Documento de Trabajo

Extreme Value Theory: Value at Risk and Returns Dependence Around the World

This paper presents two applications of Extreme Value Theory (EVT) to financial markets: computation of value at risk and assets returns dependence under extreme events (i.e. tail dependence). We use a sample comprised of the United States, Europe, Asia, and Latin America. Our main findings are the following. First, on average, EVT gives the most

Transmisión eléctrica y la "ley corta": una estimación de la redistribución de peajes (Electricity transmission and the short law: an estimate of toll redistribution)

Este trabajo estima los peajes que le correspondería pagar a cada grupo de empresas de generación con cada una de las reglas de asignación que han sido propuestas en las sucesivas versiones de la ley corta, y los compara con aquellos que hubieran pagado con los contratos vigentes hasta marzo de 2002.El principal resultado del

Desafíos metodológicos de los sistemas de evaluación e incentivos en educación. El caso del SNED en Chile

En este trabajo se analizan los desafíos más importantes que enfrentan los sistemas de evaluación e incentivos, esto es, qué elementos considerar en la medición del desempeño del establecimiento escolar y cómo comparar entre establecimientos educacionales que atienden a una población de distinto nivel socioeconómico. Este análisis es fundamentalmente metodológico y se realiza respecto del

Integración vertical en el sector eléctrico: una guía para el usuario

Este trabajo evalúa los pro y contra de la integración vertical en el sector eléctrico. Lasprincipales conclusiones son las siguientes: (i) si bien la integración vertical no es mala per se, la mayoría de sus ventajas surgen cuando existen monopolios separados de transmisión y distribución y cada uno explota su poder de mercado individualmente. Cuando

Rendimiento Escolar y Premios por Desempeño. La Experiencia Latinoamericana (Scholastic performance and performance awards)

El objetivo de este trabajo es discutir analítica y metodológicamente la evaluación del desempeño y la introducción de incentivos en educación en América Latina. Los incentivos permiten remunerar más adecuadamente a los docentes y por esa vía motivar una mejora en su desempeño y por ende en la calidad de la educación que se imparte.

A comparative analysis of market power mitigation measures. The case of Chile’s electricity industry

In a previous paper I found that the implementation of an unregulated wholesale electricity spot market in Chile would result in prices far above competitive levels as a consequence of the unilateral exercise of market power by the largest generators. In this paper I examine whether and how much market power could be mitigated by

Diagnosing Market Power in Chile’s Electricity Industry

Chile’s electricity market is modeled as a Cournot duopoly with a competitive fringe. Due to the importance of hydro-storage resources (62% of total generation in 2000) particular care was given to the hydro scheduling issue. The model was estimated over a 1-month planning horizon using real cost and load data for April 2000. I found

Extreme Value Theory and Value at Risk

Value at Risk (VaR) is a measure of the maximum potential change in value of a portfolio of financial assets with a given probability over a given time horizon. VaR became a key measure of market risk since the Basle Committee stated that banks should be able to cover losses on their trading portfolios over

Vertical Integration and Sabotage in Regulated Industries

An essential facility produces “access,” an essential input used by a competitive downstream industry. The access charge is regulated. The essential facility can vertically integrate into the downstream segment and sabotage rivals increasing their costs.  We systematically study the vertical integration decision and the optimal level of sabotage. Contrary to most of the literature, we

Interest Rate Volatility and Nominalization

Most Latin American economies in the 1980’s and early 1990’s were burdened with extremely high inflation rates. Chile’s strategy to strengthen its financial market was to rely on inflation-linked securities. Indeed, indexation pervaded the whole economy for almost thirty years. However, the sharp decrease in the annual inflation rate over the last decade— from 26

Privatizing Highways in Latin America: is it Possible to Fix What Went Wrong?

This paper reviews the Latin American experience with highway privatization during the last decade. Based on evidence from Argentina, Colombia and Chile, we find that private financing of new highways freed up fewer public resources than expected because public funds were often diverted to bail out franchise holders. Furthermore, many of the standard benefits of

Idiosyncratic Productivity Shocks and Plant-Level Heterogeneity

Using plant-level data on Chilean manufacturing firms for the 1980-99 period, we estimate and characterize disaggregate total factor productivity. We show that idiosyncratic productivity shocks are a quantitatively relevant source of the observed heterogeneity in the behavior of plants. Both exit and input demand decisions are correlated with our estimates of plant level productivity. We