Artículo de revista

The purpose of this paper is, in the absence of a textbook which incorporates in a comprehensive form the increased diversity of applications and methodology of integrated processes, take stock of the most important results in this field, interpreting such results and, also, comparing them to...

This paper develops a flexible and computationally efficient model to estimate the credit loss distribution of the loans in a banking system. We consider a sectorial structure, where default frequencies and the total number of loans are allowed to depend on macroeconomic conditions as well as on...

In this paper, we show that a simple model of smoothly state-dependent pricing generates a distribution of price adjustments similar to that observed in microeconomic data, both for low and high inflation. Our setup is based on one fundamental assumption: price adjustment is more likely when it...

This paper analyzes the effects of monetary shocks in a DSGE model that allows for a general form of smoothly state-dependent pricing by firms. As in Dotsey, King, and Wolman (1999) and Caballero and Engel (2007), our setup is based on one fundamental property: firms are more likely to adjust...

We propose a new numerical method to solve stochastic models that combines the parameterized expectations (PEA) and the Smolyak algorithms. This method is especially convenient to address problems with occasionally binding constraints (a feature inherited from PEA) and/or a large number of state...

This paper proposes the use of dynamic factor models as an alternative to the VAR-based tools for the empirical validation of dynamic stochastic general equilibrium (DSGE) theories. Along the lines of Giannone et al. (2006), we use the state-space parameterisation of the factor models proposed...

This paper shows that the standard Calvo model clearly fails to account for the distribution of price durations found in micro data. We propose a novel price setting model that fully captures heterogeneity in individual pricing behavior. Specifi cally, we assume that there is a continuum of...

En este estudio se propone un análisis econométrico de la evolución del crédito bancario al sector privado con el objetivo de describir los ciclos de crédito e identificar, por ejemplo, las fases de crecimiento anormalmente bajo, como las que suelen asociarse con episodios de crisis...

En este trabajo comparamos expansiones seminoparamétricas de la distribución Gamma con expansiones de Laguerre alternativas, demostrando que amplían sustancialmente el rango de momentos factibles de variables aleatorias positivas. Posteriormente, combinamos dichas expansiones con una versión...