Central bank research hub - Papers by Rodrigo Alfaro
https://www.bis.org/cbhub/list/author/author_1159/index.rss
Research hub papers by author Rodrigo AlfaroenS 500 under Dynamic Gordon Model
http://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc851.pdf
Central Bank of Chile Working Papers by Rodrigo Alfaro and Andrés SagnerS 500 under Dynamic Gordon Model2019-10-01T00:00:51ZIn this paper, we extend the Dynamic Gordon Model (Campbell and Shiller, 1988) with a semistructural, medium-term macroeconomic model. The proposed framework allows us to analyze the relationship between output gap, inflation, stock prices, and interest rate as in Blanchard (1981). We estimate the model using Bayesian techniques on quarterly data from 1984 to 2006. The decomposition of the unconditional variance of the variables shows that (i) demand shocks are relevant for both macroeconomic variables and stock prices; (ii) supply and interest rate shocks affect, to a lesser extent, inflation and interest rates, respectively; and (iii) shocks to the pricedividend ratio account for around 30% of the variability of the output gap, inflation, and interest rates, reflecting in this manner the importance of stock prices on the dynamics of macroeconomic variables.S 500 under Dynamic Gordon ModelFull texthttp://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc851.pdfAndrés SagnerRodrigo AlfaroRodrigo Alfaro and Andrés Sagner2019-10Central Bank of Chile Working PapersPension Funds and the Yield Curve: The Role of Preference for Maturity
http://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc821.pdf
Central Bank of Chile Working Papers by Rodrigo Alfaro and Mauricio CalaniPension Funds and the Yield Curve: The Role of Preference for Maturity2018-06-01T00:00:21ZWhat is the effect on the yield curve of an increase in market participation of a large institutional investor? To answer this question, we introduce a simplification of the model with heterogeneity of preference for maturity first proposed by Vayanos and Vila (2009). We show that our simplification entails little loss in fit and interpretation, while it provides greater simplicity and tractability. We take Chilean data of the sovereign fixed income market, and conclude that; for an additional one percent of higher market share of Pension Funds Administrators in said market, interest rates of the 10-year (5-year) associated instruments, are reduced by 6bp (4bp).Pension Funds and the Yield Curve: The Role of Preference for MaturityFull texthttp://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc821.pdfRodrigo AlfaroMauricio CalaniRodrigo Alfaro and Mauricio Calani2018-06Central Bank of Chile Working PapersThe impact of warnings published in a financial stability report on loan-to value ratios
http://www.bis.org/publ/work633.pdf
Bank for International Settlements Working papers by Andrés Alegría, Rodrigo Alfaro and Felipe CórdovaThe impact of warnings published in a financial stability report on loan-to value ratios2017-05-03T12:37:00ZThis paper shows how central bank communications can play a role in macroprudential supervision. We document how specific warnings about real estate markets, published in the Central Bank of Chile's Financial Stability Reports of 2012, affected ...The impact of warnings published in a financial stability report on loan-to value ratiosBISAbstracthttp://www.bis.org/publ/work633.htmFull texthttp://www.bis.org/publ/work633.pdfRodrigo AlfaroFelipe CórdovaAndrés AlegríaAndrés Alegría, Rodrigo Alfaro and Felipe Córdova2017-05-03Bank for International Settlements BIS Working PapersE58G21G28The Impact of Warnings Published in a Financial Stability Report on the Loan to Value Ratio
http://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc798.pdf
Central Bank of Chile Working Papers by Andrés Alegría, Rodrigo Alfaro and Felipe CórdovaThe Impact of Warnings Published in a Financial Stability Report on the Loan to Value Ratio2017-02-01T00:00:08ZThis paper shows how central bank communications can play a role in macroprudential supervision. We document how specific warnings about real estate markets, published in the Central Bank of Chile's Financial Stability Reports of 2012, affected bank lending policies. We provide empirical evidence of a rebalancing in the characteristics of mortgage loans granted, with a reduction in the number of mortgage loans with high loan-to-value ratios (LTV), along with an increase in loans with lower LTV ratios.The Impact of Warnings Published in a Financial Stability Report on the Loan to Value RatioFull texthttp://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc798.pdfRodrigo AlfaroFelipe CórdovaAndrés AlegríaAndrés Alegría, Rodrigo Alfaro and Felipe Córdova2017-02Central Bank of Chile Working PapersAn Analysis of the Impact of External Financial Risks on the Sovereign Risk Premium of Latin American Economies
http://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc795.pdf
Central Bank of Chile Working Papers by Rodrigo Alfaro, Carlos Medel and Carola MorenoAn Analysis of the Impact of External Financial Risks on the Sovereign Risk Premium of Latin American Economies2016-12-01T00:00:05ZThis article presents a quantification of the response of the sovereign risk premium (EMBI) of a group of Latin American countries, to unexpected changes (shocks) in external financial variables. A vector autoregressions is estimated for each country (Colombia, Chile, Mexico, and Peru) in monthly frequency that includes China's and Brazil's EMBI, the global volatility index (VIX), plus the value of the dollar against a basket of currencies (Broad Index) and a proxy of the slope of the US Treasury yield curve (Spread US). The VIX and Broad Index shocks turn out to have a relatively homogenous effect on each country's EMBI, while shocks to the China and Brazil EMBI are more heterogeneous. For the case of Chile, we further study three alternative risk scenarios, incorporating the copper price as an additional variable. The