Work in Progress

• "Correcting Small-Sample Bias in Estimates of Chile's Real Yield Curve" (with Carlos Medel and Mia Juul) (Draft)

• "A Technical Note on the Heston-Nandi Model" (with Francisco Pinto) CBC Working Paper #1094. 

• "Tail-Risk Indicators with Time-Variant Volatility Models: the case of the Chilean Peso" (with Catalina Estefó) CBC Working Paper #1041. 

Published Articles

• "A Note on the Discount for Lack of Marketability" (with Natán Goldberger) Economic Analysis Review 41(2): 3-25. 2026  (Preview)

• "Simple estimates for the US Term Premium" (with Andrés Sagner) Economic Analysis Review 41(2): 27-42. 2026 (Preview)

• "FX-hedging for Latin American investors" (with Natán Goldberger), Emerging Markets Review 59 (March): 101117. 2024 (Preview)

• "Modeling S&P 500 returns with GARCH models" (with Alejandra Inzunza), Latin America Journal of Central Banking 4(3): 100096. 2023

• "The Holt-Winters filter and the one-sided HP filter: A close correspondence" (with Mathias Drehmann) Economics Letters 222 (January): 110925. 2023 (BIS Working Paper)

• "Estimates of the US Shadow-Rate" (with Marco Piña), Latin America Journal of Central Banking 4(1): 100080. 2023

• "The effect of warnings published in a financial stability report on loan-to-value ratios" (with Andrés Alegría & Felipe Córdova), Latin America Journal of Central Banking 2(4): 100041. 2021

• "S&P 500 under a Structural Macro-Financial Model" (with Andrés Sagner), Economic Analysis Review 36(2): 3-20. 2021

• "An Analysis of the Impact of External Risks on the Sovereign Risk Premium of Latin American Economies" (with Carlos Medel & Carola Moreno), Economic Analysis Review 32(2): 131-153. 2017

• "Dynamics of the Default Frequency of Consumer Fixed-Payment Credits" [In Spanish] (with David Pacheco & Andrés Sagner), Trimestre Económico LXXX (2), No 318: 329-343. 2013

• "The Determinants of Household Debt Default" (with Natalia Gallardo), Economic Analysis Review 27(1): 55-70. 2012

• "Democracy and Human Development" (with John Gerring, Strom Thacker), The Journal of Politics 74(1): 1-17. 2012

• "Estimating Chile’s Nominal Interest Rate Structure: An Application of the Dynamic Nelson-Siegel Model" [In Spanish] (with Andrés Sagner & Juan Sebastián Becerra), The Chilean Economy 14(3): 57-74. 2011 (back-up)

• "Stress tests for banking sector: a technical note" (with Andrés Sagner), Money Affairs 24(2): 143-162. 2011

• "Affine Nelson-Siegel Model" Economics Letters 110(1): 1-3. 2011

• "Macro stress tests and crises: what can we learn?" (with Mathias Drehmann), BIS Quarterly Review (December 2009): 29-41.

• "Credit Risk of Consumer Loans" [In Spanish] (with Daniel Calvo & Daniel Oda), The Chilean Economy 12(3): 59-77. 2009 (back-up)

• "Multiple Imputation in Microeconomics Surveys" [In Spanish] (with Marcelo Fuenzalida), Latin America Journal of Economics, 46(134): 273-88. 2009

• “Index Volatility: the case of Chilean Stock Market” [In Spanish] [In English] (with Carmen Gloria Silva), Latin America Journal of Economics, 45(132): 217-288. 2008

Working Papers

• "How capital inflows translate into new bank lending: tracing the mechanism in Latin America" (with Carlos Cantú, Catherine Casanova, among others). BIS Working Papers #1051. 2022

• "Pension Funds and the Yield Curve: the role of Preference for Maturity" (with Mauricio Calani) CBC Working Paper #821. 2018

• "Forward Rate" [In Spanish] (with Antonio Fernandois and Andrés Sagner) CBC Working Papers #814. 2018

• "A Note on Yield Spread and Output Growth" (with Damián Romero) CBC Working Papers #700. 2013 

• "Credit Risk Indicators" [In Spanish] (with Andrés Alegría and Carlos Saavedra) CBC Working Papers #699. 2013 

• "The Impact of Persistence in Volatility Over the Probability of Default" (with Natan Goldberger) CBC Working Paper #689. 2013

• "Interest Rate Ceiling" [In Spanish] (with Andrés Sagner and Camilo Vio) CBC Working Papers #673. 2012

• "Applications of the Binomial Model" [In Spanish] (with Andrés Sagner and Carmen Gloria Silva) CBC Working Papers #631. 2011

• "TIR/Duration Approximation" [In Spanish] (with Juan Sebastián Becerra) CBC Working Papers #616. 2011

• "Yield Curve Under Nelson-Siegel" [In Spanish] CBC Working Paper #531. 2009

• "Inference Statistics" [In Spanish] Munich Personal RePEc Archive 15618. 2009 

• "Relative Strength Index" [In Spanish] [In English] (with Andrés Sagner) CBC Working Papers #520. 2009

• "Higher Order Properties of the Symmetrically Normalized Instrumental Variable Estimator" CBC Working Papers #500. 2008

• "Estimation of a Dynamic Panel Data: The Case of Corporate Investment in Chile" CBC Working Papers #467. 2008

• "Inference Using Instrumental Variable Estimators" CBC Working Papers #464. 2008

• “Index Volatility: the case of Chilean Stock Market” [In Spanish] CBC Working Paper #462. 2008

• "Bank Lending Channel and the Monetary Transmission Mechanism: the case of Chile" (with Helmut Franken, Carlos García, Alejandro Jara) CBC Working Papers #223. 2003

Policy Work

• "The Chilean financial system and macroprudential policies" (Section III: Business Cycle and risk-taking) Financial Stability Report 2011 (first half): 75-77.

• "Contingent Claims Analysis: the case of Department Store" [In Spanish] (with Natalia Gallardo & Camilo Vio), The Chilean Economy 13(1): 73-81. 2010 (back-up)

• "Household indebtedness in Chile: Analysis and implications for financial stability" (Section IV: Credit Risk) Financial Stability Report 2010 (first half): 74-79.

• "Financial Stability, Monetary Policy, and Central Banking: An Overview" [In Spanish] (with Rodrigo Cifuentes), The Chilean Economy 12(2):5-10. CBC Working Paper #554. 2009 

• "Volatility measures for financial markets" (with Carmen Gloria Silva) Financial Stability Report 2008 (first half): 71-74.

• "Effect of Reserve Requirements on 90-day bills rates" [In Spanish] (with Erika Arraño), The Chilean Economy 6(3): 71-79. 2003