Publicaciones académicas

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Esta colección incluye artículos de profesores de la Pontificia Universidad Católica de Chile, publicados en revistas nacionales y extranjeras.

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Now showing 1 - 20 of 279

A class of antipersistent processes
(WILEY, 2007) Bondon, Pascal; Palma, Wilfredo
We introduce a class of stationary processes characterized by the behaviour of their infinite moving average parameters. We establish the asymptotic behaviour of the covariance function and the behaviour around zero of the spectral density of these processes, showing their antipersistent character. Then, we discuss the existence of an infinite autoregressive representation for this family of processes, and we present some consequences for fractional autoregressive moving average models.
A COMPOUND OPTION MODEL OF PRODUCTION AND INTERMEDIATE INVENTORIES
(UNIV CHICAGO PRESS, 1993) CORTAZAR, G; SCHWARTZ, ES
This article extend the option approach to valuing real assets by modeling the firm as a two-stage process with bounded output rates in which the output of the first stage may be held as work-in-process. In this setting, the real asset becomes a compound option. which, if exercised, gives the option to finish the work-in-process and sell the output as its final payoff. The existence of intermediate inventories may arise as an optimal investment strategy for exploiting possible future price increases. The framework allows us to analyze the effect of uncertainty on output rates and the effect of interest rates changes on inventory levels.
A decade lost and found: Mexico and Chile in the 1980s
(2002) Bergoeing, R; Kehoe, PJ; Kehoe, TJ; Soto, R
Chile and Mexico experienced severe economic crises in the early 1980s. This paper analyzes four possible explanations for why Chile recovered much faster than Mexico did. Comparing data from the two countries allows us to rule out a monetarist explanation, an explanation based on falls in real wages and real exchange rates, and a debt overhang explanation. Using growth accounting, a calibrated growth model, and economic theory, we conclude that the crucial difference between the two countries was the earlier policy reforms in Chile that generated faster productivity growth. The most crucial of these reforms were in banking and bankruptcy procedures. (C) 2002 Elsevier Science.
A DIAGONAL HYPERBOLIC SYSTEM FOR MAPPINGS WITH PRESCRIBED PRINCIPAL STRAINS
(ACADEMIC PRESS INC JNL-COMP SUBSCRIPTIONS, 1993) GEVIRTZ, J
A modified CTGAN-plus-features-based method for optimal asset allocation
(2024) Na, Jose-Manuel Pe; Suarez, Fernando; Larre, Omar; Ramirez, Domingo; Cifuentes, Arturo
We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asset allocation problem in which each asset class is accessed through a passive (index) fund. The asset-class weights are determined by solving an optimization problem which includes a CVaR-constraint. The optimization is carried out by means of a Modified CTGAN algorithm which incorporates features (contextual information) and is used to generate synthetic return scenarios, which, in turn, are fed into the optimization engine. For contextual information, we rely on several points along the U.S. Treasury yield curve. The merits of this approach are demonstrated with an example based on 10 asset classes (covering stocks, bonds, and commodities) over a fourteen-and-half-year period (January 2008-June 2022). We also show that the synthetic generation process is able to capture well the key characteristics of the original data, and the optimization scheme results in portfolios that exhibit satisfactory out-of-sample performance. We also show that this approach outperforms the conventional equal-weights (1/N) asset allocation strategy and other optimization formulations based on historical data only.
A multifactor stochastic volatility model of commodity prices
(2017) Cortazar, Gonzalo; Lopez, Matias; Naranjo, Lorenzo
We propose a novel representation of commodity spot prices in which the cost-of-carry and the spot price volatility are both driven by an arbitrary number of risk factors, nesting many existing specifications. The model exhibits unspanned stochastic volatility, provides simple closed-form expressions of commodity futures, and yields analytic formulas of European options on futures. We estimate the model using oil futures and options data, and find that the pricing of traded contracts is accurate for a wide,range of maturities and strike prices. The results suggest that at least three risk factors in the spot price volatility are needed to accurately fit the volatility surface of options on oil futures, highlighting the importance of using general multifactor models in pricing commodity contingent claims. (C) 2017 Elsevier B.V. All rights reserved.
