistent with the previous findings coupled with the idea that information and communications technology make distances smaller.
We show that dependence on foreign energy can increase economic instability by raising the likeli... more We show that dependence on foreign energy can increase economic instability by raising the likelihood of equilibrium indeterminacy, hence making ‡uctuations driven by self-ful…lling expectations easier to occur. This is demonstrated in a standard neoclassical growth model. Calibration exercises, based on the estimated share of imported energy in production for several countries, show that the degree of reliance on foreign energy for many countries can easily make an otherwise determinate and stable economy indeterminate and unstable.
RePEc: Research Papers in Economics, 2007
* I am indebted to Francisco Louçã, the editorial coordinator Christophre Georges and three refer... more * I am indebted to Francisco Louçã, the editorial coordinator Christophre Georges and three referees for helpful comments. I thank Ana Isabel Dias-Scientific Editing Programme of Universidade do Minho-for revising the text. The usual disclaimer applies.
This paper o¤ers a plausible explanation for the close link between oil prices and aggregate macr... more This paper o¤ers a plausible explanation for the close link between oil prices and aggregate macroeconomic performance in the 1970s. Although this link has been well documented in the empirical literature, standard economic models are not able to replicate this link when actual oil prices are used to simulate the models. In particular, standard models cannot explain the depth of the recession in 1974-75 and the strong revival in 1976-78 based on the oil price movements in that period. This paper argues that a missing multiplier-accelerator mechanism from standard models may hold the key.
Social Science Research Network, 2006
Social Science Research Network, 2011
" "O OP PE EC C´s s O Oi il l E Ex xp po or rt ti in ng g S St tr ra at te eg gy y a an nd d M Ma... more " "O OP PE EC C´s s O Oi il l E Ex xp po or rt ti in ng g S St tr ra at te eg gy y a an nd d M Ma ac cr ro oe ec co on no om mi ic c ((I In n))S St ta ab bi il li it ty y" " L Lu uí ís s A Ag gu ui ia ar r-C Co on nr ra ar ri ia a Y Yi i W We en n NIPE WP 10/ 2011
OECD data on "OECD's composite leading indicators", "Industrial Production&quo... more OECD data on "OECD's composite leading indicators", "Industrial Production", "Unemployment", and "Real GDP Growth" for Australia, Canada, Denmark, Finland, France, Germany, Ireland, Italy, Japan, Mexico, New Zealand, Portugal, Spain, Sweden, UK, and the US, covering the period 1991Q1 to 2019Q2. It is associated with the paper "The Performance of OECD's Composite Leading Indicator", which tests if "OECD's composite leading indicators" truly lead the mentioned business cycle indicators.
NIPE Working Papers, 2007
Downloadable! Economic agents simultaneously operate at different horizons. Many economic process... more Downloadable! Economic agents simultaneously operate at different horizons. Many economic processes are the result of the actions of several agents with different term objectives. Therefore, economic time-series is a combination of components operating on different frequencies ...
Journal of Economic Dynamics and Control, 2020
We present the first assessment of U.S. Okun's Law across time and frequencies, with a set of con... more We present the first assessment of U.S. Okun's Law across time and frequencies, with a set of continuous wavelet tools that allows for estimating Okun's coefficient and the lead/lag of output over unemployment at each moment of time for each cyclical frequency. We find similar results for the gaps and the first differences specifications at business cycles frequencies, but not at medium and long run cycles. Okun's coefficient has increased (in absolute value) since the mid-1960s, except in 1985-1995, and is not particularly sensitive to recessions. The lead of output varies considerably along time and also at the different frequencies.
