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Rodrigo Alfaro

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Andrés Alegría & Rodrigo Alfaro & Felipe Córdova, 2017. "The impact of warnings published in a financial stability report on loan-to value ratios," BIS Working Papers 633, Bank for International Settlements.

    Cited by:

    1. Anastasiya Gural & Iryna Lomachynska, 2017. "Fdi And Financial Development As Determinants Of Economic Growth For V4 Countries," Baltic Journal of Economic Studies, Publishing house "Baltija Publishing", vol. 3(4).
    2. Gambacorta, Leonardo & Murcia, Andres, 2017. "The impact of macroprudential policies and their interaction with monetary policy: an empirical analysis using credit registry," CEPR Discussion Papers 12027, C.E.P.R. Discussion Papers.
    3. Gambacorta, Leonardo & Murcia, Andrés, 2020. "The impact of macroprudential policies in Latin America: An empirical analysis using credit registry data," Journal of Financial Intermediation, Elsevier, vol. 42(C).
    4. Iwegbu, Onyebuchi & Odior, Ernest S.O., 2019. "Macro-Prudential policy instruments, pro-cyclicality of capital and bank lending in Nigeria: From post-global financial crisis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 8(3), pages 205-227.
    5. Leonardo Gambacorta & Andrés Murcia Pabón, 2017. "The impact of macroprudential policies and their interaction with monetary policy: an empirical analysis using credit registry data," BIS Working Papers 636, Bank for International Settlements.
    6. Tomás Gómez & Alejandro Jara & David Moreno, 2020. "International and domestic interactions of macroprudential and monetary policies: the case of Chile," Working Papers Central Bank of Chile 870, Central Bank of Chile.

  2. Andrés Alegría & Rodrigo Alfaro & Carlos Saavedra, 2013. "Comportamiento de No Pago en Créditos de Consumo: Indicadores y Determinantes," Working Papers Central Bank of Chile 699, Central Bank of Chile.

    Cited by:

    1. Juan Francisco Martinez & Daniel Oda, 2019. "Índice de sincronía bancaria y ciclos financieros," Working Papers Central Bank of Chile 841, Central Bank of Chile.

  3. Rodrigo Alfaro & Natán Goldberger, 2012. "Cubrir o no Cubrir: ¿Ese es el Dilema?," Working Papers Central Bank of Chile 662, Central Bank of Chile.

    Cited by:

    1. Luis Felipe Céspedes & Jorge Fornero & Jordi Galí, 2012. "Non-Ricardian Aspects of Fiscal Policy in Chile," Working Papers Central Bank of Chile 663, Central Bank of Chile.

  4. Rodrigo Alfaro & Andrés Sagner, 2011. "Stress Tests for Banking Sector: A Technical Note," Working Papers Central Bank of Chile 610, Central Bank of Chile.

    Cited by:

    1. Juan-Francisco Martínez & Rodrigo Cifuentes & Juan Sebastián Becerra, 2017. "Pruebas de Tensión Bancaria del Banco Central de Chile: Actualización," Working Papers Central Bank of Chile 801, Central Bank of Chile.
    2. Francisco Arroyo Marioli & Juan Sebastián Becerra & Matías Solorza, 2021. "The Credit Channel Through the Lens of a Semi- Structural Model," Working Papers Central Bank of Chile 911, Central Bank of Chile.
    3. Arroyo Marioli, Francisco & Becerra, Juan Sebastián & Solorza, Matías, 2022. "The credit channel in chile through the lens of a semi-structural model," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(2).
    4. Michael Pedersen, 2017. "Revisiting the price puzzle in Chile," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 20(1), pages 072-079, April.

  5. Alfaro, Rodrigo & Silva, Carmen Gloria, 2010. "Stock Index Volatility: the case of IPSA," MPRA Paper 25906, University Library of Munich, Germany, revised 31 Mar 2010.

    Cited by:

    1. Daniel Oda, 2013. "Introducing Liquidity Risk in the Contingent-Claim Analysis for the Banks," Working Papers Central Bank of Chile 681, Central Bank of Chile.

  6. Alfaro, Rodrigo & Sagner, Andres, 2010. "Financial Forecast for the Relative Strength Index," MPRA Paper 25913, University Library of Munich, Germany, revised Apr 2010.

    Cited by:

    1. Zhenglong Li & Vincent Tam & Kwan L. Yeung, 2024. "Developing A Multi-Agent and Self-Adaptive Framework with Deep Reinforcement Learning for Dynamic Portfolio Risk Management," Papers 2402.00515, arXiv.org, revised Feb 2024.

  7. Rodrigo Alfaro & Natalia Gallardo & Roberto Stein, 2010. "The Determinants of Household Debt Defa," Working Papers Central Bank of Chile 574, Central Bank of Chile.