A note on environmental policy and innovation when governments cannot commit
(2011) Montero Ayala, Juan Pablo
A Novel Offsite Construction Method for Social Housing in Emerging Economies for Low Cost and Reduced Environmental Impact
(MDPI, 2023) Tapia Reed, Danilo Alejandro; González Hormazábal, Marcelo Andrés; Vera Araya, Sergio Eduardo; Aguilar, Carlos; CEDEUS (Chile)
Offsite construction methods have shown many advantages over traditional construction techniques, especially related to efficiency and productivity during the construction phase. Nevertheless, offsite construction generally involves oversizing the internal structure of the modules due to the internal stresses produced during transport and lifting operations, producing an increase in material usage, direct cost, and carbon footprint. In developing countries, the direct cost of social housing is the most important factor determining the feasibility of construction. For this reason, oversizing the internal structure of the modules can play an important role in the adoption of a modern construction technique such as offsite construction systems. In order to solve this issue, a temporary reusable stiffener structure is proposed to allow an economical offsite construction system using a lightweight steel framing structure used in traditional methods. The reusable structure was designed using a finite element method, and the direct cost and carbon footprint of the structure were evaluated. The results show that the proposed construction strategy allows for a low cost and reduced environmental impact due to a lower usage of materials in the modules and the possibility of a circular economy approach to the reusable structure.
A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
(2014) Reisen, V.; Zamprogno, B.; Palma M., Wilfredo; Arteche, J.
A Synthetic Data-Plus-Features Driven Approach for Portfolio Optimization
(2023) Pagnoncelli, Bernardo K.; Ramirez, Domingo; Rahimian, Hamed; Cifuentes, Arturo
Features, or contextual information, are additional data than can help predicting asset returns in financial problems. We propose a mean-risk portfolio selection problem that uses contextual information to maximize expected returns at each time period, weighing past observations via kernels based on the current state of the world. We consider yearly intervals for investment opportunities, and a set of indices that cover the most relevant investment classes. For those intervals, data scarcity is a problem that is often dealt with by making distribution assumptions. We take a different path and use distribution-free simulation techniques to populate our database. In our experiments we use the Conditional Value-at-Risk as our risk measure, and we work with data from 2007 until 2021 to evaluate our methodology. Our results show that, by incorporating features, the out-of-sample performance of our strategy outperforms the equally-weighted portfolio. We also generate diversified positions, and efficient frontiers that exhibit coherent risk-return patterns.
A systemic approach to modelling and estimating demand for money(ies)
(2013) Calani, Mauricio; Fuentes, J. Rodrigo; Schmidt-Hebbel, Klaus
This article uses a consumer theory-based systemic approach to model the demand for monetary liquid asset holdings in Chile. We implement the suggestions and caveats of aggregation theory for the estimation of a demand system for liquid assets (monies) in static, dynamic and time-varying parameters setups. Our results are robust and theoretically consistent with consumer theory restrictions, as a system derived from a utility maximizing framework and a quasi concave utility function. In our estimations, we find stability of interest rate elasticities, in contrast to previous related literature. We also document evidence that long (short) maturity rates are associated to less (more) liquid assets.
A Two-Level Theory of Presidential Instability
(CAMBRIDGE UNIV PRESS, 2014) Luna, Juan Pablo; Murillo, Maria Victoria; Schrank, Andrew
This article analyzes the conditions that facilitate the ousting of Latin American presidents and the mechanisms that prevent their downfall. Drawing lessons from the impeachment of Paraguayan president Fernando Lugo, it extends previous arguments about the "legislative shield" to show that the same forces that sometimes conspire to terminate an administration at other times work to resist its demise. The argument underscores the interaction between legislators and social movements, two prominent actors in the literature on presidential instability. The article presents a two-level theory to identify possible configurations of mass and legislative alignments, and tests some implications of the theory with data for 116 Latin American presidents over 28 years. Multiple comparison tests based on random effects logistic models show that popular protests can be neutralized by strong support in Congress, and hint at the possibility that legislative threats can be neutralized by loyal demonstrators in the streets.
Adulthood employment trajectories and later life mental health before and after the onset of the COVID-19 pandemic
(MDPI, 2022) Cabib Madero, Ignacio Andrés; Budnevich Portales, Carlos; Azar Denecken, Ariel Ricardo
Background: This life course study has two aims. First, to explore how diverse employment trajectories across adulthood are related to older people's mental health in Chile, a country with no research in this field, and second, to analyze these associations before and after the onset of the COVID-19 pandemic. Methods: We use data from the nationally-representative and longitudinal 'Chilean Social Protection Survey' sequence analysis to reconstruct employment trajectory types, and bivariate and multivariate analyses to measure their association with depressive symptoms. Results: Our findings indicate that formal labor force patterns in adulthood show the lowest burden of depressive symptomology before and after the onset of the overwhelming COVID-19 pandemic when controlling for traditional risk factors. Conclusion: We emphasize that policymakers in both the labor market and public health domains must consider the relationship between informal employment pathways in adulthood and poorer mental health in old age. Public policies should improve the conditions and quality of jobs during adulthood and promote more formalization in the labor market to address the high uncertainty involving low social protection, which is strongly associated with severe mental health problems in later life.
