In this paper we measure the error of estimating the term structure by the YTM/Duration approximation. The figures are based on the fact that model of term structure proposed by Nelson and Siegel (1987) is valid, and bonds are bullets. For the case of Chile we found that the approximation...

Nelson and Siegel (1987) propose a parametric model for the yield curve. Since it is easy to estimate, it became popular among practitioners and Central Bank’s analysts. Diebold and Li (2006) provide a dynamic version of the Nelson-Siegel (DNS) model, showing that it performs well in outof-...

Based on a new dataset obtained from survey data, we study household debt default behavior in Chile. Previous research in this area suggests financial and personal variables that can help estimate individual and group probabilities of default. We study mortgage and consumer default separately,...

The Contingent Claim Analysis (CCA) is a useful tool for the risk analysis of listed companies. In this paper, we present the application of CCA to the department-store firms listed on the Chilean stock market. We obtain two main results: (1) the simplified version of distance to default...

In this paper we provide a useful method to forecast one the most popular technical analysis tool: the Relative Strength Index (RSI). This method is based on the assumption that stock price can be characterized by the standard binomial model widely used for pricing option. The algorithm is as...

In this paper I discuss about the estimation of Dynamic Panel Data model, showing that we can reduce the finite-sample bias of the Arellano-Bond estimator by truncation of the number of lags used in this estimator. We check our theoretical result in an empirical application using a panel of...

This paper reviews the traditional ways to measure volatility which are based only on closing prices, and introduces alternative measurements suggested in Parkinson (1980), Garman and Klass (1980), and Rogers and Satchell (1991). Those measurements use additional information of prices throughout...

This paper studies inference performance of Instrumental Variables Estimators in situations where error terms are heteroskedastic and there are many instruments. In particular, performance of a estimator proposed by Hausman, Newey, Woutersen, Chao, and Swanson (2007) with the robust version of...

This paper provides the second order bias for the Symmetrically Normalized Instrumental Variable Estimator (SNIV), using Edgeworth expansions for both the estimator and the minimum eigenvalue. SNIV was proposed by Alonso-Borrego and Arellano (1999) as an alternative for the Limited Information...

This paper analyses the evidence about the bank-lending channel in Chile during the period 1990- 2002 using data from both the banking sector and the corporate sector. First, we estimate a panel data of banks to identify shifts in the loan supply curve in response to changes in monetary policy....