Este documento analiza el impacto de un shock en la tasa de interés externa en la economía chilena. Con este fin, se estima un modelo empírico de Vectores Autoregresivos y adicionalmente se desarrolla un modelo estocástico de equilibrio general calibrado y parametrizado para la economía...

The study examines the reasons for financial crises in 31 emerging market countries during 1980-2001. It estimates a probit model using 23 macroeconomic and financial sector variables. Traditional variables such as unemployment and inflation, as well as several indicators of indebtedness such as...

This paper develops and estimates an unobserved components model for purposes of monetary policy analysis and inflation targeting in a small open economy. Cyclical components are modeled as a multivariate linear rational expectations model of the monetary transmission mechanism, while trend...

In this paper we assess the stability of open economy backward-looking Phillips curves estimated over two different exchange rate regimes. The pseudo-data employed in our econometric exercise come from the simulation of a New-Keynesian hybrid model suited for performing monetary policy analysis....

In this paper, we focus on measuring the risk associated to a bank loan portfolio. In particular, we depart from the standard one factor model representation of portfolio credit risk. In particular, we consider an hetrogeneous portfolio, and we account for stochastic dependent recoveries. We...

This paper examines the empirical relationship between the quality of the Indian judiciary and the economic development of the Indian States and Union Territories. It evaluates this causality by analysing the development of the state-level per capita income and poverty rates. I define the...

The paper reviews the recent conduct of monetary policy and the central bank’s rule-based behavior in Russia. Using different policy rules, we test whether the central bank in Russia reacts to changes in inflation, output gap and the exchange rate in a consistent and predictable manner. Our...

Deterministic simulations with the Reserve Bank of New Zealand’s core FPS model show how New Zealand’s broad macroeconomic environment might have evolved over the 1990s, if a US nominal yield curve and US TWI exchange rate movements under a common currency arrangement had been...

We apply Purchasing Power Parity (PPP) theory to the analysis of long- run equilibrium in the foreign exchange market. We study the case of Portugal vis-à-vis Germany and Spain, and the case of Spain vis-à-vis Germany, in the period 1960-1990. The empirical analysis was based on unit-root...

This paper surveys and examines the sources of fluctuations in inflation and output in Turkey. Using a dynamic open economy aggregate supply - aggregate demand model with imperfect capital mobility and structural vector-autoregressions, the authors consider real oil price, supply, balance of...