This paper studies inference performance of Instrumental Variables Estimators in situations where error terms are heteroskedastic and there are many instruments. In particular, performance of a estimator proposed by Hausman, Newey, Woutersen, Chao, and Swanson (2007) with the robust version of...

This paper provides the second order bias for the Symmetrically Normalized Instrumental Variable Estimator (SNIV), using Edgeworth expansions for both the estimator and the minimum eigenvalue. SNIV was proposed by Alonso-Borrego and Arellano (1999) as an alternative for the Limited Information...

This paper analyses the evidence about the bank-lending channel in Chile during the period 1990- 2002 using data from both the banking sector and the corporate sector. First, we estimate a panel data of banks to identify shifts in the loan supply curve in response to changes in monetary policy....

In this paper we model banking risk exposure in a non-linear VAR framework. We included banking aggregates such as write-offs, provisions expenses, and total loans. Overall fitting of the model is good for chilean data. In and out sample forecasts are better than a simple ARIMA model. Given this...

In this article we provide an executive survey of methods for missing data. We note that standard methods reduce the sample variances meanwhile bayesian methods keep track of the uncertainty associated with missing information. We discuss these methods in an empirical application using a...

We evaluate the impact of persistence in volatility over the probability of default in Merton’s credit risk model. Our main conclusion is that a high degree of persistence, as it is observed in equity returns, implies a lower probability of default for those cases where firms possess a high...

In this paper we discuss various indicators of default for consumer loans in Chile. In particular, we propose an indicator based on write-offs, which can be interpreted as a probability of default. The proposed indicator replicates the level and the dynamic of the default frequency reported in a...

In this paper, we study household debt default behavior in Chile using survey data. Previous research in this area suggests financial and personal variables help estimate individual and group probabilities of default. We study mortgage and consumer default separately, as the default decisions...

In this paper we compute the impact of the yield spread on output growth, based on a standard DSGE model. As it is supported by empirical literature, we found that yield spread can be used only to forecast output growth for short-term horizons (less than 2 years). Moreover, the size of that...

This paper introduces alternative measurements that use additional information of prices during the day: opening, minimum, maximum, and closing prices. Using the binomial model as the distribution of the stock price we prove that these alternative measurements are more efficient than the...