This paper is aimed at assessing the spillover effects of the US Economic Policy Uncertainty (EPU) in macroeconomic variables of major Latin American Countries (LAC): Mexico, Colombia, Brazil, and Chile. To do that, we estimate a set of two-country Structural Vector Autoregressive (SVAR) models...

This document identifies non linear dependence events in the Mexican exchange rate (Mexican peso/U.S. Dollar), between January 1995 and September 2010. For this purpose the Hinich Portmanteau test, which uses a high frequency test to detect nonlinear episodes through small window functions, is...

This paper is aimed at assessing the spillover effects of the US Economic Policy Uncertainty (EPU) in macroeconomic variables of major Latin American Countries (LAC): Mexico, Colombia, Brazil, and Chile. To do that, we estimate a set of two-country Structural Vector Autoregressive (SVAR) models...

This paper is aimed at assessing the spillover effects of the US Economic Policy Uncertainty (EPU) in macroeconomic variables of major Latin American Countries (LAC): Mexico, Colombia, Brazil, and Chile. To do that, we estimate a set of two-country Structural Vector Autoregressive (SVAR) models...

In this paper we use Merton's (1976) model for pricing options when the underlying asset is driven by a mixed diffusion-jump process to compute the monthly default probabilities of a bond issuer whose income is uncertain with high volatility in tax collection. In particular, the case of a...