Caracterización de las fluctuaciones cíclicas en la economía uruguaya

This paper provides an empirical analysis of the business cycle regularities of the Uruguayan economy from 1975 to 1994, using quarterly macroeconomic data. The method of estimation of the cyclical components is based on the application of the Hodrick-Prescott filter to the unobserved trend-cycle components estimated from reduced-form univariate models. The method used to estimate cyclical components offers two advantages over the procedures usually found in the literature. First, the cyclical component is extracted from time series that have been previously seasonally-adjusted using a method which explicitly takes into account the specific characteristics of the data generating process. Second, given that irregular components are excluded from the estimation of the final cyclical components, correlations considered in the characterization of the business cycle are not affected by non-systematic oscillations (noise) in the data. Overall, the pattern observed in the cyclical comovements of the aggregate supply and demand components as well as their levels of relative variability are similar to those observed for other countries. However, some features seem to be specific to the Uruguayan economy: procyclical and low volatility public sector expenditure, cyclical lag of monetary aggregate fluctuations and countercyclical interest rates. Furthermore, exports, ex-ante real interest rates in local currency and the GDP of Argentina and Brazil behave as leading indicators of the reference cycle of the Uruguayan economy.cyclical fluctuations, Hodrick-Prescott filter, leading indicators, reference cycle, signal extraction, unobserved components, volatility.

Cross-Border Trading as a Mechanism for Capital Flight: ADRs and the Argentine Crisis

This paper examines the surprising performance of the Argentine stock market in the midst of the country’s most recent financial crisis and the role played by ADRs in Argentine capital flight. Although Argentine investors were subject to capital controls, they were able to purchase stocks with associated ADRs for pesos in Argentina, convert them into ADRs, re-sell them in New York for dollars and deposit the dollar proceeds in U.S. bank accounts. In the paper we show that: (1) ADR discounts went as high as 60% (indicating that Argentine investors were willing to pay significant amounts in order to legally move their funds abroad), (2) the market anticipated (correctly) a 40% devaluation, (3) local market factors in Argentina became more important in pricing peso denominated stocks with associated ADRs, while the same stocks in New York were mainly priced based on global factors, (4) capital outflow using the ADR market was substantial (our estimate is between $835 million and$3.4 billion).Argentina, Financial Crises, Capital Controls, ADRs

Decentralization and Fiscal Discipline in Subnational Governments:The Bailout Problem in Uruguay

This paper analyzes the reasons behind Central Government (CG) bailouts of Subnational Governments (SNGs) in the case of Uruguay. We argued that Uruguay represents a good example of the risks of fiscal decentralization, in the context of adjustment policies, and when SNGs` responsibilities and resources have not been carefully defined. We show that, in unitary countries where SNGs lack the opportunities to misbehave that they have in federal countries (e. g. , public debt issuance, international borrowing), SNG officials find ways to finance deficits through non-compliance with politically contestable obligations. In particular, SNGs in Uruguay finance their deficits by accumulating debts with other government agencies and obtaining discretionary transfers from the CG. Through statistical analyses we show that debts and deficits are mainly related to vertical fiscal imbalances and economic conditions in the SN jurisdictions. Yet, the analysis of recent bailout episodes suggests that institutions and political factors play a role (i. e. , they are important ex-post factors). This implies that bailouts have been more than simple compensations for structural imbalances, thus creating opportunities for strategic behavior on the part of SNG authorities (partly confirmed by the disparate fiscal performance of Montevideo vis-à-vis the rest of the country).

Currency Crises and Financial Vulnerability in Dollarized Economies.