This paper adopted a wavelet approach to investigate the financial contagion in the Eurozone debt... more This paper adopted a wavelet approach to investigate the financial contagion in the Eurozone debt market during various crisis-ridden periods in the zone. We used weekly 10-year bond yield data and showed that until the onset of the fi nancial crisis of 2007/2008, bond yields were highly synchronised among all countries. However, the bond yields in Greece, Ireland, Italy, Spain, and Portugal became unsynchronised with core countries after 2008. Similarly, there was no synchronisation among the periphery countries during this period, except for Italy and Spain. We found evidence of contagion emanating from Ireland during the fi rst part of the sovereign debt crisis until around 2010, and from Greece afterwards. We also established that contagion spread to Portugal, Greece and Ireland, and can be observed at high frequencies. However, Italy and Spain were not affected. At business cycle frequencies, we found that the Greek crisis propelled a flight-to-quality flow to Belgium, Finland,...
Public Choice, 2019
" "W Wh ha at t a ar re e t th he e b be es st t q qu uo or ru um m r ru ul le es s? ? A A L La a... more " "W Wh ha at t a ar re e t th he e b be es st t q qu uo or ru um m r ru ul le es s? ? A A L La ab bo or ra at to or ry y I In nv ve es st ti ig ga at ti io on n" " L Lu uí ís s A Ag gu ui ia ar r-C Co on nr ra ar ri ia a P Pe ed dr ro o C C.. M Ma ag ga al lh hã ãe es s C Ch hr ri is st to op ph h A A.. V Va an nb be er rg g NIPE WP 03/ 2019
We use wavelet analysis to investigate to what extent individual U.S. states' business cycles are... more We use wavelet analysis to investigate to what extent individual U.S. states' business cycles are synchronized. The results show that the U.S. states are remarkably well synchronized compared to the previous findings w.r.t. the Euro Area. There is also a strong and significant correlation between business cycle dissimilitudes and the distance between each pair of states, consistent to gravity type mechanisms where distance affects trade. Trade, in turn, increases business cycle synchronization. Finally we show that a higher degree of industry specialization is associated with a higher dissimilitude of the state cycle with the aggregate economy.
Bulletin of the International Center For Mathematics, Jul 1, 2011
Journal of Elections, Public Opinion & Parties, May 26, 2023
Carbon Management, Jul 4, 2015
Abstract We provide a comparative analysis of how short-run variations in carbon and energy price... more Abstract We provide a comparative analysis of how short-run variations in carbon and energy prices relate to each other in the emerging greenhouse gas market in California (Western Climate Initiative [WCI], and the European Union Emission Trading Scheme [EU ETS]). We characterize the relationship between carbon, gas, coal, electricity and gasoline prices and an indicator for economic activity, and present a first analysis of carbon prices in the WCI. We also provide a comparative analysis of the structures of the two markets. We estimate a vector autoregressive model and the impulse--response functions. Our main findings show a positive impact from a carbon shock toward electricity, in both markets, but larger in the WCI electricity price, indicating more efficiency. We propose that the widening of carbon market sectors, namely fuels transport and electricity imports, may contribute to this result. To conclude, the research shows significant and coherent relations between variables in WCI, which demonstrate some degree of success for a first year in operation. Reversely, the EU ETS should complete its intended market reform, to allow for more impact of the carbon price. Finally, in both markets, there is no evidence of carbon pricing depleting economic activity.
Journal of Economic Dynamics and Control, Jun 1, 2023
Ph hi il ll li ip ps s C Cu ur rv ve e a at t 6 60 0: : t ti im me e f fo or r t ti im me e a an ... more Ph hi il ll li ip ps s C Cu ur rv ve e a at t 6 60 0: : t ti im me e f fo or r t ti im me e a an nd d f fr re eq qu ue en nc cy y" " L Lu uí ís s A Ag gu ui ia ar r-C Co on nr ra ar ri ia a M Ma an nu ue el l M M.. F F.. M Ma ar rt ti in ns s M Ma ar ri ia a J Jo oa an na a S So oa ar re es s NIPE WP 04/ 2019 NÚCLEO DE INVESTIGAÇÃO EM POLITICAS ECONOMICAS E EMPRESARIAIS UNIVERSIDADE DO MINHO " "T Th he e P Ph hi il ll li ip ps s C Cu ur rv ve e a at t 6 60 0: : t ti im me e f fo or r t ti im me e a an nd d f fr re eq qu ue en nc cy y" " L Lu uí ís s A Ag gu ui ia ar r-C Co on nr ra ar ri ia a M Ma an nu ue el l M M.. F F.. M Ma ar rt ti in ns s M Ma ar ri ia a J Jo oa an na a S So oa ar re es s N NI IP PE E *
Journal of Elections, Public Opinion & Parties, May 26, 2023
The Energy Journal, Oct 1, 2022
While we can say that there is a global market for crude oil, we cannot say the same cannot for n... more While we can say that there is a global market for crude oil, we cannot say the same cannot for natural gas. There is a strand of literature that argues that, in the last decades, gas markets have become less regional and more global. We use wavelets to test this hypothesis and conclude otherwise: although the European and Japanese gas markets are signi…cantly synchronized, they are much less than the oil markets, which we take as the benchmark. We also show that the North American gas market ‡uctuations are independent of the other gas markets. Finally, we show that the existing synchronization between gas markets almost vanishes once one …lters out the e¤ect of oil price variations, suggesting that it is the global oil market that connects the regional gas markets.