most disruptive scenario at the time when the shock hits is the Volatility driven one. Nevertheless, it is the Emerging market's scenario (namely one with simultaneous shocks to China' and Brazil's EMBI) the one with the most harmful dynamics, as it dyes out slower. Finally, a Copper price bust scenario, in which the price of copper drops significantly in addition to a shock to the EMBI China, is the one with the least effect as the price of copper is relatively less affected by shocks to other variables, displaying lower spillovers.An Analysis of the Impact of External Financial Risks on the Sovereign Risk Premium of Latin American EconomiesFull texthttp://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc795.pdfCarlos MedelRodrigo AlfaroCarola MorenoRodrigo Alfaro, Carlos Medel and Carola Moreno2016-12Central Bank of Chile Working PapersStress Tests for Banking Sector: A Technical Note
http://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc610.pdf
Central Bank of Chile Working Papers by Rodrigo Alfaro , Andrés SagnerStress Tests for Banking Sector: A Technical Note2011-02-11T17:36:00ZCredit and market risks are crucial for financial institutions. In this paper we present the model used by the Central Bank of Chile to conduct the stress tests for commercial banks in Chile., Market risk uses a balance-sheet approach that is consistent with the credit risk. For exchange rate risk we consider a change in the value of the portfolio under an unexpected change in the exchange rate by X%, meanwhile the interest rate risk is computed using a model for the whole yield curve. In particular, the modeling of this risk follows Nelson and Siegel (1987)., Credit risk is computed using a non-linear VAR that relates banking system aggregates (loan loss provisions, credit growth, and write-offs) with macroeconomics variables (output growth, short and long term interest rates, terms of trade, and unemployment). For each Financial Stability Report (FSR) the model is calibrated using data from 1997 to the most recent date at monthly frequency. The effect on individual banks is computed adjusting the loan loss provision and total loans of each bank with the forecast value for the system. Given that forecasts are separated by type of loans (commercial, mortgage, and consumer) then the final effect on a particular bank depend on its initial composition.Stress Tests for Banking Sector: A Technical NoteAbstracthttp://www.bcentral.cl/eng/studies/working-papers/610.htmFull texthttp://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc610.pdfRodrigo AlfaroAndrés SagnerRodrigo Alfaro , Andrés Sagner2011-02Central Bank of Chile Working PapersThe Determinants of Personal Debt Default
http://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc574.pdf
Central Bank of Chile Working Papers by Rodrigo Alfaro, Natalia Gallardo, Roberto SteinThe Determinants of Personal Debt Default2010-05-08T06:25:59ZBased on a new dataset obtained from survey data, we study household debt default behavior in Chile. Previous research in this area suggests financial and personal variables that can help estimate individual and group probabilities of default. We study mortgage and consumer default separately, as the default decisions and overall borrower behavior are different for each type of debt. Our study finds that income and income-related variables are the only significant and robust variables that explain default for both types of debt. Demographic or personal variables are specific to one or the other type of debt but not to both. For example, level of education is a factor that affects mortgage default, whereas the determinants of consumer debt default include the age of the household head, and the number of people within the household that contribute to the total family income. We derive threshold probabilities of default for each type of debt and compare them to those obtained from results of previous work based on the same Chilean data, but with a different approach. We find that the probability of default decreases as the family income increases, and that our estimates are consistent with other studies similar to ours. Also consistently with previous research, we find that, in terms of the distribution of debt and default risk, the largest portion of the country¿s household debt is in the hands of families in the upper quintiles, who have the lowest risk of default. This implies that the overall financial system should be relatively stable, even in the face of moderate macroeconomic shocks.The Determinants of Personal Debt DefaultAbstracthttp://www.bcentral.cl/eng/studies/working-papers/574.htmFull texthttp://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc574.pdfNatalia GallardoRoberto SteinRodrigo AlfaroRodrigo Alfaro, Natalia Gallardo, Roberto Stein2010-05Central Bank of Chile Working PapersAnálisis de Derechos Contingentes: Aplicación a Casas Comerciales
http://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc535.pdf
Central Bank of Chile Working Papers by Rodrigo Alfaro, Natalia GallardoAnálisis de Derechos Contingentes: Aplicación a Casas Comerciales2009-12-29T17:38:59ZThe Contingent Claim Analysis (CCA) is a useful tool for the risk analysis of listed companies. In this paper, we present the application of CCA to the department-store firms listed on the Chilean stock market. We obtain two main results: (1) the simplified version of distance to default proposed by Byström (2007) works for these firms, and (2) the distance to default found for this group of firms can be related to macroeconomic variables such as unemployment rate, output growth, and interest rate.Análisis de Derechos Contingentes: Aplicación a Casas ComercialesAbstracthttp://www.bcentral.cl/eng/studies/working-papers/535.htmFull texthttp://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc535.pdfNatalia GallardoRodrigo AlfaroRodrigo Alfaro, Natalia Gallardo2009-12Central Bank of Chile Working PapersMacro stress tests and crises: what can we learn?
