There is an extensive literature on the determinants of capital structure for developed countries, but little has been said about emerging economies. This article analyzes the driving forces of capital structure in Chile for the period 1990-2002. We study aggregate leverage and interest-bearing...

Using monthly industrial sector data from January 1971 to March 2004, we test for business cycles convergence among the major APEC members: Japan, South Korea, Malaysia, Mexico, USA, and Canada. In addition, we examine the synchronization of business cycles among Australia, Japan, and South...

To date, there is no consensus about how frictions in the credit market affect the transmission of the monetary policy to the real economy. The traditional money channel states that when the Central Bank reduces its reserves, commercial banks are forced to reduce their demand for deposits. If...

This article looks at the determinants of liquidity premium of the term structure of interest rates. Based upon a very simple model, we show that liquidity premium is not necessarily positive, as usually believed. This point is illustrated empirically with Chilean data for the sample period...

Technological innovations have contributed over the years to an increasing stock of durable goods - those products that are not immediately consumed but provide a stream of services over a long period of time. Indeed, virtually every household in a modern economy owns a refrigerator, a personal...

For a sample of six countries with dirty/free float regimes over 1999-2002––the United States, Japan, the Czech Republic, Poland, Switzerland, and the United Kingdom, we investigate whether paired currencies exhibit a pattern of asymptotic dependence on the euro. That is, whether an...

In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk. In addition, we derive an analytical formula for time-scale value at risk and marginal value at risk (VaR) of a portfolio. We apply our...

Based upon Granger causality and Pesaran-Shin’s generalized impulse-response functions, this paper studies the link between the term structure and economic growth, and the link between the term structure and actual and expected percent changes of the Consumer Price Index (CPI) in Chile. Our...

Value at Risk (VaR) is a measure of the maximum potential change in value of a portfolio of financial assets with a given probability over a given time horizon. VaR became a key measure of market risk since the Basle Committee stated that banks should be able to cover losses on their trading...

This article presents a model to select the optimal hedge ratios of a portfolio comprised of an arbitrary number of commodities. In particular, returns dependency and heterogeneous investment horizons are accounted for by copulas and wavelets, respectively. We analyze a portfolio of London Metal...