Social Science Research Network, 2006
We analyze a simple overlapping-generations model with two capital goods. The dynamical system is... more We analyze a simple overlapping-generations model with two capital goods. The dynamical system is de…ned by savings behavior and short-run perfect-foresight assetmarket clearing. Since lifetimes are …nite, there is no transversality condition. If there is a bubble in asset pricing, it will burst in …nite time: expectations will eventually be frustrated, but this may take several generations. This raises the question of whether (in…nite) long-run perfect foresight is a reasonable assumption for overlappinggenerations economies and hence whether bursting bubbles can occur in equilibrium.
B E Journal of Macroeconomics, Jun 8, 2016
We use wavelet analysis to conclude that individual U.S. states' business cycles are very well sy... more We use wavelet analysis to conclude that individual U.S. states' business cycles are very well synchronized. We also find evidence of a strong and significant correlation between business cycle dissimilitudes and the distance between each pair of states, consistent to gravity type mechanisms where distance affects trade. Trade, in turn, increases business cycle synchronization, while a higher degree of industry specialization is associated with a higher dissimilitude of the state cycle with the aggregate economy. Finally, there is evidence that business cycle dissimilitudes have been decreasing with time, consistent with the previous findings coupled with the idea that information and communications technology make distances smaller.
We show that dependence on foreign energy can increase economic instability by raising the likeli... more We show that dependence on foreign energy can increase economic instability by raising the likelihood of equilibrium indeterminacy, hence making ‡uctuations driven by self-ful…lling expectations easier to occur. This is demonstrated in a standard neoclassical growth model. Calibration exercises, based on the estimated share of imported energy in production for several countries, show that the degree of reliance on foreign energy for many countries can easily make an otherwise determinate and stable economy indeterminate and unstable.
RePEc: Research Papers in Economics, 2007
* I am indebted to Francisco Louçã, the editorial coordinator Christophre Georges and three refer... more * I am indebted to Francisco Louçã, the editorial coordinator Christophre Georges and three referees for helpful comments. I thank Ana Isabel Dias-Scientific Editing Programme of Universidade do Minho-for revising the text. The usual disclaimer applies.
This paper o¤ers a plausible explanation for the close link between oil prices and aggregate macr... more This paper o¤ers a plausible explanation for the close link between oil prices and aggregate macroeconomic performance in the 1970s. Although this link has been well documented in the empirical literature, standard economic models are not able to replicate this link when actual oil prices are used to simulate the models. In particular, standard models cannot explain the depth of the recession in 1974-75 and the strong revival in 1976-78 based on the oil price movements in that period. This paper argues that a missing multiplier-accelerator mechanism from standard models may hold the key.
