Research Projects

  • El desarrollo de las finanzas digitales: Oráculos descentralizados para un sistema financiero descentralizado

    Principal researcher/s: HERNANDO VECIANA, ANGEL; ESCUDERO LIEBANA, CARLOS
    Funding entity: AGENCIA ESTATAL DE INVESTIGACION (AEI)
    Start date: 01/12/2022
    End date: 30/11/2024
    Type: Nacional Project. TED-Transición ecológica y digital
    Summary: This project focus on digital transition by building up and improving current components of the decentralized digital finance infrastructure. Two goals are pursued: to improve on blockchain reporting of digital financial information through the work on financial automated market making schemes; and to use developing decentralized infrastructure to create a system of reporting digitally and in a decentralized form benchmark indexes to ameliorate their transparency and resilience. This approach addresses three main themes emphasised by the most recent legal initiatives in the EU: (A) The need to better access to data and data sharing within the EU, creating broader access to public and private data to the benefits of people, businesses, and public interest. (B) Clarify regulation, allowing the financial sector to capture efficiency gains through wider use of distributed ledger technology (DLT) in capital markets. (C) Embrace crypto asset development in order to be part of the recent growth in decentralized finance.
    Our proposal will work around these three main themes with a clear and well-defined objective: design and build incentive compatibles mechanisms that will allow to link off chain with the on-chain economy. The solution to this problem comes in the form of oracles or reporters of the outside world. This is a key step for the transition to the digital economy and the future of finance and one of the most relevant problems in Decentralised Finance. We will link the reliability and proper functioning of oracles to problems currently faced in centralized economy: accurate and reliable reporting of benchmark data, like those encountered in the LIBOR (London Interbank Offered Rate). The project will move into the implementation of a proof of concept in the form of a reliable DLT that reports benchmark data. To address this objective, we shall draw two big research lines. In our first research line, we focus on improving on the design of Automated Market Makers (AMMs) with the view of employing them as on-chain Oracles for input data for benchmarks. This big research line is to be tackled with an interdisciplinary approach around four research topics: (1) Mathematical modelling to assess the robustness of AMM as on chain oracles building on the work of Grunspan and Perez-Marco based on Markov chains. (2) Focus on a particular AMM, Constant Function Market Makers and study how to improve their reliability as oracles in particular with respect to insider information and front running. (3) Improving on-chain oracles through cross-AMM/cross-chain collaboration, in particular with respect to multiple liquidity pools. (4) Improving on the design of on-chain oracles using the tools of mechanism design and market microstructure. The former more naturally connected to the first two topics in this list, and the latter to the third one.
    The developments in this first research line are to be carried to a second research line focused on the development of a framework to construct financial benchmarks akin to the LIBOR but based on the decentralised methodology of blockchain oracles.

    Project: TED2021-131844B-I00

  • CAMBIO CLIMATICO HETEROGENEO

    Principal researcher/s: GONZALO MUÑOZ, JESUS; GADEA RIVAS, MARIA DOLORES
    Funding entity: AGENCIA ESTATAL DE INVESTIGACION (AEI)
    Start date: 01/12/2022
    End date: 30/11/2024
    Type: Nacional Project. TED-Transición ecológica y digital.
    Summary: The main goal of this project is a full analysis (detection, prediction, causes and consequences) of Climate Change Heterogeneity (CCH). The existence of CCH enforces that the mitigation policies should follow a common factor structure: (i) global measures to mitigate the common global warming and (ii) extra idiosyncratic or regional measures to reduce the local warming.
    The Green Transition is underpinned by several environmental objectives such as CC mitigation and adaptation to it. But a prerequisite for achieving these goals is an accurate understanding of the nature, causes and consequences, past, present and future, of the CC phenomenon. This knowledge will support environmental policies, aimed at increasing the resilience of the productive sectors, the protection of natural resources and the improvement of the quality of life of people and society in general. In this frame, the contribution of this project is twofold. On the one hand, it represents an advance in scientific knowledge, in this case on the phenomenon of CC. And secondly, it provides empirical applications for the design of policies to mitigate its effects at a local level. In the case of Spain, and within the objectives of the first axis of the Recovery, Transformation and Resilience Plan, establishing its climate change typology, identifying the vulnerabilities of its natural resources and its productive structure, its specific risks, and the future dynamic of the regional CC. This project proposes a novel approach to analyze the first three of the big four factors that make CC problem so difficult to solve: It is almost uniquely global, uniquely long-term, uniquely uncertain and uniquely irreversible. Given that analysis based on the average temperature is not appropriate for understanding and solving this problem, we hope our robust empirical results, based on the construction of models for realized-observed quantiles (RQ) of the temperature distribution and on quantile factor models (QFM) to obtain the latent factors that drive the whole temperature distribution, give enough insights for the design of efficient mitigation policies that lessen the irreversibility factor.

