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...

We estimate the effect of exogenous changes in taxes on the US unemployment rate and on several other labor market variables. Our estimates are based on a revised version of the Romer and Romer (2010) narrative record of exogenous tax innovations, with the additional benefit of distinguishing...

In this article we analyze bias and autocorrelation properties of inflation forecast errors coming from the surveys carried out by Consensus Economics. We consider monthly forecasts for Chile, México and Brazil as well as quarterly forecasts for the US, Canada, Sweden and Japan. Our sample...

This paper studies the informational content of synthetic indicators of economic activity for projecting the monthly index of economic activity (Imacec) for Chile. Comparing them to the Urrutia-Sánchez (2008) model, which employs energy production, and calendar and seasonal components to...

There is no standard economic forecasting procedure that systematically outperforms the others at all horizons and with any dataset. A common way to proceed, in many contexts, is to choose the best model within a family based on a fitting criteria, and then forecast. I compare the out-of-sample...

This work estimates the impact of different policies of Interest Rate Ceilings on the proportion of families excluded from credit access in Chile. Using the default probabilities estimated by a probit model based on demographic variables and financial debt-load, I simulate the distribution of...

In this article we use data from the National Employment Survey conducted by Chile’s National Statistics Institute (INE) to analyze the dynamic behavior of the Chilean labor market during the years 1993 to 2009. We study both the size and the cyclical behavior of flows among three different...

Schwarz. In this paper I evaluate the predictive ability of the Akaike and Schwarz information criteria using autoregressive integrated moving average models, with sectoral data of Chilean GDP. In terms of root mean square error, and after the estimation of more than a million models, the...

In this paper we study, from an empirical point of view, the determinants of the real exchange rate (RER). Relative to the vast previous literature on this topic we aim to distinguish the impact of two important components of government expenditure—public investment and transfers—on the RER,...

This paper conducts an exhaustive out-of-sample forecasting evaluation exercise for the monthly price of crude oil between 1992 and 2011. The idea is to identify the forecasting strategy that results in the “best” forecasts in terms of mean forecasting error. To this end, a wide variety of...