Revista Economía Chilena

Volumen 14 Nº 3 december 2011

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Artículos
Systemic Risk Associated with Households in Chile Alejandra Marinovic G. / José Miguel Matus L. / Karla Flores M. / Nancy Silva S. This paper contributes to our understanding of systemic risk associated with households by presenting a detailed analysis of credit suppliers and users in Chile from 1997 to 2008. It offers the results of an intense effort to collect and harmonize data, followed by a study of this market’s interconnections and underlying risks and an initial assessment of the associated systemic risk. The paper concludes that, though the risk is significant, it is contained, mainly due to aspects of demand and supply and institutional circumstances. Continuous monitoring from both microeconomic and systemic perspectives is important, especially for the Central Bank of Chile.
Shock Transmission and Coupling with External Stock Markets: Assymetric Effects and Structural Break María José Meléndez C. / Marco Morales S. / Guillermo Yáñez C. In this article, we analyze the effects of shock transmissions from selected advanced financial markets—Tokyo, New York, Paris and Frankfurt— to Santiago de Chile and Sao Paulo (Bovespa) as a control. This research focuses on the recent financial crises of 2007 and 2008 where the transmission flowed from the developed world towards emerging markets, such as Chile. Our analysis incorporates the transmission effects in mean, variance and covariance. For the mean equation, we implemented a non-restricted VAR model. For the variance component, we modeled a specification with asymmetric effects. The covariance and correlation effects are estimated using a conditional dynamic asymmetric model based on the dynamic conditional correlation model of Engle, testing for the possibility of long run structural breaks in correlations between financial markets. We found strong evidence of structural breaks increasing correlations during the recent financial crisis. Our results are consistent with international evidence.
Estimating Chile’s NominalIinterest Rate Structure: An Application of the Dynamic Nelson-Siegel Model Rodrigo Alfaro A. / Sebastián Becerra C. / Andrés Sagner T. We propose a discrete, dynamic version of the Nelson-Siegel yield curve model, taking as valid the Log Expectations Hypothesis, plus an explicit modeling of the model’s factor dynamics. Within this framework, we propose two ways to identify the model parameters: ARIMA and cointegration. With the latter, the model is estimated for the Chilean economy between July 2004 and June 2011, using nominal interest rates on bonds issued by the Central Bank of Chile. Finally, steady-state factors are computed for the yield curve (slope and curvature), linking them to output and price indicators through a reduced-form macrofinancial model. Significant effects are found between real and financial variables; in particular, the slope of the yield curve affects the output measures with a lag of three to six months. On the other hand, the curvature has medium-term effects on inflation, which seems to be related to the speed of adjustment of the shorter-term interest rate to its steady-state value.
Notas de Investigación
Incertidumbre Externa sobre la Economía Chilena Yan Carrière-Swallow / Carlos A. Medel V.
Una Evaluación de los Modelos de Proyección del Precio del Cobre: ¿Podemos ir Más Allá de la Autorregresión? Eduardo López E. / Ercio Muñoz S. / Víctor Riquelme P.
Revisión de Libros
Microeconomía de Bernardita Vial y Felipe Zurita Diana Krüger K.
Revisión de Publicaciones
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