    Project: TED2021-129784B-I00

  • Políticas para la transición energética: precios del carbono, energías renovables y almacenamiento energético

    Principal researcher/s: FABRA PORTELA, NATALIA
    Funding entity: AGENCIA ESTATAL DE INVESTIGACION (AEI)
    Start date: 01/12/2022
    End date: 30/11/2024
    Type: Nacional Project. TED-Transición ecológica y digital
    Summary: Our project aims to contribute to the frontier of energy and climate policy research, placing particular emphasis on the analysis of energy and climate policies. We will develop new models based in economic theory, and we will also rely on cutting-edge empirical tools to shed light on three main lines of research: (1). A framework to assess energy and climate policies; (2). The distributional implications of carbon pricing; (3). The future of electricity markets: renewables and energy storage.
    Existing frameworks for evaluation of policy options are typically focused on maximizing economic efficiency. In Research Line 1, we aim to extend this literature by building a theoretical framework that allows one to balance several objectives: cost efficiency, effectiveness, feasibility, credibility, and fairness. Our framework will help to answer questions, such as: how can countries find the right balance between these objectives? Which are the best available policy options to achieve them? What are the right criteria to evaluate the various policy options? How should we quantitatively and qualitatively assess their merits?
    The feasibility and success of energy and climate policies thus critically hinges on their distributional implications. Research Line 2 specifically aims to evaluate the effectiveness and distributional implications of carbon pricing, providing insights on how to design equitable and politically acceptable policies and compensation schemes. For these purposes, we will be using household-level consumption data from the universe of (anonymized) transactions mediated by BBVA to measure the degree of carbon footprint inequality across different social groups, as well the contribution of different consumption categories to total GHG emissions. In particular, we will identify which consumption categories are quantitatively more relevant for top emitters, and we will explore the relationship between households carbon footprints and their income (proxied by their expenditures if income sources are not available). We will compute expenditure elasticities (i.e., how expenditure in a consumption category changes with a unit change in total expenditure) to understand which polluting goods are necessities and which ones are not. This would help identify sectors in which carbon pricing has strong potential for changing behaviour towards environment-friendly consumption. Finally, we will analyse the individual and socio-economic determinants behind the observed differences in carbon footprints. We also propose to characterize and quantify the distributive effects of revenue-recycling mechanisms that redistribute carbon taxes according to different criteria.

    Proyect: TED2021-129678B-I00

  • Explaining the Black-White Infant Mortality Gap in the United States

    Principal researcher/s: REES , DANIEL IRA
    Funding entity: AGENCIA ESTATAL DE INVESTIGACION (AEI)
    Start date: 01/09/2022
    End date: 31/08/2026
    Type: Nacional project
    Project: PID2021-128955NB-I00

  • GREEN AND DIGITAL FINANCE – Supporting medium-sized companies through open source tools in their energy and digital transformations.

    Principal researcher/s: FABRA PORTELA, NATALIA
    Funding entity: AGENCIA ESTATAL DE INVESTIGACION (AEI)
    Start date: 01/09/2022
    End date: 31/08/2026
    Type: Nacional project
    Project: CPP2021-008644

  • Entender y abordar los desafíos políticos contemporáneos

    Principal researcher/s: PAPPA , PARASKEVI
    Funding entity: AGENCIA ESTATAL DE INVESTIGACION (AEI)
    Start date: 01/09/2022
    End date: 31/08/2026
    Type: Nacional project
    Project:  PID2021-122931NB-I00

  • Inferencias en Modelos Econométricos de Alta Dimensión.

    Principal researcher/s: ESCANCIANO REYERO, JUAN CARLOS
    Funding entity: AGENCIA ESTATAL DE INVESTIGACION (AEI)
    Start date: 01/09/2022
    End date: 31/08/2026
    Type: Nacional project
    Project: PID2021-127794NB-I00

  • Diseño de Mecanismos y diseño de «Benchmarks»

    Principal researcher/s: HERNANDO VECIANA, ANGEL
    Funding entity: AGENCIA ESTATAL DE INVESTIGACION (AEI)
    Start date: 01/09/2022
    End date: 31/08/2026
    Type: Nacional project
    Project: PID2021-124118NB-I00

  • Especificación y Validación de Modelos Econométricos

    Principal researcher/s: DELGADO GONZALEZ, MIGUEL ANGEL
    Funding entity: AGENCIA ESTATAL DE INVESTIGACION (AEI)
    Start date: 01/09/2022
    End date: 31/08/2026
    Type: Nacional project
    Project: PID2021-125178NB-I00

  • Información asimétrica: teoría y práctica

    Principal researcher/s: FUCHS SCHUARZBERG, WILLIAM MARTIN
    Funding entity: AGENCIA ESTATAL DE INVESTIGACION (AEI)
    Start date: 01/09/2022
    End date: 31/08/2026
    Type: Nacional project
    Project: PID2021-128990NB-I00

  • Flujos de empleo y empleo temporal en España

    Investigador/es principal/es: WELLSCHMIED, FELIX
    Entidad financiadora: Contratos con Entidades Privadas. (Fundación Ramón Areces)
    Fecha inicio: 04/11/2022
    Fecha fin: 3/11/2025
    Convocatoria: Programa Nacional

See the Competitive State Plan Projects

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