    Cited by:

    1. Carlos Madeira, 2019. "Computing population weights for the EFH survey," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 22(1), pages 004-026, April.
    2. Felipe Martínez & Rodrigo Cifuentes & Carlos Madeira & Rubén Poblete-Cazenave, 2013. "Measurement of Household Financial Risk with the Survey of Household Finances," Working Papers Central Bank of Chile 682, Central Bank of Chile.
    3. Javier Gutiérrez Rueda & Dairo Estrada & Laura Capera, 2011. "Un análisis del endeudamiento de los hogares," Temas de Estabilidad Financiera 061, Banco de la Republica de Colombia.
    4. Carlos Madeira, 2012. "Tasas de Crédito Ajustadas por Riesgo e Implicancias para Políticas de Tasa Máxima Convencional," Working Papers Central Bank of Chile 654, Central Bank of Chile.
    5. Sofía Bauducco & Gonzalo Castex, 2013. "The Wealth Distribution in Developing Economies: Comparing the United States to Chile," Working Papers Central Bank of Chile 702, Central Bank of Chile.
    6. Andrés Sagner, 2011. "El Índice Cartera Vencida como Medida de Riesgo de Crédito: Análisis y Aplicación al Caso de Chile," Working Papers Central Bank of Chile 618, Central Bank of Chile.
    7. Carlos Madeira, 2018. "Priorización de pago de deudas de consumo en Chile: el caso de bancos y casas comerciales," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 21(1), pages 118-132, April.
    8. María Victoria Landaberry, 2018. "Restricción de crédito y probabilidad de no pago de los hogares uruguayos," Documentos de trabajo 2018001, Banco Central del Uruguay.
    9. Diego Avanzini & Juan Francisco Martínez & Víctor Pérez, 2016. "A micro-powered model of mortgage default risk for full recourse economies, with an application to the case of Chile," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Combining micro and macro data for financial stability analysis, volume 41, Bank for International Settlements.
    10. María Victoria Landaberry, 2017. "Factores determinantes de la probabilidad de no pago de deuda de los hogares uruguayos," Documentos de trabajo 2017011, Banco Central del Uruguay.
    11. Jaime Ruiz-Tagle & Leidy García & Álvaro Miranda, 2013. "Proceso de Endeudamiento y Sobre Endeudamiento de los Hogares en Chile," Working Papers Central Bank of Chile 703, Central Bank of Chile.

  8. Rodrigo Alfaro A. & Rodrigo Cifuentes S., 2009. "Financial Stability, Monetary Policy and Central Banking: An Overview," Working Papers Central Bank of Chile 554, Central Bank of Chile.

    Cited by:

    1. Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
    2. Carrera, Cesar & Vega, Hugo, 2012. "Interbank Market and Macroprudential Tools in a DSGE Model," Working Papers 2012-014, Banco Central de Reserva del Perú.
    3. Li Lin & Dimitrios P. Tsomocos & Alexandros P. Vardoulakis, 2016. "On default and uniqueness of monetary equilibria," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(1), pages 245-264, June.
    4. Aikman, David & Alessandri, Piergiorgio & Eklund, Bruno & Gai, Prasanna & Kapadia, Sujit & Martin, Elizabeth & Mora, Nada & Sterne, Gabriel & Willison, Matthew, 2009. "Funding liquidity risk in a quantitative model of systemic stability," Bank of England working papers 372, Bank of England.
    5. Mauricio Calani C., 2012. "Spillovers of the Credit Default Swap Market," Working Papers Central Bank of Chile 678, Central Bank of Chile.
    6. Ivan Alves & Stijn Ferrari & Pietro Franchini & Jean-Cyprien Heam & Pavol Jurca & Sam Langfield & Sebastiano Laviola & Franka Liedorp & Antonio Sánchez & Santiago Tavolaro & Guillaume Vuillemey, 2013. "The structure and resilience of the European interbank market," ESRB Occasional Paper Series 03, European Systemic Risk Board.
    7. Li Lin & Dimitrios P. Tsomocos & Alexandros P. Vardoulakis, 2019. "Debt deflation effects of monetary policy," Chapters, in: Financial Regulation and Stability, chapter 9, pages 245-258, Edward Elgar Publishing.
    8. Awartani, Basel & Maghyereh, Aktham Issa, 2013. "Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries," Energy Economics, Elsevier, vol. 36(C), pages 28-42.
    9. Fowowe, Babajide & Shuaibu, Mohammed, 2016. "Dynamic spillovers between Nigerian, South African and international equity markets," International Economics, Elsevier, vol. 148(C), pages 59-80.
    10. Carrera, César, 2012. "Políticas de Encajes y Modelos Económicos," Working Papers 2012-006, Banco Central de Reserva del Perú.

