Working Papers

Summary: I derive a sufficient statistics expression for the effect of Tax Cuts and Jobs Act (TCJA) of 2017 on house prices, and I use it to measure its effect across 269 metropolitan areas.  Prices decline about 3 percent on average, and up to 7 percent in some metropolitan areas; these price changes are correlated with observed prices movements in 2018.

Summary: Presents new evidence on the relationship between arbitrage and liquidity using a novel ETF panel dataset compiled from big trade-level data, spanning both equities and bonds.

"Private and Public Liquidity Provision in Over-the-Counter Markets", with David M. Arseneau and Alexandros P. Vardoulakis. FEDS 2017-033.
Summary: Presents a dynamic model of market-based financial intermediation with a two-way interaction between primary credit markets and secondary OTC markets that we use to (1) characterize the efficient provision of liquidity in this setting; and (2) characterize a transmission channel of quantitative easing (QE) or tightening (QT) operating through liquidity premia.

"Do Mortgage Subsidies Help or Hurt Borrowers?" FEDS 2016-081.

Summary: Derive sufficient statistics formula to measure the effect of mortgage subsidies on house prices, individual welfare, and efficiency costs, and use these expressions to gauge the effect of eliminating mortgage interest deductions in 269 different metropolitan statistical areas.
Summary: Among capital, profits, and liquidity what affects credit growth by banks?  I use a panel of 29 OECD countries to show that capital is the most important determinant and its effect is non-linear.

Work in Progress

"Credit Surfaces, Economic Activity, and Monetary Policy", with John Geanakoplos. [slides]

Summary: A synthesis of old and new approaches in understanding macroeconomic fluctuations and the role of monetary policy (MP) is the credit surface, where the interest rate is a function of multiple credit terms: leverage, credit rating, term, etc. We estimate credit surfaces for corporate bonds, conventional mortgages, and peer-to-peer loans and explore their effect on economic activity.  In addition, we study the transmission of MP through the corporate bond credit surface.  Our preliminary results support the view that the credit surface is important for macroeconomic fluctuations and the transmission of MP.

“A Dynamic Model of Leverage and Interest Rates”. (available upon request)

“A Discrete-Time Macroeconomic Model with a Financial Sector”, with Kieran Walsh[slides]

 Publications by Topic

Exchange Rates

“Exchange Rate and Foreign Investment Limits of Pension Funds” (with Kevin Cowan and Jorge Selaive), Financial Stability Report, Second Semester 2007, Central Bank of Chile, 2008. Extended English version Working Paper 433 Central Bank of Chile, 2007.

Micro Level Prices

“Dynamics of Price Adjustment: Evidence from Micro Level data for Chile” (with Juan Pablo Medina and Claudio Soto), Journal Economia Chilena, Vol. 10(2), pgs. 5-26, 2007. Available in English as Working Paper 432 Central Bank of Chile, 2007.

Higher Education

“Variability of Occupational Earnings” (with Bernardo Lara and Patricio Meller), In: P. Meller (ed.) Carreras Universitarias: Rentabilidad, Selectividad y Discriminacion, Uqbar Editores, 2010.

“Are Universities the Best Alternative for a Professional Degree? Chilean Evidence” (with Patricio Meller), El Trimestre Economico, 2008 (in Spanish). Reprinted In: P. Meller (ed.) Carreras Universitarias: Rentabilidad, Selectividad y Discriminacion, Uqbar Editores, 2010.

“New Methodology for a Ranking of Chilean Universities” (with Patricio Meller), Quality in Education, N°25, December, pp. 55-77, 2006.

“International Comparisons of the stock of professionals and the relative position of Chile” (with Patricio Meller), In: J. J. Brunner and P. Meller (eds.) Oferta y Demanda de profesionales y tecnicos en Chile: El Rol de la Informacion Publica, Ril, 2004.

Country Studies

“Economic Perspective of Korea” (with Andres Liberman and Patricio Meller), In: Roads to Development, Ministry of Foreign Relations, Chile, 2009.

“The Governmental Petroleum Fund of Norway” (with Luis Felipe Cespedes), Journal Economia Chilena, Vol. 91(1), pgs. 71-78, 2006.