Indexed Journals
Measurement of efficiency and its drivers in the Chilean banking industry (2024), with Alexandros Maziotis and Andres Villegas. PLoS ONE 19(5): e0300019. https://doi.org/10.1371/journal.pone.0300019.
Other documents
Un análisis de red para las interconexiones entre Instituciones Financieras no Bancarias y Bancos (2021.I). IEF, Central Bank of Chile.
Internacionalizacion de monedas, experiencias recientes en la liga intermedia (2021.II), with Yadin Heraldo. IEF, Central Bank of Chile.
Sovereign debt market disintermediation introduced coordination frictions into the restructuring negotiations. According to the data, this coincided with a reduction in investors´ concessions to defaulting governments. This paper proposes a model to understand coordination effects at the restructuring process embedding a coordination game at investor’s decision stage. Multiplicity is addressed using a global games approach. I find that coordination compels the government to ask for a lower concession which works as a signal to align investors’ first and second order beliefs. For illustrative purposes I run simulations with calibrated parameters and find that coordination costs account for a significant portion of the haircut reduction (up to 25%) after sovereign debt disintermediation process.
Available at SSRN: https://ssrn.com/abstract=4914117
Spacial inference in financial markets with networks, with Grace Weishi Gu and Zachary Stangebye.
We describe a spatial approach to multi-signal inference problems and explore its consequences for competitive financial markets with costly information acquisition and exogenous non-price networks. We show that investors prefer information sources to be negatively correlated, which translates into diverse noise directions in an affine signal space. The signal diversity engenders strong information acquisition complementarities that significantly impact efficiency and have the interpretation of investors “building on” the work of others to better “triangulate” the return. Price informativeness is governed by both network size and signal diversity through a new metric that we call the “information mesh.”variables.
Efficiency and risk in banking industry in Chile, with Alexandros Maziotis and Andres Villegas.
In the following years, Chilean banking system will gradually adjust into Basel III recommendations. The new regulatory scheme will demand a mindful management of the balance between capital, efficiency and risk inside each institution while keeping a sound performance. In the absence of a conclusive theory to approach the topic, this paper follows previous authors providing an empirical assessment of capital, risk and efficiency relation for the local banking system. We find that system efficiency relates negatively with risk and capital, risk relates positively both with capital and efficiency and that risk increases efficiency and capital. As a consequence, there is room for a system risk reduction by improving efficiency in individual units. Above all, we find a remarkable system resilience based in the fact that most efficient banks are the ones incorporating lowest risk in their portfolios. Finally, we propose a tool for periodical follow up using a slacks based model estimation which consider the relation among these three variables.
Something in the Water: Fund Connectivity and Portfolio Choices, with Grace Weishi Wu and Zachary Stangebye
This paper studies how information flows from different sources (directly acquired and network diffusion) affect fund portfolio allocation. Using EDGAR log files and a novel network measurement, we identify funds’ firsthand direct information acquisition and their information network, respectively. We find that system-wide information, whether it is the total of directly acquired firsthand information or through network diffusion, makes funds’ portfolios more positively correlated, regardless of economic uncertainty. In particular, the system-wide network connectivity has the largest impact.
Effects of Macroprudential Policies on banks efficiency, with Andres Villegas
In the search for financial stability, more and more countries are using macroprudential policies, mainly in line with the Basel Accords. The question is whether these policies lead to better practices or increase risk in institutions and the system as a whole. This paper combines two datasets on policies and institutions and exploits country asynchronicity to investigate the effects of macroprudential policies in OCDE banks. We use double bootstrap DEA to estimate regional technical efficiency frontiers. We find that since 2016, there has been a concurrent decline in bank efficiency across countries. Moreover, local forecasting methods suggest that we can explain the decrease in efficiency by these policies and that there is no corrective decrease in risk in response, as expected. We conduct several robustness checks and include some policy prescriptions.
The exclusion period from capital markets constitutes one of the main costs of default. Almost half of this period is explained by the time it takes for the countries to reaccess capital markets after they have restructured their debts. In this paper I propose a model to study the effects of issuance costs in the delay of reentry once the economy has already restructured its debt. In a calibrated version of the model I find that both fixed and variable issuance costs at reentry help to better match the length of defaults observed in the data. This feature also proves useful for introducing default costs other than through an output loss function.
Under or over suscriptions of sovereign auctions might impact yield curves. Recent empirical works have detected such effects in European economies. This paper proposes an ampirical study to identify similar movements in emerging markets, where such effects add an extra level of complexity. Indeed, primary markets divide into global and domestic both related by arbitrage relationships but different in their dynamics, rules and participants.
Journal of Economic Theory, Fondecyt, Economica.