  9. Rodrigo Alfaro & Natalia Gallardo, 2009. "Análisis de Derechos Contingentes: Aplicación a Casas Comerciales," Working Papers Central Bank of Chile 535, Central Bank of Chile.

    Cited by:

    1. Carlos Madeira, 2018. "Priorización de pago de deudas de consumo en Chile: el caso de bancos y casas comerciales," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 21(1), pages 118-132, April.
    2. Rodrigo A. Alfaro. & Andrés Sagner & Carmen G. Silva, 2011. "Aplicaciones del Modelo Binomial para el Análisis de Riesgo," Working Papers Central Bank of Chile 631, Central Bank of Chile.

  10. Rodrigo Alfaro, 2008. "Estimation of a Dynamic Panel Data: The Case Of Corporate Investment in Chile," Working Papers Central Bank of Chile 467, Central Bank of Chile.

    Cited by:

    1. Miguel FUENTES, 2009. "Dollarization Of Debt Contracts: Evidence From Chilean Firms," The Developing Economies, Institute of Developing Economies, vol. 47(4), pages 458-487, December.

  11. Rodrigo Alfaro & Helmut Franken & Carlos García & Alejandro Jara, 2003. "Bank Lending Channel and the Monetary Transmission Mechanism: the Case of Chile," Working Papers Central Bank of Chile 223, Central Bank of Chile.

    Cited by:

    1. Xiong, Qiyue, 2013. "The role of the bank lending channel and impacts of stricter capital requirements on the Chinese banking industry," BOFIT Discussion Papers 7/2013, Bank of Finland Institute for Emerging Economies (BOFIT).
    2. Adel Boughrara & Samir Ghazouani, 2010. "Is There A Bank Lending Channel Of Monetary Policy In Selected Mena Countries? A Comparative Analysis," Middle East Development Journal (MEDJ), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 251-282.
    3. Cristina Betancour & Jose De Gregorio & Juan Pablo Medina, 2006. "The “Great Moderation” and the Monetary Transmission Mechanism in Chile," Working Papers Central Bank of Chile 393, Central Bank of Chile.
    4. Fernando Lorenzo & Alfonso Capurro & Guillermo Carlomagno & Paula Garda & Bibiana Lanzilotta & Gonzalo Zunino, 2010. "El canal de crédito, evidencias para Uruguay desde una perspectiva macroeconómica," Documentos de trabajo 2010021, Banco Central del Uruguay.
    5. Sebastián Becerra & Gregory Claeys & Juan Francisco Martínez, 2015. "A New Liquidity Risk Measure for the Chilean Banking Sector," Working Papers Central Bank of Chile 746, Central Bank of Chile.
    6. Leontieva, E.A. & Perevyshin, Y.N., 2015. "Credit Channel of Monetary Policy Transmission in Russia," Published Papers 431505, Russian Presidential Academy of National Economy and Public Administration.
    7. Adebayo Augustine Kutu & Harold Ngalawa, 2016. "Monetary Policy Shocks And Industrial Output In Brics Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 66(3), pages 3-24, July-Sept.
    8. Kirsten L. Ludi & Marc Ground, 2006. "Investigating the Bank-Lending Channel in South Africa: A VAR Approach," Working Papers 200604, University of Pretoria, Department of Economics.
    9. Muhammad Naveed Tahir, 2012. "Relative Importance of Monetary Transmission Channels in Inflation Targeting Emerging Economies," EcoMod2012 4092, EcoMod.
    10. Mariya Gubareva & Maria Rosa Borges, 2013. "Typological Classification, Diagnostics, and Measurement of Flights-to-Quality," Working Papers Department of Economics 2013/15, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    11. Héctor Bravo L. & Carlos García T. & Verónica Mies M. & Matías Tapia G., 2003. "Heterogeneity in Monetary Transmission: Sectoral and Regional Effects," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 6(3), pages 5-26, December.
    12. Zulkhibri, Muhamed, 2012. "Policy rate pass-through and the adjustment of retail interest rates: Empirical evidence from Malaysian financial institutions," Journal of Asian Economics, Elsevier, vol. 23(4), pages 409-422.

Articles

  1. Alfaro, Rodrigo & Pacheco, David & Sagner, Andrés, 2013. "Dinámica de la frecuencia de impago de los créditos de consumo en cuotas," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(318), pages .329-343, abril-jun.

    Cited by:

    1. Lozano Navarro, Francisco-Javier, 2018. "Efecto de las condiciones financieras sobre el desempeño del sector Construcción [Effect of financial conditions on the performance of the Construction sector]," MPRA Paper 118261, University Library of Munich, Germany.

