Publications and Working Papers

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In this section you find my publications and working papers. My main issue of research is the link between macroeconomics and finance. Futhermore, I have worked in fiscal policy and financial markets. 

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Banking capital requirement and business cycles in DSGE model

This research seeks to analyze if the requirement of banking capital behaves as a financial accelerator. In addition, the effects on GDP volatility and other macroeconomic and financial variables of three regulatory regimes on the capital requirement (fixed, procyclical and countercyclical capital) are evaluated. For this purpose, a microfounded general equilibrium model (DSGE) characterized by Ricardian and non-Ricardian agents is developed, the latter have no access to the financial system, and a banking sector subject to a restriction of capital requirement imposed by the regulator. The simulations of the model, calibrated for the Peruvian economy, indicate that the banking capital requirement behaves as a shock absorber of the productivity shock; In addition, the countercyclical regulation regime (lower capital requirements in bad times) helps to reduce the volatility of endogenous variables. Finally, it is observed that the inclusion of more families in the financial sector reduces the volatility of consumption, GDP, investment, credits, etc. In the recessive phase of the business cycle.

Asymmetric Multipliers of Public Spending and Taxes in Peru

Co-author: William Sanchez. This paper evaluates the symmetric and asymmetric effects of government spending and taxes in Peru. We estimate linear models (SVAR) for the purpose of having a reference of the symmetrical effects of government spending and taxes. However, the economy is characterized by business cycles (periods of expansion and contraction); in this context, it is important to analyze if there are differences (asymmetries) in the multipliers of government spending and of taxes along the business cycle. We estimate nonlinear VAR models (LSTVAR) in order to assess the asymmetries in the multipliers of government spending and taxes in the Peruvian business cycle. The results of the nonlinear models indicate that there is sufficient evidence of asymmetry in the multipliers of government spending and of taxes in the Peruvian economy; we have found that in periods of contraction both multipliers are bigger than in periods of expansion. It was also determined that in linear models as in nonlinear models the government spending multiplier is greater than the taxes multiplier.

Emerging Markets Integration in Latin America (MILA) Stock market indicators: Chile, Colombia, and Peru

Co-author: Edmundo Lizarzaburu, Kurt Burneo, y Luis Berggrun. This study aims to determine the impact of the Latin American Integrated Market (MILA) start-up in the main indicators of the stock markets of the countries that conform it (Chile, Colombia, and Peru). At the end, several indicators were reviewed to measure the impact on profitability, risk, correlation,and trading volume between markets, using indicators such as: annual profitability, standard deviation, correlation coefficient, and trading volume. The sample period runs from November 2008 to August 2013; and involves the three stock markets associated with MILA: Bolsa de Comercio de Santiago (BCS), Bolsade Valores de Colombia (BVC) y Bolsa de Valores de Lima (BVL).