Agglomeration and creativity in early modern Britain
(Elsevier Inc., 2025) Cox, Gary W.; Figueroa Álvarez, Valentín Iván
When did western cities become the engines of creativity modern theorists envision them to be? We approach this issue by investigating how much elite authors benefited from agglomerating in early modern London. Building a new panel dataset documenting the place of residence and annual publications of 2,026 prolific authors over the period 1482–1800, we conduct longitudinal author-level analyses. Our results suggest agglomeration benefits in London’s knowledge economy reached levels comparable to those documented in modern cities by the late 16th century. Exploring mechanisms, we find that moving to London improved opportunities for collaboration and, relatedly, the quality of books produced. We find similar agglomeration economies (and mechanisms) in the towns leading Britain’s industrial revolution in the 18th century (but not before).
Alain Badiou, the Communist Horizon Beyond Violence: An Look at the 21st
(2023) Barria-Asenjo, Nicol A.; Echaguee, Willingthon Acuna; Munoz, Jamadier Esteban Uribe; Acosta, Jairo Gallo; Polo, Simone A. Medina; Leon, Alberto; Kargodorian, Silvia; Letelier, Antonio; Ayala-Colqui, Jesus
This research paper examines the work of philosopher Alain Badiou and his analysis of 20th-century violence. The author argues that the last century was marked by violence and destruction, from world wars to extermination camps and state crimes. Badiou claims that this violence stems from a passion for the real, a quest to transform existing reality and create a new world. However, this passion clashes with reality itself, creating an irreducible difference between the real and constructed reality. This difference is what allows us to understand the phenomenon of violence. The passion for the real seeks to purify it and unmask the superficiality of reality, but it can never fully achieve its goal. Furthermore, this passion for the real creates constant mistrust of semblances, leading to suspicion and persecution. The totalitarian violence of the 20th century arises from this infinite suspicion directed towards semblances. The article explores in detail the relationship between the passion for the real, violence, and the distance between the real and semblances.
All that glitters is not gold: a ranking of global rankings
(2020) Díaz, E.; Valdés, Rodrigo O.
Alteration of coastal productivity and artisanal fisheries interact to affect a marine food web
(2021) Isidora Avila-Thieme, M.; Corcoran, Derek; Perez-Matus, Alejandro; Wieters, Evie A.; Navarrete, Sergio A.; Marquet, Pablo A.; Valdovinos, Fernanda S.
Top-down and bottom-up forces determine ecosystem function and dynamics. Fisheries as a top-down force can shorten and destabilize food webs, while effects driven by climate change can alter the bottom-up forces of primary productivity. We assessed the response of a highly-resolved intertidal food web to these two global change drivers, using network analysis and bioenergetic modelling. We quantified the relative importance of artisanal fisheries as another predator species, and evaluated the independent and combined effects of fisheries and changes in plankton productivity on food web dynamics. The food web was robust to the loss of all harvested species but sensitive to the decline in plankton productivity. Interestingly, fisheries dampened the negative impacts of decreasing plankton productivity on non-harvested species by reducing the predation pressure of harvested consumers on non-harvested resources, and reducing the interspecific competition between harvested and non-harvested basal species. In contrast, the decline in plankton productivity increased the sensitivity of harvested species to fishing by reducing the total productivity of the food web. Our results show that strategies for new scenarios caused by climate change are needed to protect marine ecosystems and the wellbeing of local communities dependent on their resources.
An examination of the discount rate
(FONDO CULTURA ECONOMICA, 2005) Zurita, F
The choice of an appropriate discount rate is of major importance in cost-benefit analysis both, at the private and at the social levels. The theories that rationalize. the NPV criterion also identify the appropriate rate. However, the question remains as to what should be done when the environment where the project is under appraisal does not accommodate well to the one described by the theory. This essay puts forward the idea that generally speaking, when there is no obvious rate to pick the NPV criterion lacks normative value.
An integrated assessment of water-energy and climate change in sacramento, california : how strong is the nexus?
(2015) Dale, Larry L.; Karali, Nihan; Millstein, Dev; Carnall, Mike; Vicuña Díaz, Sebastián
An interim evaluation of sulfur dioxide emissions trading
(1998) Schmalensee, R; Joskow, PL; Ellerman, AD; Montero, JP; Bailey, EM
This paper summarizes recent empirical research on compliance costs and strategies and on permit market performance under the U.S. acid rain program, the first large-scale, long-term program to use tradeable emissions permits to control pollution. An efficient market for emissions permits developed in a few years, and this program more than achieved its early goals on time, and it cost less than had been projected. Because of expectation errors, however, investment was excessive, and permit prices substantially understate abatement costs. The tradeable permits approach has worked well, but it is not a miracle cure for environmental problems. Coauthors are Paul L. Joskow, A. Denny Ellerman, Juan Pablo Montero, and Elizabeth M. Bailey.

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