  2. Rodrigo Alfaro & Natalia Gallardo, 2012. "The Determinants of Household Debt Default," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 27(1), pages 55-70, April.

    Cited by:

    1. Fernando Borraz & Nicolás González Pampillón, 2015. "Financial Risk of Uruguayan Households," Documentos de trabajo 2015007, Banco Central del Uruguay.
    2. Ana María Iregui-Bohórquez & Ligia Alba Melo-Becerra & María Teresa Ramírez-Giraldo & Ana María Tribín-Uribe, 2016. "Determinantes del acceso al crédito formal e informal: Evidencia de los hogares de ingresos medios y bajos en Colombia," Borradores de Economia 956, Banco de la Republica de Colombia.
    3. Andrés Alegría & Jorge Bravo, 2015. "Análisis de Riesgo de los Deudores Hipotecarios en Chile," Working Papers Central Bank of Chile 766, Central Bank of Chile.
    4. Avanzini, Diego & Martı́nez, Juan Francisco & Pérez, Vı́ctor, 2020. "Assessing mortgage default risk in full-recourse economies, with an application to the case of Chile," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
    5. Surjaningsih, Ndari & Werdaningtyas, Hesti & Rahman, Faizal & Falaqh, Romadhon, 2022. "Predicting Household Resilience Before and During Pandemic with Classifier Algorithms," OSF Preprints w5q9g, Center for Open Science.
    6. Sweet, Elizabeth & Nandi, Arijit & Adam, Emma K. & McDade, Thomas W., 2013. "The high price of debt: Household financial debt and its impact on mental and physical health," Social Science & Medicine, Elsevier, vol. 91(C), pages 94-100.
    7. Lei Shi & John Evans & Yifei Li, 2018. "A Systems Analysis of Drivers of Individual Bankruptcies," Economic Papers, The Economic Society of Australia, vol. 37(4), pages 390-398, December.
    8. Bogdan Andrei Dumitrescu & Adrian Enciu & Cătălina Adriana Hândoreanu & Carmen Obreja & Florin Blaga, 2022. "Macroeconomic Determinants of Household Debt in OECD Countries," Sustainability, MDPI, vol. 14(7), pages 1-14, March.
    9. Lemus, Antonio & Pulgar, Carlos, 2021. "Households’ Debt Thresholds: A Market Aspects Approach," MPRA Paper 106958, University Library of Munich, Germany.
    10. Carlos Madeira, 2014. "El Impacto del Endeudamiento y Riesgo de Desempleo en la Morosidad de las Familias Chilenas," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 17(1), pages 88-102, April.
    11. María José Roa García & Diana Mejía (ed.), 2018. "Financial Decisions of Households and Financial Inclusion: Evidence for Latin America and the Caribbean," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, edition 1, volume 1, number 7en, December.
    12. Diego Avanzini & Juan Francisco Martínez & Víctor Pérez, 2016. "A micro-powered model of mortgage default risk for full recourse economies, with an application to the case of Chile," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Combining micro and macro data for financial stability analysis, volume 41, Bank for International Settlements.
    13. Rodrigo Cifuentes & Felipe Martínez, 2020. "Over-indebtedness in Households: Measurement and Determinants," Working Papers Central Bank of Chile 869, Central Bank of Chile.

  3. Rodrigo Alfaro A. & David Pacheco L. & Andrés Sagner T, 2011. "Dinámica de la Tasa de Incumplimiento de Créditos de Consumo en Cuotas," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 14(2), pages 119-124, August.

    Cited by:

    1. Andrés Alegría & Jorge Bravo, 2015. "Análisis de Riesgo de los Deudores Hipotecarios en Chile," Working Papers Central Bank of Chile 766, Central Bank of Chile.
    2. Carlos Madeira, 2012. "Tasas de Crédito Ajustadas por Riesgo e Implicancias para Políticas de Tasa Máxima Convencional," Working Papers Central Bank of Chile 654, Central Bank of Chile.
    3. Carlos Madeira, 2014. "El Impacto del Endeudamiento y Riesgo de Desempleo en la Morosidad de las Familias Chilenas," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 17(1), pages 88-102, April.
    4. Rodrigo Alfaro & Andrés Sagner & Camilo Vio, 2012. "Tasa Máxima Convencional y Oferta de Créditos," Working Papers Central Bank of Chile 673, Central Bank of Chile.

  4. Rodrigo Alfaro & Andrés Sagner, 2011. "Stress Tests for Banking Sector: A Technical Note," Money Affairs, CEMLA, vol. 0(2), pages 143-162, July-Dece.
    See citations under working paper version above.
  5. Alfaro, Rodrigo A., 2011. "Affine Nelson-Siegel model," Economics Letters, Elsevier, vol. 110(1), pages 1-3, January.

