Central bank research hub - Papers by Gerardo Hernández del Valle
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Research hub papers by author Gerardo Hernández del ValleenDo heterogeneous countries respond differently to oil price shocks?
http://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/{3E2BC30F-0A87-8559-86F5-F2E30659898E}.pdf
Bank of Mexico Working Papers by Santiago Guerrero-Escobar, Gerardo Hernández del Valle, Marco A. Hernandez VegaDo heterogeneous countries respond differently to oil price shocks?2018-06-30T06:21:59ZThe article studies the macroeconomic impact of oil price changes in 17 highly heterogeneous countries classified in six groups: advanced, emerging, oil producer, non-oil producers, with energy price controls and without energy price controls. The results show that despite analyzed countries differ in several dimensions, most differences regarding oil price shocks impacts can be captured comparing two groups: advanced vs. emerging. Moreover, most of the differences in the way countries react to oil price shocks come from the source of the shock rather than by the group which the countries belong to. Remarkably, there are no significant differences in the response of industrial production between oil and non-oil producer countries. We posit, as potential explanations of the later finding the decline in the energy intensity of the global economy and the degree of trade openness.Do heterogeneous countries respond differently to oil price shocks?Full texthttp://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/{3E2BC30F-0A87-8559-86F5-F2E30659898E}.pdfSantiago Guerrero-EscobarMarco A. Hernandez VegaGerardo Hernández del ValleSantiago Guerrero-Escobar, Gerardo Hernández del Valle, Marco A. Hernandez Vega2018-06Bank of Mexico Working PapersE31Q31Q43A Functional Approach to Test Trending Volatility
http://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/{11963B51-2BF0-8443-6090-CB06D81A0921}.pdf
Bank of Mexico Working Papers by Hernndez del Valle Gerardo; Jurez-Torres Miriam; Guerrero SantiagoA Functional Approach to Test Trending Volatility2016-04-27T06:23:00ZIn this paper we extend the traditional GARCH(1,1) model by including a functional trend term in the conditional volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the Mexican CPI basket, as well as to the international prices of maize, wheat, pork, poultry and beef products for three different time periods that implied changes in price regulations and behavior. The proposed model seems to adequately fit the volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most popular approaches used in the literature to analyze price volatility.A Functional Approach to Test Trending VolatilityFull texthttp://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/{11963B51-2BF0-8443-6090-CB06D81A0921}.pdfMiriam Juárez-TorresSantiago Guerrero-EscobarGerardo Hernández del ValleHernndez del Valle Gerardo; Jurez-Torres Miriam; Guerrero Santiago2016-04Bank of Mexico Working PapersC22C51E31Q18On the pricing of defaultable bonds and Hitting times of Ito processes
http://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/{4C905612-3DF4-6EB6-C383-08ACCD58AB13}.pdf
Bank of Mexico Working Papers by Hernndez del Valle GerardoOn the pricing of defaultable bonds and Hitting times of Ito processes2015-11-28T06:17:59ZThe main aim of this work is to price defaultable bonds. In order to achieve this goal we link first hitting densities of Brownian motion with functionals of controlled diffusions. From a practical point of view examples of diffusions with this property are: Brownian motion with linear drfit, the 3D Bessel process, the 3D Bessel bridge, and the Brownian bridge, just to mention a few. In turn, these processes are used in finance and economics since they may fall within the category of controlled processes, and/or mean reverting processes.On the pricing of defaultable bonds and Hitting times of Ito processesFull texthttp://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/{4C905612-3DF4-6EB6-C383-08ACCD58AB13}.pdfGerardo Hernández del ValleHernndez del Valle Gerardo2015-11Bank of Mexico Working PapersC60G00G01Valuation of credit default swaps via Bessel bridges
http://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/{321C96A2-B821-3CFD-0507-D28B202BB30B}.pdf
Bank of Mexico Working Papers by Hernndez del Valle Gerardo; Pacheco-Gonzlez CarlosValuation of credit default swaps via Bessel bridges2014-12-29T12:33:00ZA credit default swap (CDS) is a financial contract in which the holder of the instrument will be compensated in the event of a loan default. When available, CDS's are used to monitor the credit risk of countries and companies. In this work we develop a closed form procedure to value a CDS in the case in which the so-called "credit rate index" is modelled as a Bessel bridge of arbitrary order. In particular, these processes seem to capture the nature of a defaultable asset in the sense that they remain strictly positive before default, and thus enrich the existing literature in this field.Valuation of credit default swaps via Bessel bridgesFull texthttp://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/{321C96A2-B821-3CFD-0507-D28B202BB30B}.pdfCarlos Pacheco-GonzlezGerardo Hernández del ValleHernndez del Valle Gerardo; Pacheco-Gonzlez Carlos2014-12Bank of Mexico Working PapersG0G1On a new class of barrier options
http://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/{6CA969B9-387C-D788-3697-34F3418BB839}.pdf
Bank of Mexico Working Papers by Gerardo Hernández del ValleOn a new class of barrier options2014-12-03T06:17:59ZA barrier option is a financial derivative which includes an activation (or deactivation) clause within a standard vanilla option. For instance, a copper mining company could secure to sell in at least K dollars each ton of copper during the next year, by buying M European put options. However, it could purchase a less expensive derivative (a barrier option) which includes a clause which deactives the contract if ever the price of copper is below B dollars (for B<K) during the life of the contract. In practice, such barrier does not have to remain constant during the life of the contract. However, pricing a barrier derivative is only known for barriers that are represented by linear, quadratic, and square root functions. In this work we propose a new methodology for pricing barrier options that include a larger family of barriers not previously studied in the literature.On a new class of barrier optionsFull texthttp://www.banxico.org.mx/publicaciones-y-discursos/publicaciones/documentos-de-investigacion/banxico/{6CA969B9-387C-D788-3697-34F3418BB839}.pdfGerardo Hernández del ValleGerardo Hernández del Valle2014-11Bank of Mexico Working PapersG10G12G13