Carmen Broto

Banco de España

Economist

Alcala 50

Madrid 28014

Spain

SCHOLARLY PAPERS

11

DOWNLOADS

883

SSRN CITATIONS
Rank 3,021

SSRN RANKINGS

Top 3,021

in Total Papers Citations

77

CROSSREF CITATIONS

365

Scholarly Papers (11)

1.

Measuring and Explaining the Volatility of Capital Flows towards Emerging Countries

Banco de Espana Working Paper No. 0817
Number of pages: 33 Posted: 01 Sep 2008
Carmen Broto, Javier Díaz-Cassou and Aitor Erce
Banco de España, Banco de España and UPNA
Downloads 175 (207,458)
Citation 44

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capital flows, volatility, panel data, emerging markets

Flexible Inflation Targets, Forex Interventions and Exchange Rate Volatility in Emerging Countries

BOFIT Discussion Paper No. 9/2011
Number of pages: 37 Posted: 29 May 2011
Juan Carlos Berganza and Carmen Broto
Banco de España and Banco de España
Downloads 60 (432,631)
Citation 7

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inflation targeting, exchange rate volatility, foreign exchange interventions, emerging economies

Flexible Inflation Targets, Forex Interventions and Exchange Rate Volatility in Emerging Countries

Banco de Espana Working Paper No. 1105
Number of pages: 37 Posted: 15 Apr 2011
Juan Carlos Berganza and Carmen Broto
Banco de España and Banco de España
Downloads 57 (443,856)
Citation 1

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inflation targeting, exchange rate volatility, foreign exchange interventions, emerging economies

3.

Measuring Market Liquidity in US Fixed Income Markets: A New Synthetic Indicator

Banco de Espana Working Paper No. 1608
Number of pages: 24 Posted: 21 Apr 2016
Carmen Broto and Matias Lamas
Banco de España and Banco de España
Downloads 103 (312,197)
Citation 53

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market liquidity, synthetic index, principal component analysis, US fixed income markets

4.

The Effectiveness of Forex Interventions in Four Latin American Countries

Banco de Espana Working Paper No. 1226
Number of pages: 40 Posted: 04 Jul 2012
Carmen Broto
Banco de España
Downloads 86 (350,076)
Citation 53

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exchange rate volatility, foreign exchange interventions, GARCH

5.

Local Debt Expansion... Vulnerability Reduction? An Assessment for Six Crises-Prone Countries

Banco de España Research Paper No. WP-0733
Number of pages: 35 Posted: 30 Oct 2007
Paloma Acevedo, Enrique Alberola and Carmen Broto
Banco de España, Bank for International Settlements (BIS) and Banco de España
Downloads 86 (350,076)
Citation 40

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External debt, local debt markets, financial crises, debt sustainability analysis

6.

Inflation Targeting in Latin America: Empirical Analysis Using GARCH Models

Banco de Espana Working Paper No. 0826
Number of pages: 35 Posted: 08 Dec 2008
Carmen Broto
Banco de España
Downloads 83 (357,670)
Citation 44

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Inflation targets, inflation uncertainty, GARCH, structural time series models

7.

Disentangling Contagion Among Sovereign CDS Spreads During the European Debt Crisis

Banco de Espana Working Paper No. 1314
Number of pages: 38 Posted: 17 Oct 2013
Carmen Broto and Gabriel Perez-Quiros
Banco de España and Banco de España
Downloads 73 (385,096)
Citation 58

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sovereign Credit Default Swaps, contagion, dynamic factor models, credit risk

8.

Sovereign Ratings and Their Asymmetric Response to Fundamentals

Banco de Espana Working Paper No. 1428
Number of pages: 45 Posted: 11 Dec 2014
Carmen Broto and Luis Molina
Banco de España and Banco de España
Downloads 53 (451,994)
Citation 48

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sovereign credit ratings, rating cycle, emerging countries, panel data model

9.

Testing for Conditional Heteroscedasticity in the Components of Inflation

Banco de España Working Paper No. 0812
Number of pages: 36 Posted: 19 Jun 2008
Carmen Broto and Esther Ruiz
Banco de España and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 53 (451,994)
Citation 17

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Leverage effect, QGARCH, seasonality, structural time series models, unobserved component

10.

Estimation Methods for Stochastic Volatility Models: A Survey

Journal of Economic Surveys, Vol. 18, No. 5, pp. 613-649, December 2004
Number of pages: 38 Posted: 12 Nov 2004
Carmen Broto and Esther Ruiz
Banco de España and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 28 (568,797)
Citation 4
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Bayesian procedures, GMM, Indirect inference, Kalman filter, Leverage effect, Long-memory, Maximum likelihood, Monte Carlo Markov Chain, QML, SV-M

11.

Is Market Liquidity Less Resilient after the Financial Crisis? Evidence for US Treasuries

Banco de Espana Working Paper No. 1917 (2019)
Number of pages: 32 Posted: 28 Jun 2019 Last Revised: 17 Jul 2019
Carmen Broto and Matias Lamas
Banco de España and Banco de España
Downloads 26 (581,180)
Citation 50

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market liquidity, volatility, US Treasuries; CC-GARCH model