    Cited by:

    1. Rodrigo Alfaro & Andrés Sagner, 2011. "Stress Tests for Banking Sector: A Technical Note," Working Papers Central Bank of Chile 610, Central Bank of Chile.
    2. Alfaro, Rodrigo & Piña, Marco, 2023. "Estimates of the US Shadow-Rate," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    3. Feng Guo, 2019. "Estimating yield curves of the U.S. Treasury securities: An interpolation approach," Review of Financial Economics, John Wiley & Sons, vol. 37(2), pages 297-321, April.
    4. Hokuto Ishii, 2019. "Forecasting Term Structure of Interest Rates in Japan," IJFS, MDPI, vol. 7(3), pages 1-35, July.
    5. Aryo Sasongko & Cynthia Afriani Utama & Buddi Wibowo & Zaäfri Ananto Husodo, 2019. "Modifying Hybrid Optimisation Algorithms to Construct Spot Term Structure of Interest Rates and Proposing a Standardised Assessment," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 957-1003, October.
    6. Rodrigo Alfaro & Marco Piña, 2021. "Estimates of the US Shadow-Rate," Working Papers Central Bank of Chile 923, Central Bank of Chile.

  6. Rodrigo Alfaro A. & Natalia Gallardo S. & Camilo Vio G., 2010. "Análisis de Derechos Contingentes: Aplicación a Casas Comerciales," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(1), pages 73-82, April.
    See citations under working paper version above.
  7. Rodrigo Alfaro & Mathias Drehmann, 2009. "Macro stress tests and crises: what can we learn?," BIS Quarterly Review, Bank for International Settlements, December.

    Cited by:

