In this paper we consider an extension of Vasicek’s (1991) model for new consumer fixed-payment credits in the Chilean banking system. Under the assumption that the economy experienced a complete business cycle during 2003-09, we are able to compute the so-called Long-Run Probability of...

Este artículo estudia la interacción entre el ciclo económico y el mercado del crédito. Nuestra evidencia señala que los períodos de expansión económica gatillan en el mediano plazo, primero, aumentos de la cartera vencida, y luego, reducciones del crédito. Interpretamos este fenómeno...

Using data of Chilean exporting firms, this paper studies the effect of the financial crisis on the extensive and intensive margin of export in the aftermath of the crisis. The negative effect of the crisis on exports is highly heterogeneous. The evidence shows that larger exporters, belonging...

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...

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...

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...

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...