Banco Central de ChileRevista Economía Chilena
Published Issues
Volume 13 Nº 3 December 2010
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| Articles |
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| Chile’s Structural Fiscal Surplus Rule: a Model-Based Evaluation Michael Kumhof / Douglas Laxton The paper analyzes Chile’s structural surplus fiscal rule in the face of shocks to the world copper price. Two results are obtained. First, Chile’s current fiscal rule performs well if the policymaker (i) puts a premium on avoiding excessive volatility in fiscal instruments, and (ii) puts a relatively small weight on output volatility relative to inflation volatility in the objective function. A more aggressive countercyclical fiscal rule can attain lower output volatility, but there is a trade-off with somewhat higher inflation volatility and much higher instrument volatility. The ranking of instruments between government spending and labor income taxes depends mainly on the instrument volatility the policymaker will tolerate. Second, given its then current stock of government assets, Chile’s adoption of a 0.5% surplus target starting in 2008 was desirable because the earlier 1% target would have required significant further asset accumulation that could only have been accomplished at the expense of greater volatility in fiscal instruments and therefore in macroeconomic variables. |
| Banking Efficiency in Chile: a Profit Frontier Approach José Luis Carreño G. / Gino Loyola F. / Yolanda Portilla S. This paper characterizes the evolution of the efficiency X in the Chilean banking industry over 1987 to 2007, based on a profit frontier approach. Our results suggest that over this period the Chilean banking sector has attained just a 15% over its maximum profits. This inefficiency basically arises from a technical source rather than an assignative one, and mainly affects domestic and small banks. Nevertheless, the level of efficiency X of the industry as a whole has dramatically improved since the late 1990’s, which is consistent with important economic, technological and regulatory transformations. |
| Non-linear Dynamics in the Chilean Stock Market: Evidence on Traded Volumes and Returns Rodrigo F. Aranda L. / Patricio Jaramillo G. In this paper we investigate the possible presence of nonlinear dynamics for stock index returns and trading volume in the Chilean stock market. To capture any nonlinear behavior of the series we estimate smooth transition autoregressive (STAR) models and then test them against the linear alternatives. As a complement to this univariate approach, we use Markov-Switching Vector Autoregressive (MS-VAR) models to investigate the empirical relationship between both variables. The results clearly show that the Chilean Stock Market is characterized by the presence of nonlinear patterns in both series (trading volume and stock returns) as well as in their joint relationship. The presence of nonlinearities is a key issue in testing the Efficient Market Hypothesis (EMH), according to which stock returns and trading volume should not be related. Previous research on the efficiency using data from the Chilean stock market, based on linear models, support the hypothesis. However, the nonlinear patters found in the data are a clear signal of misspecification problems in a testing procedure based on a linear approach. |
| Research Notes |
| Una Estimación del Impacto del Efecto Calendario en Series Desestacionalizadas Chilenas de Actividad y Demanda Marcus Cobb C. / Carlos A. Medel V. |
| Crisis Financiera y Uso de Derivados Cambiarios en Empresas Exportadoras María Gabriela Acharán V. / Roberto Álvarez E. José Miguel Villena M. |
| Books review |
| Banking on the Future: The Fall and Rise of Central Banking de Howard Davies y David Green José De Gregorio R |
| La Pregunta de la Reina, Lecciones de la Primera Crisis Económica Mundial del Siglo XXI de Sebastián Claro y Fabián Gredig / Jimmy Stewart Is Dead: Ending the World’s Ongoing Financial Plague with Limited Purpose Banking de Laurence Kotlikoff. Rolf Lüders S. |
| Publications Review |
| Catastro de publicaciones recientes y Resúmenes de artículos seleccionados |