http://www.bis.org/publ/qtrpdf/r_qt0912e.pdf
Bank for International Settlements Quarterly Review by Rodrigo Alfaro and Mathias DrehmannMacro stress tests and crises: what can we learn?2009-12-07T07:16:59ZMacro stress tests and crises: what can we learn?BISAbstracthttp://www.bis.org/publ/qtrpdf/r_qt0912e.htmFull texthttp://www.bis.org/publ/qtrpdf/r_qt0912e.pdfMathias DrehmannRodrigo AlfaroRodrigo Alfaro and Mathias Drehmann2009-12-07Bank for International Settlements BIS Quarterly ReviewE44G01G17The Yield Curve Under Nelson-Siegel
http://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc531.pdf
Central Bank of Chile Working Papers by Rodrigo AlfaroThe Yield Curve Under Nelson-Siegel2009-10-22T12:39:59ZNelson and Siegel (1987) propose a parametric model for the yield curve. Since it is easy to estimate, it became popular among practitioners and Central Bank¿s analysts. Diebold and Li (2006) provide a dynamic version of the Nelson-Siegel (DNS) model, showing that it performs well in outof- sample forecasting exercises. However, the model was originally proposed as a curve-fitting tool as opposed to being obtained from a theoretical non-arbitrage framework. Christensen et al. (2009) show that the DNS model is arbitrage-free, giving it theoretical support. In this paper we consider a discrete version of the DNS model, and following the notation developed in Campbell et al. (1997), we show that it belongs to the class of affine-yield model. This provides an alternative proof of the one presented in Christensen et al. (2009), since we use the Euler Equation to show that the yield on a bond is linear in three factors. As in Balduzzi et al. (1998), one of these factors is unobserved, whereas the observed ones can be associated with the long term interest rate and the term spread, respectively. Finally, we discuss the implications of the DNS model for forward rate and the neutral interest rate.The Yield Curve Under Nelson-SiegelAbstracthttp://www.bcentral.cl/eng/studies/working-papers/531.htmFull texthttp://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc531.pdfRodrigo AlfaroRodrigo Alfaro2009-10Central Bank of Chile Working PapersWhen RSI met the Binomial-Tree
http://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc520.pdf
Central Bank of Chile Working Papers by Rodrigo Alfaro, Andrés SagnerWhen RSI met the Binomial-Tree2009-07-24T07:12:59ZIn this paper we provide a useful method to forecast one the most popular technical analysis tool: the Relative Strength Index (RSI). This method is based on the assumption that stock price can be characterized by the standard binomial model widely used for pricing option. The algorithm is as simple as to code a standard European option. An empirical application to the exchange rate chilean peso and dollar is provided. The results show that the proposed method is superior to the usual ARMA modeling.When RSI met the Binomial-TreeAbstracthttp://www.bcentral.cl/eng/studies/working-papers/520.htmFull texthttp://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc520.pdfAndrés SagnerRodrigo AlfaroRodrigo Alfaro, Andrés Sagner2009-06Central Bank of Chile Working PapersBanking Risk Exposure
http://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc503.pdf
Central Bank of Chile Working Papers by Rodrigo Alfaro; Daniel Calvo; Daniel OdaBanking Risk Exposure2008-11-20T17:36:00ZIn 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 we consider that the model provides a good input for stress testing analysis of Chilean banking system.Banking Risk ExposureAbstracthttp://www.bcentral.cl/eng/studies/working-papers/503.htmFull texthttp://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc503.pdfDaniel CalvoRodrigo AlfaroDaniel OdaRodrigo Alfaro; Daniel Calvo; Daniel Oda2008-11Central Bank of Chile Working PapersHigher Order Properties of the Symmetricallr Normalized Instrumental Variable Estimator
http://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc500.pdf
