Documento de Trabajo

Copula-based measures of dependence structure in assets returns

Copula modeling has become an increasingly popular tool in finance to model assets returns dependency. In essence, copulas enable us to extract the dependence structure from the joint distribution function of a set of random variables and, at the same time, to separate the dependence structure from the univariate marginal behavior. In this study, based

Asimetrías en la Respuesta de los Precios de la Gasolina en Chile

Un Análisis Econométrico del Consumo Mundial de Celulosa

En este trabajo se especifica y estima un modelo econométrico para el consumo de celulosa a nivel mundial y desagregado según los principales países consumidores. El modelo utilizado corresponde a uno de demanda derivada para una firma productora de papel representativa que demandará celulosa como un insumo más para su producción. Esta demanda es posteriormente

The Old and the New Reform of Chile’s Power Industry

Chile’s regulatory framework introduced in 1981 remained unchanged for more than 20 years. The reform had a positive effect but several warning signals appeared by the end of the 90s indicating the need to introduce changes. The most important problems were the lack of competition in the generation segment and the reluctance to expand capacity.

Socioeconomic status or noise? Tradeoffs in the generation of school quality information

This paper calculates a time series of simple, standard measures of schools’ relative performance. These are drawn from a 1997-2004 panel of Chilean schools, using individual-level information on test scores and student characteristics for each year. The results suggest there is a stark tradeoff in the extent to which rankings generated using these measures: i)

Mergers and CEO power

In this paper a simple model of mergers in which synergies, private benefits and CEO power play a crucial role is proposed. A merger is modeled as a bargaining process between the acquiring and target board with the gains from a merger divided according to Rubinstein’s alternating-offer game with inside options. Boards consider both firm

Task-Specific Training and Job Design

This paper provides a simple theoretical framework based on a new type of human capital introduced by Gibbons and Waldman (2004), called task-specific training, to understand job design. Mainly, in the presence of task-specific training, promotions might result ex-post in the underutilization of human capital and thus firms at the time of designing jobs should

The International CAPM and a wavelet-based decomposition of Value at Risk

In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk. In addition, we derive an analytical formula for time-scale value at risk and marginal value at risk (VaR) of a portfolio. We apply our methodology to stock indices of seven emerging economies

Do Regional Integration Agreements Increase Business-Cycle Convergence? Evidence from Apec and Nafta

Using monthly industrial sector data from January 1971 to March 2004, we test for business cycles convergence among the major APEC members: Japan, South Korea, Malaysia, Mexico, USA, and Canada. In addition, we examine the synchronization of business cycles among Australia, Japan, and South Korea, based on the quarterly data for the 1957-2003 period, as

A Cge Model for Environmental and Trade Policy Analysis in Chile: Case Study for Fuel Tax Increases

Computable General Equilibrium (CGE) models are a powerful economic tool for multidimensional/multi-sectoral analysis. They improve traditional input-output analysis generating quantities and prices endogenously and reflecting market incentives. They complement partial equilibrium analysis with a broader scope of analysis and the quantification of indirect and often non-intuitive effects. Environmental applications of CGE models include trade and

El Mercado Laboral en Chile Nuevos Temas y Desafíos

La situación laboral ha generado una creciente preocupación en los últimos años en Chile. El lento crecimiento de la economía a partir de la crisis asiática de los años 1998-99 determinó un aumento de la tasa de desocupación que se ha mantenido en el tiempo, situación que dio lugar a un debate acerca de las

Privatizing Highways in the United States

Major increases in congestion over the last two decades, combined with troubled government finances, have made private toll-roads increasingly attractive in the United States. Road privatization consists in having a private firm build, operate and maintain the road for many decades. The main (often only) source of income for the franchise holder is toll revenue. We