    1. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers 2011/10, Czech National Bank.
    2. Office of Financial Research (ed.), 2012. "Office of Financial Research 2012 Annual Report," Reports, Office of Financial Research, US Department of the Treasury, number 12-1.
    3. Mahmoud Haddad & Sam Hakim, 2016. "Can Gulf Banks Pass the CCAR Stress Tests?," Working Papers 1032, Economic Research Forum, revised Aug 2016.
    4. Trent Saunders & Peter Tulip, 2019. "Cost-benefit Analysis of Leaning against the Wind," RBA Research Discussion Papers rdp2019-05, Reserve Bank of Australia.
    5. Mr. Christian Schmieder & Maher Hasan & Mr. Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 2011/083, International Monetary Fund.
    6. Claudio Borio, 2011. "Rediscovering the Macroeconomic Roots of Financial Stability Policy: Journey, Challenges, and a Way Forward," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 87-117, December.
    7. Richard Bookstaber, 2012. "Using Agent-Based Models for Analyzing Threats to Financial Stability," Working Papers 12-03, Office of Financial Research, US Department of the Treasury.
    8. Ricardo Schechtman & Wagner Piazza Gaglianone, 2011. "Macro Stress Testing of Credit Risk Focused on the Tails," Working Papers Series 241, Central Bank of Brazil, Research Department.
    9. Marcin Łupiński, 2013. "Statistical Data and Models Used for Analysis and Management of Financial Stability at the Macro Level," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 32.
    10. Clyde Goodlet, 2010. "Too Big to Fail: A Misguided Policy in Times of Financial Turmoil," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 311, October.
    11. Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 36-53.
    12. Hatem Salah & Marwa Souissi, 2016. "Financial Stability and Macro Prudential Regulation: Policy Implication of Systemic Expected Shortfall Measure," Working Papers 985, Economic Research Forum, revised Apr 2016.
    13. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    14. Malgorzata Olszak, 2012. "Macroprudential policy - aim, instruments and institutional architecture (Polityka ostroznosciowa w ujêciu makro - cel, instrumenty i architektura instytucjonalna)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 10(39), pages 7-32.
    15. Georgios Papadopoulos & Dionysios Chionis & Nikolaos P. Rachaniotis, 2018. "Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies," Risk Management, Palgrave Macmillan, vol. 20(2), pages 142-166, May.
    16. Jaime Caruana, 2010. "Financial Stability: Ten Questions and about Seven Answers," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & Michael Robson (ed.),Reserve Bank of Australia 50th Anniversary Symposium, Reserve Bank of Australia.
    17. Thomas Breuer & Martin Jandačka & Javier Mencía & Martin Summer, 2010. "A systematic approach to multi-period stress testing of portfolio credit risk," Working Papers 1018, Banco de España.
    18. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
    19. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2011. "Anchoring countercyclical capital buffers: the role of credit aggregates," BIS Working Papers 355, Bank for International Settlements.
    20. Thi Xuan Huong Tram & Nguyen Thi Thanh Hoai, 2021. "Effect of macroeconomic variables on systemic risk: Evidence from Vietnamese economy," Economics and Business Letters, Oviedo University Press, vol. 10(3), pages 217-228.
    21. Chowdhury, Biplob & Dungey, Mardi & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2019. "The changing network of financial market linkages: The Asian experience," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 71-92.
    22. Jon Christensson & Kenneth Spong & Jim Wilkinson, 2011. "What can financial stability reports tell us about macroprudential supervision?," Research Working Paper RWP 11-15, Federal Reserve Bank of Kansas City.
    23. Salleo, Carmelo & Homar, Timotej & Kick, Heinrich, 2016. "Making sense of the EU wide stress test: a comparison with the SRISK approach," Working Paper Series 1920, European Central Bank.
    24. Guarda, Paolo & Rouabah, Abdelaziz & Theal, John, 2012. "An MVAR framework to capture extreme events in macro-prudential stress tests," Working Paper Series 1464, European Central Bank.
    25. di Mauro, Filippo & Dées, Stéphane & Al-Haschimi, Alexander & Jančoková, Martina, 2014. "Linking distress of financial institutions to macrofinancial shocks," Working Paper Series 1749, European Central Bank.
    26. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    27. Drakos, Anastassios A. & Kouretas, Georgios P., 2015. "Bank ownership, financial segments and the measurement of systemic risk: An application of CoVaR," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 127-140.
    28. Jying‐Nan Wang & Yuan‐Teng Hsu & Joe‐Ming Lee & Chih‐Chun Chen, 2021. "Measuring Systemic Risk: Capital Shortfall and CSRISK," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 358-369, March.
    29. Brownlees, Christian & Hans, Christina & Nualart, Eulalia, 2021. "Bank credit risk networks: Evidence from the Eurozone," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 585-599.
    30. Abildgren, Kim, 2014. "Far out in the tails – The historical distributions of macro-financial risk factors in Denmark," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2014(1), pages 1-31.
    31. Michal Franta & Jozef Baruník & Roman Horváth & Katerina Smídková, 2014. "Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 159-188, March.
    32. Asghar Ali & Kevin Daly, 2010. "What Explain Credit Defaults? A Comparative Study," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 6, pages 51-65.
    33. Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo, 2023. "Estimating systemic risk for non-listed euro-area banks," Working Paper Series 2856, European Central Bank.
    34. Giuseppe Montesi & Giovanni Papiro & Massimiliano Fazzini & Alessandro Ronga, 2020. "Stochastic Optimization System for Bank Reverse Stress Testing," JRFM, MDPI, vol. 13(8), pages 1-44, August.
    35. Chafik, Omar & Mikou, Mohammed & Slaoui, Yassine & Motl, Tomas, 2022. "A DSGE model for macroprudential policy in Morocco," Document de travail 2022-3, Bank Al-Maghrib, Département de la Recherche.
    36. Kolari, James W. & López-Iturriaga, Félix J. & Sanz, Ivan Pastor, 2019. "Predicting European bank stress tests: Survival of the fittest," Global Finance Journal, Elsevier, vol. 39(C), pages 44-57.
    37. Francisco Covas & Ben Rump & Egon Zakrajšek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).
    38. Canuto, Otaviano & Cavallari, Matheus, 2013. "Monetary policy and macroprudential regulation : whither emerging markets," Policy Research Working Paper Series 6310, The World Bank.
    39. Simone Varotto, 2010. "Stress Testing Credit Risk: The Great Depression Scenario," ICMA Centre Discussion Papers in Finance icma-dp2010-03, Henley Business School, University of Reading.
    40. Peterson K. Ozili, 2020. "Does competence of central bank governors influence financial stability?," Future Business Journal, Springer, vol. 6(1), pages 1-20, December.
    41. Gary Gorton, 2015. "Stress for Success: A Review of Timothy Geithner's Financial Crisis Memoir," Journal of Economic Literature, American Economic Association, vol. 53(4), pages 975-995, December.
    42. Cristina Gutiérrez-López & Julio Abad-González, 2020. "Sustainability in the Banking Sector: A Predictive Model for the European Banking Union in the Aftermath of the Financial Crisis," Sustainability, MDPI, vol. 12(6), pages 1-25, March.
    43. Claudio Borio, 2011. "The financial crisis: what implications for new statistics?," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the IFC Conference on "Initiatives to address data gaps revealed by the financial crisis", Basel, 25-26 August 2010, volume 34, pages 1-8, Bank for International Settlements.
    44. Noor-e-Saher & Mehran Herbert, 2010. "Response of Long-term Interest Rate to Fiscal Imbalance: Evidence from Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 6, pages 43-49.
    45. Rick Bookstaber & Mark Paddrik & Brian Tivnan, 2014. "An Agent-based Model for Financial Vulnerability," Working Papers 14-05, Office of Financial Research, US Department of the Treasury, revised Sep 2014.
    46. J'ozsef Mezei & Peter Sarlin, 2016. "RiskRank: Measuring interconnected risk," Papers 1601.06204, arXiv.org.
    47. Rupeika-Apoga, Ramona, 2010. "Globalisation and the financial sector," SEER Journal for Labour and Social Affairs in Eastern Europe, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 13(2), pages 257-269.
    48. Grundke, Peter & Pliszka, Kamil, 2015. "A macroeconomic reverse stress test," Discussion Papers 30/2015, Deutsche Bundesbank.
    49. Lemus, Antonio & Nuñez, Marco, 2020. "Pruebas de tensión bancaria: experiencia en los principales mercados financieros del mundo y en Chile [Bank stress tests: evidence from the main financial markets and Chile]," MPRA Paper 99097, University Library of Munich, Germany.
    50. Ozili, Peterson K, 2020. "Does competence of central bank governors influence financial stability?," MPRA Paper 102042, University Library of Munich, Germany.
    51. Jozsef Mezei & Peter Sarlin, 2014. "Aggregation operators for the measurement of systemic risk," Papers 1412.5452, arXiv.org, revised Dec 2014.
    52. Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger, 2013. "CoCos, Bail-In, and Tail Risk," Working Papers 13-04, Office of Financial Research, US Department of the Treasury.
    53. Andreas Jobst & Ms. Li L Ong & Mr. Christian Schmieder, 2013. "A Framework for Macroprudential Bank Solvency Stress Testing: Application to S-25 and Other G-20 Country FSAPs," IMF Working Papers 2013/068, International Monetary Fund.
    54. Kaihua Deng & Dun Jia, 2018. "Backtesting Stress Tests: A Guide for M2 Forward Guidance," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 443-471, November.
    55. Krishan Mohan Nagpal, 2017. "Designing stress scenarios for portfolios," Risk Management, Palgrave Macmillan, vol. 19(4), pages 323-349, November.
    56. Giuseppe Montesi & Giovanni Papiro, 2018. "Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †," Risks, MDPI, vol. 6(3), pages 1-54, August.
    57. Borio Claudio, 2011. "Implementing a Macroprudential Framework: Blending Boldness and Realism," Capitalism and Society, De Gruyter, vol. 6(1), pages 1-25, August.
    58. Reza Siregar & Lim, C.S. Vincent, 2011. "Living with Macro-financial Linkages: Policy Perspectives and Challenges for SEACEN Countries," Staff Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number sp79.
    59. Mezei, József & Sarlin, Peter, 2018. "RiskRank: Measuring interconnected risk," Economic Modelling, Elsevier, vol. 68(C), pages 41-50.
    60. Mr. Dimitri G Demekas, 2015. "Designing Effective Macroprudential Stress Tests: Progress So Far and the Way Forward," IMF Working Papers 2015/146, International Monetary Fund.
    61. Matthew Pritsker, 2017. "Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction," Supervisory Research and Analysis Working Papers RPA 17-4, Federal Reserve Bank of Boston.