Central Bank of Chile Working Papers by Rodrigo AlfaroHigher Order Properties of the Symmetricallr Normalized Instrumental Variable Estimator2008-11-03T17:38:00ZThis 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 Maximum Likelihood Estimator (LIML), based solely on simulations. The paper shows that second order biases of SNIV and 2SLS are similar meanwhile LIML is second order unbiased. Previous results can be obtained in a specific design: small number of strong instruments, where biases of 2SLS, SNIV, and LIML are zero.Higher Order Properties of the Symmetricallr Normalized Instrumental Variable EstimatorAbstracthttp://www.bcentral.cl/eng/studies/working-papers/500.htmFull texthttp://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc500.pdfRodrigo AlfaroRodrigo Alfaro2008-10Central Bank of Chile Working PapersInference Using Instrumental Variable Estimators
http://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc464.pdf
Central Bank of Chile Working Papers by Rodrigo AlfaroInference Using Instrumental Variable Estimators2008-07-18T12:37:00ZThis 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 JIVE -proposed by Angrist, Imbens and Krueger (1999)- is analyzed. Theoretical results are presented for the robust t-statistics, which is mostly affected by the finite-sample bias of the estimator.Inference Using Instrumental Variable EstimatorsAbstracthttp://www.bcentral.cl/eng/studies/working-papers/464.htmFull texthttp://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc464.pdfRodrigo AlfaroRodrigo Alfaro2008-04Central Bank of Chile Working PapersEstimation of a Dynamic Panel Data: The Case Of Corporate Investment in Chile
http://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc467.pdf
Central Bank of Chile Working Papers by Rodrigo AlfaroEstimation of a Dynamic Panel Data: The Case Of Corporate Investment in Chile2008-07-18T12:37:00ZIn this paper I discuss about the estimation of Dynamic Panel Data model, showing that we can reduce the finite-sample bias of the Arellano-Bond estimator by truncation of the number of lags used in this estimator. We check our theoretical result in an empirical application using a panel of Chilean firms.Estimation of a Dynamic Panel Data: The Case Of Corporate Investment in ChileAbstracthttp://www.bcentral.cl/eng/studies/working-papers/467.htmFull texthttp://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc467.pdfRodrigo AlfaroRodrigo Alfaro2008-04Central Bank of Chile Working PapersMeasuring Equity Volatility: the case of Chilean Stock Index
http://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc462.pdf
Central Bank of Chile Working Papers by Rodrigo Alfaro; Carmen Gloria SilvaMeasuring Equity Volatility: the case of Chilean Stock Index2008-07-18T12:37:00ZThis paper reviews the traditional ways to measure volatility which are based only on closing prices, and introduces alternative measurements suggested in Parkinson (1980), Garman and Klass (1980), and Rogers and Satchell (1991). Those measurements use additional information of prices throughout the day, which makes them more efficient than the traditional ones. We consider this property relevant for financial stress episodies, when traditional measurements fail. In an empirical application for the Chilean stock market, we confirm the theoretical results and provide an index of price volatility based on daily highs and lows.Measuring Equity Volatility: the case of Chilean Stock IndexAbstracthttp://www.bcentral.cl/eng/studies/working-papers/462.htmFull texthttp://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc462.pdfRodrigo AlfaroCarmen Gloria SilvaRodrigo Alfaro; Carmen Gloria Silva2008-04Central Bank of Chile Working PapersBank Lending Channel and the Monetary Transmission Mechanism: the Case of Chile
http://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc223.pdf
Central Bank of Chile Working Papers by Rodrigo Alfaro, Helmut Franken, Carlos García, Alejandro JaraBank Lending Channel and the Monetary Transmission Mechanism: the Case of Chile2003-09-01T12:00:00ZBank Lending Channel and the Monetary Transmission Mechanism: the Case of ChileAbstracthttp://www.bcentral.cl/eng/studies/working-papers/htm/223.htmFull texthttp://www.bcentral.cl/eng/studies/working-papers/pdf/dtbc223.pdfAlejandro JaraRodrigo AlfaroHelmut FrankenCarlos GarcíaRodrigo Alfaro, Helmut Franken, Carlos García, Alejandro Jara2003-08Central Bank of Chile Working Papers