Banco Central de ChileRevista Economía Chilena
Published Issues
Volume 12 Nº 2 August 2009
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| Articles |
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| FinanciaL Stability, Monetary Policy and Central Banking: an Overview Rodrigo Alfaro A. / Rodrigo Cifuentes S. This overview presents an integrated summary of the works presented at the twelfth annual conference of the Central Bank of Chile, Financial Stability, Monetary Policy and Central Banking,” held in November 2008 and to be compiled into a forthcoming book. The works, that include both theoretical and empirical aspects, contribute elements for financial stability management within the context of global financial integration. |
| Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile Dale Gray / Carlos García T. / Leonardo Luna B. / Jorge E. Restrepo L. This paper builds a model of financial sector vulnerability and integrates it into a macroeconomic framework, typically used for monetary policy analysis. The main question to be answered with the integrated model is whether or not the central bank should include explicitly the financial stability indicator in its monetary policy (interest rate) reaction function. It is found in general, that including distance-to-default (dtd) of the banking system in the central bank reaction function reduces both inflation and output volatility. Moreover, the results are robust to different model calibrations. Indeed, it is more efficient to include dtd in the reaction function with higher coefficient of exchange rate pass through, and with a larger impact of financial vulnerability on the exchange rate, as well as on GDP (or the reverse, there is more effect of GDP on bank’s equity—i.e., what we call endogeneity). |
| Households’ Financial Vulnerability Marcelo Fuenzalida C. / Jaime Ruiz-Tagle V. Households’ financial vulnerability determines households’ default risk. Financial stability could be affected by households’ behavior under stressful macroeconomic conditions. Households’ financial vulnerability depends on their indebtedness levels and on the fragility of their income sources to be able to fulfill their obligations. The main source of households’ uncertainty comes from labor income generation, which is critically determined by unemployment. Heterogeneity of indebtedness levels and of income uncertainty calls for microeconomic analysis. This paper uses panel data survival analysis to estimate the probability of job loss at the individual level. Using semi-parametric methods, a significant heterogeneity is found for the impact of aggregate unemployment among individuals. Monte Carlo simulations are run to assess households financial stress and then to estimate aggregate debt at risk under high unemployment rate scenarios. Since the majority of debt is held by those with lower levels of income vulnerability, it is found that financial stability is not significantly affected by high unemployment levels. |
| Equity Market Spillovers in the Americas Francis X. Diebold / Kamil Yilmaz Using a recently-developed measure of financial market spillovers, we provide an empirical analysis of return and volatility spillovers among five equity markets in the Americas: Argentina, Brazil, Chile, Mexico and the U.S. The results indicate that both return and volatility spillovers vary widely. Return spillovers, however, tend to evolve gradually, whereas volatility spillovers display clear bursts that often correspond closely to economic events. |
| Research Notes |
| Paridad Cubierta de Tasas de Interés de Largo Plazo en Chile Nicolás Álvarez H. / Luis Opazo R. |
| Modelo de Corto Plazo para Proyectar el Empleo de la Construcción Ari Aisen / Ingrid Jones J. |
| Fluctuaciones Macroeconómicas y Comportamiento de las Empresas en Chile Leonardo Luna B. / Jorge E. Restrepo L. / Darío Zúñiga G. |
| Books review |
| Animal Spirits de George A. Akerlof y Robert J. Shiller Joseph Ramos Q. |
| The Myth of the Rational Market: A History of Risk, Rewar d, and Delusion on Wall Street de Justin Fox Augusto Castillo R. |
| Publications Review |
| Catastro de publicaciones recientes y resúmenes de artículos seleccionados |