An important consequence of the recent financial crisis was the collapse of global trade. Using data of Chilean exporting firms, this paper studies the effect of financial constraints on export growth in the aftermath of the crisis. Our results show that both overall financing and export credit...

This paper addresses the way optimal cash holdings decisions may be affected in episodes of adverse liquidity shocks. Motivated by the recent financial crisis, we are particularly interested in understanding how firm characteristics can explain differences in the adjustment speed to desired cash...

Credit and market risks are crucial for financial institutions. In this paper we present the model used by the Central Bank of Chile to conduct the stress tests for commercial banks in Chile. Market risk uses a balance-sheet approach that is consistent with the credit risk. For exchange rate...

This paper studies the interaction between the business cycle and the credit market. A first result is that the business cycle has procyclical effects on different types of credit (i.e., consumer, commercial and mortgage loans). The results area obtained through the identification of structural...

In this paper we analyze two risk measures using the Binomial Model. In one case we show that the distance-to-default measure is indeed a Z-statistic. In an empirical application we estimate the probability of default for Chilean banks. Our second measure is a pseudo implied volatility which is...

This paper proposes the non-performing loans (NPL) ratio, defined as the change in the stock of NPL adjusted by write-offs and standardized by loans, as the main measure to be used for modeling the credit risk of the Chilean banking system. In particular, the paper identifies certain statistical...

Trade data shows that real exchange rate fluctuates more than other variables such as consumption and GDP, and also presents significant deviations from the Law of One Price. In light of these facts, this paper develops and estimates a non-monetary DSGE model under financial autarky for...

The discussion about the Interest Rate Ceiling (TMC) has generated several proposals that involve changing the current way of calculating this interest rate, which applies to consumer loans of amounts smaller than 200 UF and maturities of less than 90 days. In this paper we analyze the effect of...

This paper econometrically examines the factors determining the real estate price dynamics in Chile in the period 1990-2007. For such purpose, we use annual data of 419 homes located in the Metropolitan Area and acquired in that period. The results indicate that variables such as age and size...

In this paper we estimate the factor model given by the Arbitrage Pricing Theory (APT), using a statistical model that has not yet been applied to Chilean financial market returns: the Principal Components Method. Using bond and stock indexes, we identify four factors of systematic risk for the...