En este artÌculo, analizamos las transmisiones de shocks desde los principales mercados burs·tiles desarrollados, incluyendo Tokio, New York, ParÌs y Frankfurt hacia el mercado de Santiago, controlando por el mercado de Sao Paulo. Esta investigaciÛn se concentra en los recientes episodios de...

Despite the important role that total factor productivity (TFP) has played in the growth literature, few attempts have been made to change the methodology to estimate it. This paper proposes a methodology based on a state-space model to estimate TFP and its determinants. With this methodology,...

A good parametric spectral estimator requires an accurate estimate of the sum of AR coefficients, however a criterion which minimizes the innovation variance not necessarily yields the best spectral estimate. This paper develops an alternative information criterion considering the bias in the...

This article estimates a dynamic model for the yield curve incorporating latent and macro factors to represent the term structure of the real interest rates. The representation of the yield curve is based on the popular latent factor model of Nelson and Siegel (1987), but under a dynamic...

This paper investigates how standard residual based tests for cointegration—under structural change in the long run relationship—can be modified in order to reduce size distortions and improve power, by following the same ideas used in the unit root context. This is a natural strategy given...

The Chilean Electronic Market for Annuities was created in 2004 in order to correct several malfunctions of the market for annuities. The Chilean Pension System is composed of two phases. On the accumulation phase, savings are collected and managed by asset managers. The payout phase consists in...

The domestic impact of external shocks will depend on the degree of coupling of domestic assets to foreign markets, but also on the spillovers among assets. The covariance between different types of assets could be affected by the new information. Changes in the covariance could come from a...