Social Science Research Network, 2006
Social Science Research Network, 2011
" "O OP PE EC C´s s O Oi il l E Ex xp po or rt ti in ng g S St tr ra at te eg gy y a an nd d M Ma... more " "O OP PE EC C´s s O Oi il l E Ex xp po or rt ti in ng g S St tr ra at te eg gy y a an nd d M Ma ac cr ro oe ec co on no om mi ic c ((I In n))S St ta ab bi il li it ty y" " L Lu uí ís s A Ag gu ui ia ar r-C Co on nr ra ar ri ia a Y Yi i W We en n NIPE WP 10/ 2011
OECD data on "OECD's composite leading indicators", "Industrial Production&quo... more OECD data on "OECD's composite leading indicators", "Industrial Production", "Unemployment", and "Real GDP Growth" for Australia, Canada, Denmark, Finland, France, Germany, Ireland, Italy, Japan, Mexico, New Zealand, Portugal, Spain, Sweden, UK, and the US, covering the period 1991Q1 to 2019Q2. It is associated with the paper "The Performance of OECD's Composite Leading Indicator", which tests if "OECD's composite leading indicators" truly lead the mentioned business cycle indicators.
NIPE Working Papers, 2007
Downloadable! Economic agents simultaneously operate at different horizons. Many economic process... more Downloadable! Economic agents simultaneously operate at different horizons. Many economic processes are the result of the actions of several agents with different term objectives. Therefore, economic time-series is a combination of components operating on different frequencies ...
Journal of Economic Dynamics and Control, 2020
We present the first assessment of U.S. Okun's Law across time and frequencies, with a set of con... more We present the first assessment of U.S. Okun's Law across time and frequencies, with a set of continuous wavelet tools that allows for estimating Okun's coefficient and the lead/lag of output over unemployment at each moment of time for each cyclical frequency. We find similar results for the gaps and the first differences specifications at business cycles frequencies, but not at medium and long run cycles. Okun's coefficient has increased (in absolute value) since the mid-1960s, except in 1985-1995, and is not particularly sensitive to recessions. The lead of output varies considerably along time and also at the different frequencies.
This paper adopted a wavelet approach to investigate the financial contagion in the Eurozone debt... more This paper adopted a wavelet approach to investigate the financial contagion in the Eurozone debt market during various crisis-ridden periods in the zone. We used weekly 10-year bond yield data and showed that until the onset of the fi nancial crisis of 2007/2008, bond yields were highly synchronised among all countries. However, the bond yields in Greece, Ireland, Italy, Spain, and Portugal became unsynchronised with core countries after 2008. Similarly, there was no synchronisation among the periphery countries during this period, except for Italy and Spain. We found evidence of contagion emanating from Ireland during the fi rst part of the sovereign debt crisis until around 2010, and from Greece afterwards. We also established that contagion spread to Portugal, Greece and Ireland, and can be observed at high frequencies. However, Italy and Spain were not affected. At business cycle frequencies, we found that the Greek crisis propelled a flight-to-quality flow to Belgium, Finland,...
Public Choice, 2019
" "W Wh ha at t a ar re e t th he e b be es st t q qu uo or ru um m r ru ul le es s? ? A A L La a... more " "W Wh ha at t a ar re e t th he e b be es st t q qu uo or ru um m r ru ul le es s? ? A A L La ab bo or ra at to or ry y I In nv ve es st ti ig ga at ti io on n" " L Lu uí ís s A Ag gu ui ia ar r-C Co on nr ra ar ri ia a P Pe ed dr ro o C C.. M Ma ag ga al lh hã ãe es s C Ch hr ri is st to op ph h A A.. V Va an nb be er rg g NIPE WP 03/ 2019
We use wavelet analysis to investigate to what extent individual U.S. states' business cycles are... more We use wavelet analysis to investigate to what extent individual U.S. states' business cycles are synchronized. The results show that the U.S. states are remarkably well synchronized compared to the previous findings w.r.t. the Euro Area. There is also a strong and significant correlation between business cycle dissimilitudes and the distance between each pair of states, consistent to gravity type mechanisms where distance affects trade. Trade, in turn, increases business cycle synchronization. Finally we show that a higher degree of industry specialization is associated with a higher dissimilitude of the state cycle with the aggregate economy.
Bulletin of the International Center For Mathematics, Jul 1, 2011