  8. Rodrigo Alfaro A. & Rodrigo Cifuentes S., 2009. "FinanciaL Stability, Monetary Policy and Central Banking: an Overview," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(2), pages 5-10, August.
    See citations under working paper version above.
  9. Rodrigo Alfaro & Marcelo Fuenzalida, 2009. "Imputación Múltiple en Encuestas Microeconómicas," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(134), pages 273-288.

    Cited by:

    1. Felipe González & José Ignacio Cuesta & Cristián Larroulet, 2017. "Distorted Quality Signals in School Markets," Documentos de Trabajo 488, Instituto de Economia. Pontificia Universidad Católica de Chile..

  10. Rodrigo A. Alfaro & Carmen Gloria Silva, 2008. "Volatilidad de Indices Accionarios: El caso del IPSA," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 217-233.

    Cited by:

    1. Alfaro, Rodrigo & Silva, Carmen Gloria, 2010. "Stock Index Volatility: the case of IPSA," MPRA Paper 25906, University Library of Munich, Germany, revised 31 Mar 2010.
    2. Mr. Leonardo Luna & Mr. Dale F Gray & Jorge Restrepo & Carlos Garcia, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile," IMF Working Papers 2011/228, International Monetary Fund.
    3. Dale Gray & Carlos García T. & Leonardo Luna B. & Jorge E. Restrepo L., 2009. "Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 12(2), pages 11-33, August.
    4. Rodrigo A. Alfaro. & Andrés Sagner & Carmen G. Silva, 2011. "Aplicaciones del Modelo Binomial para el Análisis de Riesgo," Working Papers Central Bank of Chile 631, Central Bank of Chile.

