Working papers & Work in progress

Working Papers

1. Personalized Pension Projections: Effects on Workers Simulated and Actual Savings and Investment Decisions, with O. Fuentes, 2017.

We conduct a large-scale study aimed at analyzing the effects of the introduction of the Chilean Pension Supervisor Simulator. Since 2014 approximately 30 thousands individuals have used this web-based pension simulator. We characterize this group, showing that they are mostly men, with higher-than-average wages and savings. We also give a detailed account of how users have interacted with the simulator, as this tool allows great flexibility in terms of changes in savings and investment assumptions. The nature of this interaction is greatly influenced by the type of information received, as users with good (bad) projected outcomes are more likely to simulate the effects of higher (lower) savings and earlier (later) retirement. Since our data is non-experimental, we use simple, non-parametric methods (differences in means) to asses the changes in behavior comparing the 12 months before and after the use of the simulator. Our findings suggest that some of these changes may have been influenced by the simulators’ information, specially for women.

2. Sustainability of the Chilean Pension Reserve Fund (in Spanish), with P. Castañeda, R. Castro, E. Fajnzylber and J.P. Medina, 2016.

El objetivo del presente estudio es evaluar la sustentabilidad del Fondo de Reserva de Pensiones (FRP), uno de los dos fondos soberanos creados por la Ley N° 20.128 de 2006 sobre Responsabilidad Fiscal. El FRP nace con el objetivo de apoyar el financiamiento de las obligaciones fiscales derivadas del sistema civil de pensiones, complementando el financiamiento de las futuras contingencias en materia de pensiones.

3. Estudio sobre la Sustentabilidad del Fondo de Reserva de Pensiones (in Spanish), with P. Castañeda, R. Castro, L.F. Céspedes, E. Fajnzylber and M. Sherris, 2013.

4. Active Investment Decisions of Members in the Chilean DC Pension System: Performance and Learning, with O. Fuentes and P. Searle, 2013.

This paper studies the investment decisions of members of the Chilean DC pension System using administrative data. Since 2002, members of the system have had the opportunity to choose between five different types of funds. However they have made little voluntary changes. We characterize and study the performance of those affiliates that make changes and find that they are mostly men and are wealthier.

We also find that those affiliates that make fund changes generally display a poor performance, whether measured against pension funds, passive strategies and default strategies. Furthermore we find that those who outperform don’t have significantly better market timing abilities than the worst performers. Instead, the former tend to increase equity exposure during market turmoil, while the latter reduce their equity exposure. Regarding the presence of learning in investment decisions, rather than refining their market timing abilities, the affiliates who improve their investment performance during the period under study do so by keeping steady equity exposures in periods of high volatility instead of lowering their exposures.

5. Interest rate pass-through in the chilean banking system: Microeconomic evidence, with P. Jaramillo and F. Ormazabal, 2010.

Work in Progress

1. Reputation and its role in the optimal design of credit information systems, with F. Zurita, 2014.

This research project uses reputational models to analyze the effects of the presence of reputation in credit markets. In particular, we focus on the way in which the characteristics of a credit information system affect the borrowers’ assessments regarding borrowers’ trustiness (i.e. their credit risk). By studying these elements, this project will shed light on the optimal way in which credit information systems should be designed.