Published
The Chilean pension withdrawals and the 2025 reform: Fiscal and retirement consequences with Carlos Madeira
"During the COVID-19 pandemic, Chile enacted three exceptional laws allowing withdrawals from affiliates’ pension accounts. We analyze how these withdrawals affected pension savings and the projected retirement income of affiliates and their households, finding that lower-income households withdrew a higher percentage of their savings. Simulations of worker contributions until retirement, show an average reduction of 21% in contributory pensions, but increased non-contributory pension benefits reduce the average total income loss to 8%. Under a no-reform scenario, these withdrawals and higher non-contributory pensions may imply fiscal costs around 15.8% of the pre-pandemic GDP. The current pension reform should reduce it to 12.4% of pre-pandemic GDP."
Pension knowledge in Chile and regional development characteristics with José Ruiz (Master's Thesis)
"Pension systems increasingly require active involvement from their participants for retirement planning. This leads to the need for a proper level of financial literacy to foster decision-making. Based on the Chilean Social Protection Survey and the Regional Development Index data, specific characteristics related to the region of residence, such as the quality of life, access to job opportunities, and available connectivity tools, are seen to have a positive impact on pension knowledge. Hence, these regional level results provide inputs to policymakers for developing appropriate policies regarding pension knowledge."
Modeling S&P500 returns with GARCH models with Rodrigo Alfaro
"This paper provides several estimates of the GARCH models’ parameters for the S&P500 index, based on returns and CBOE VIX. Using a daily sample collected from 2007 to 2022, we can conclude that adding the VIX information improves the estimates of the long-term volatility. By providing an external validation of the model using an option-based index reported by the Federal Reserve of Minneapolis, we are able to propose a calibrate model to track the tail-risk of this stock index."
The finances of Chilean households during the pandemic: an assessment from the 2021 Household Financial Survey with Enzo Cerletti , Magdalena Cortina, Felipe Martínez & Patricio Toro
"The policies adopted in Chile to mitigate the impact of the Covid-19 pandemic stand out for their magnitude: they implied an increase in the liquidity of the household sector of 29 % of the 2019 GDP in an interval of 18 months. We use the 2021 Chilean Household Financial Survey to assess the impact of the pandemic and the massive liquidity shock generated by the policy response on financial decisions and the financial situation of Chilean households. We find that households used the additional liquidity to recover their consumption levels, reduce debt, and accumulate liquid assets. Once the support measures were phased out, households retained buffers, allowing them to maintain a high level of expenditure despite unfavorable macroeconomic changes. Finally, we document that the ultimate effect of the implemented policies was a deterioration in households' financial conditions, particularly for those with lower incomes."
Working Papers
Green Coins with M. (Max) Massimiliano Croce, Nicolás Guiñez, Thien Nguyen and Claudio Tebaldi
"We propose a novel macrofinance model for the EU area comprising both climate damages and an Emission Trading System that interacts with credit markets with a bias for 'net-zero' brown firms and opaque voluntary carbon credit markets. Our model suggests that the implied allocation is far from the first-best. Relevant welfare gains can be obtained in a setting in which a Green Coin Central Bank (GCCB) runs a transparent blockchain in which coins are mined after a decentralized verification of private offsets, and the GCCB manages green coin prices through open market operations."
Work in Progress
Institutional Investors and Government Bonds-A Demand System Approach with Damián Romero
Green DAO with M. Massimiliano Croce, Nicolás Guiñez, Rubén Fernandez-Fuertes & Claudio Tebaldi