Software components

    Sorry, no citations of software components recorded.

Chapters

  1. Rodrigo A. Alfaro & Rodrigo Cifuentes S., 2011. "Financial Stability, Monetary Policy, and Central Banking: An Overview," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 1, pages 001-010, Central Bank of Chile.
    See citations under working paper version above.
  2. Rodrigo Alfaro & Carlos García & Alejandro Jara & Helmut Franken, 2005. "The bank lending channel in Chile," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 128-45, Bank for International Settlements.

    Cited by:

    1. Bustamante, José & Nivín, Rafael & Cuba, Walter, 2019. "Determinantes del crecimiento del crédito y el canal de préstamo bancario en el Perú: un análisis a nivel de préstamos," Revista Moneda, Banco Central de Reserva del Perú, issue 180, pages 24-28.
    2. Serge Jeanneau & Camilo E Tovar, 2008. "Domestic securities markets and monetary policy in Latin America: overview and implications," BIS Papers chapters, in: Bank for International Settlements (ed.), New financing trends in Latin America: a bumpy road towards stability, volume 36, pages 140-163, Bank for International Settlements.
    3. Carlos Madeira & Leonardo Salazar, 2023. "The Impact of Monetary Policy on a Labor Market with Heterogeneous Workers: The Case of Chile," Working Papers Central Bank of Chile 980, Central Bank of Chile.
    4. Barbi, Fernando C., 2014. "Determinants of Credit Expansion in Brazil," MPRA Paper 19535, University Library of Munich, Germany, revised 13 Sep 2014.
    5. Bank for International Settlements & Federal Reserve Bank of Atlanta, 2008. "New financing trends in Latin America: a bumpy road towards stability," BIS Papers, Bank for International Settlements, number 36.
    6. José Gómez González & Fernando Grosz, 2006. "Evidence of Bank Lending Channel for Argentina and Colombia," Borradores de Economia 396, Banco de la Republica de Colombia.
    7. Viladegut, Hugo & Cabello, Miguel, 2014. "El canal de crédito en el Perú: Una aproximación SVAR," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 27, pages 51-66.
    8. José E. Gómez González & Paola Morales Acevedo, 2009. "Bank Lending Channel of Monetary Policy: Evidence for Colombia, Using a Firms´ Panel," Borradores de Economia 5219, Banco de la Republica.
    9. Bank for International Settlements, 2007. "Evolving banking systems in Latin America and the Caribbean: challenges and implications for monetary policy and financial stability," BIS Papers, Bank for International Settlements, number 33.
    10. Biron Miguel & Felipe Córdova & Antonio Lemus, 2019. "Banks’ Business Model and Credit Supply in Chile: The Role of a State-Owned Bank," EconomiX Working Papers 2019-11, University of Paris Nanterre, EconomiX.
    11. Carrera, César, 2011. "El canal del crédito bancario en el Perú: Evidencia y mecanismo de transmisión," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 22, pages 63-82.
    12. Rodrigo Alfaro & Daniel Calvo & Daniel Oda, 2008. "Banking Risk Exposure," Working Papers Central Bank of Chile 503, Central Bank of Chile.
    13. Wu, Ji & Luca, Alina C. & Jeon, Bang Nam, 2011. "Foreign bank penetration and the lending channel in emerging economies: Evidence from bank-level panel data," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1128-1156, October.
    14. Mariya Gubareva & Maria Rosa Borges, 2013. "Typological Classification, Diagnostics, and Measurement of Flights-to-Quality," Working Papers Department of Economics 2013/15, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    15. Emiliano Luttini & Michael Pedersen, 2015. "Bank's Price Setting and Lending Maturity: Evidence from an Inflation- Targeting Economy," Working Papers Central Bank of Chile 762, Central Bank of Chile.
    16. José Bustamante & Walter Cuba & Rafael Nivin, 2019. "Determinants of credit growth and the bank-lending channel in Peru: A loan level analysis," BIS Working Papers 803, Bank for International Settlements.
    17. Navarro, Lucas, 2009. "Employment dynamics and crises in Latin America," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
    18. Sergey Drobyshevsky & Pavel Trunin & M. Kamenskikh, 2008. "Analysis of Transmission Mechanisms of Money and Credit Policy in Russia's Economy," Research Paper Series, Gaidar Institute for Economic Policy, issue 116P.
    19. Golodniuk, Inna, 2006. "Evidence on the bank-lending channel in Ukraine," Research in International Business and Finance, Elsevier, vol. 20(2), pages 180-199, June.
    20. Nguyen, Vu Hong Thai & Boateng, Agyenim, 2013. "The impact of excess reserves beyond precautionary levels on Bank Lending Channels in China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 358-377.

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