Research
Publications
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.
Working papers
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.
Efficiency and risk in banking industry in Chile, with Alexandros Maziotis and Andres Villegas.
Work in progress
Time To Tap
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.
Effects of primary market dynamics on emerging markets sovereign yield curves
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.
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.
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, with Yadin Heraldo.(2021.II). IEF, Central Bank of Chile.
Journal Review
Journal of Economic Theory, Economica.