Documento de Trabajo

Time-Scale Decomposition of Price Transmission in International Markets

This article focuses on return spillovers in stock markets at different time scales using wavelet analysis. We look at eight stock indices that comprise the G7 countries, Emerging Asia, Europe, Eastern Europe and the Middle East, the Emerging Far East, Latin America, North America, and the Pacific region for the period 1990-2002. Our estimation results

Slow Recoveries

Economies respond differently to aggregate shocks that reduce output. While some countries rapidly recover their pre-crisis trend, others stagnate. Recent studies provide empirical support for a link between aggregate growth and plant dynamics through its effect on productivity: the entry and exit of firms and the reallocation of resources from less to more efficient firms

Gas y Electricidad: ¿qué hacer ahora? (Gas and electricity: What should we do now?)

La traída del gas natural argentino para generar energía eléctrica fue muy beneficiosa para Chile. Si se pierde el gas argentino —advierten los autores de este trabajo—, el costo de generación de electricidad, sólo en el SIC, aumentará en aproximadamente US$ 350 millones por año. Esta pérdida es grande: equivale a 0,5% del PGB o

Market Power in Mixed Hydro-Thermal Electric

This paper shows that, unlike what has been found in other papers, a hydro reservoir is an effective tool to exercise market power. Itsappealing as a tool is enhancedby the fact that there is no need to constrain total hydro production – a practice too easy to detect -; it suffices to distort the intertemporal

Reformando el sector eléctrico chileno: Diga NO a la liberalización del mercado spot (Reforming the Chilean electricity sector: Just say NO to the Liberation of the spot market)

Este trabajo argumenta que la liberalización del mercado spot de la industria eléctrica chilena no es una alternativa de política recomendable pues existe un amplio potencial para ejercer poder de mercado. En particular, Endesa distorsionaría la asignación in- tertemporal del agua forzando al alza el precio spot, especialmente en períodos en que la demanda que

Uncertainty, Pay for Performance and Adverse Selection in a Competitive Labor Market

This paper develops a new rationale for the emergence of pay-for-performance contracts. The labor market is competitive, workers are risk averse and firms risk neutral. The paper shows that in stable environments more productive workers self-select into pay-for-performance jobs because risk is less costly to them than to their less productive counterparts which prefer fixed-salary

Vertical Integration and Shared Facilities in Unregulated Industries

In this paper we consider a market situation in which initially there is an unintegrated monopoly upstream that owns an important facility and two dowstream firms. Then the market is liberalized allowing upstream entry and vertical integration. The equilibrium entry mode–sharing the incumbent facility or building a new facility– is derived as well as the

Detection of Breakpoints in Volatility

Financial time-series may exhibit breakpoints in unconditional variance due, possibly, to institutional changes. Accounting for such shifts is essential to risk management, forecasting, and hedging. In this article, we test for the presence of structural breaks in volatility by two approaches: the Iterative Cumulative Sum of Squares (ICSS) algorithm and wavelet analysis. We present a

Teachers’ Salary Structure and Incentives in Chile

This paper analyses the characteristics of Chilean teachers and the institutional context of teachers’ labor market. Salary trends, from 1990 on, are analyzed to show the effects on the behavior of those applying to study pedagogy; in addition teachers’ salaries are compared to those of other similar workers. The paper also studies the incentives implicit

Estimando la demanda residencial por electricidad en Chile: a doña Juanita le importa el precio (Calculating the residential demand for electricity in Chile: Mrs. Jones does care about the price)

En este trabajo estimamos la demanda residencial por energía eléctrica con un panel de 18 distribuidoras de electricidad con datos mensuales entre enero de 1995 y diciembre de 2001. La elasticidad—precio de la demanda residencial por energía eléctrica es -0 ,0548 en un mes y -0 ,39 en el largo plazo. Vale decir si el precio

Diagnosing Market Power in Chile’s Electricity Industry

Chile’s electricity market is modeled as a Cournot duopoly with a competitive fringe. Due to the importance of hydro-storage resources (62% of total generation in 2000) particular care was given to the hydro scheduling issue. The model was estimated over a 1-month planning horizon using real cost and load data for April 2000. I found

Extreme Value Theory and Value at Risk

Value at Risk (VaR) is a measure of the maximum potential change in value of a portfolio of financial assets with a given probability over a given time horizon. VaR became a key measure of market risk since the Basle Committee stated that banks should be able to cover losses on their trading portfolios over