The dissertation consists of three distinct chapters that contribute to important, yet unresolved topics in Macroeconomics and International Economics. Macroeconomists have been keenly interested in understanding how financial crisis turn into real recessions in emerging markets. By using a unique data set for 1,300 listed firms from six Latin American countries, the first chapter (co-authored with Sebnem Kalemli-Ozcan and Carolina Villegas-Sanchez) provides systematic evidence on the key channel behind the contractionary nature of financial crises. Using a differences-in-differences methodology, we disentangle the role played by banks’ credit crunch and firms' balance sheet currency mismatches in firms’ investment behavior in the aftermath of steep devaluations. Our results suggest that the key factor hindering investment and growth in the aftermath of financial crises is the decline in the supply of credit. Economists and policymakers have also been interested in the response of exchanges rates to central bank intervention in foreign exchange markets. The second chapter considers the recent experience of Colombia between 2004 and 2007, and examines the effectiveness of central bank intervention in stemming domestic currency appreciation under an inflation-targeting regime. The results indicate that the combination of peso-weakening interventions and expansionary monetary policy between 2004 and 2006 seem to have led to a reduction in appreciation pressures. In contrast, sterilized intervention was ineffective in stemming domestic currency appreciation during 2007, as large-scale intervention was working against a backdrop of intense monetary tightening. The third chapter (co-authored with Sebastian Auguste, Kathryn Dominguez and Linda Tesar) explores the ways in which cross-border financial markets are used to circumvent capital controls. We study the recent experience of investors in Argentina who while subject to capital controls, were able to purchase cross-listed shares using local currency, convert them into dollar-denominated shares, re-sell them abroad, and deposit the dollar proceeds in foreign bank accounts. We find that capital controls drive a wedge between the price of local shares and their corresponding cross-listed shares. This wedge provides an implicit devaluation forecast and the market’s valuation of capital control circumvention.Ph.D.EconomicsUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttp://deepblue.lib.umich.edu/bitstream/2027.42/86439/1/hkamil_1.pd

El "IMACO": un índice mensual líder de la actividad económica en Colombia

En este trabajo se describe la construcción de un nuevo indicador mensual líder de la actividad económica en Colombia (IMACO). El procedimiento se basa en un algoritmo de búsqueda heurístico que identifica siete variables líderes del nivel de actividad, que anticipan los movimientos del PIB con cinco meses de adelanto y una correlación del 93%. Asimismo, el IMACO tiene otras propiedades predictivas deseables: anticipa los puntos de quiebre del ciclo económico colombiano sin arrojar señales falsas, y minimiza los errores de pronóstico sobre el crecimiento del PIB. Dada su simplicidad y bajo costo computacional, el IMACO provee una herramienta para el seguimiento continuo de la coyuntura y el diseño de la política económica, que puede ser replicado tanto para otros agregados macroeconómicos en Colombia así como en otros países de la región.Índice líder, ciclo económico, componentes principales. Classification JEL: E23, E27, E37.

What Hinders Investment in the Aftermath of Financial Crises: Insolvent Firms or Illiquid Banks?

We quantify the effects of the lending and balance sheet channels on corporate investment, by comparing the performance of foreign-owned exporters to that of domestic during two types of financial crises: "currency" and "twin." A currency crisis involves a depreciated currency, whereas a twin crisis is a combination of banking and currency crises. Our measure of balance sheet weakness is based on maturity and currency mismatches between assets and liabilities. During a twin crisis, a 1 percent worsening of the balance sheet translates into a 13 percent decline in investment by domestic exporters relative to foreign-owned exporters, while the latter increase investment by 5 percent in spite of the credit crunch. There is no difference in investment rates between the two set of exporters under a currency crisis, although the deterioration of their balance-sheet is similar. The results suggest a key role for illiquidity in hindering investment in the aftermath of crises.

Selective methane oxidation over promoted oxide catalysts. Topical report, September 8, 1992--September 7, 1996

The objective of this research was to selectively oxidize methane to C{sub 2} hydrocarbons and to oxygenates, in particular formaldehyde and methanol, in high space time yields using air at the oxidant under milder reaction conditions that heretofore employed over industrially practical oxide catalysts. The research carried out under this US DOE-METC contract was divided into the following three tasks: Task 1, maximizing selective methane oxidation to C{sub 2}{sup +} products over promoted SrO/La{sub 2}O{sub 3} catalysts; Task 2, selective methane oxidation to oxygenates; and Task 3, catalyst characterization and optimization. Principal accomplishments include the following: the 1 wt% SO{sub 4}{sup 2{minus}}/SrO/La{sub 2}O{sub 3} promoted catalyst developed here produced over 2 kg of C{sub 2} hydrocarbons/kg catalyst/hr at 550 C; V{sub 2}O{sub 5}/SiO{sub 2} catalysts have been prepared that produce up to 1.5 kg formaldehyde/kg catalyst/hr at 630 C with low CO{sub 2} selectivities; and a novel dual bed catalyst system has been designed and utilized to produce over 100 g methanol/kg catalyst/hr at 600 C with the presence of steam in the reactant mixture

Selective Methane Oxidation Over Promoted Oxide Catalysts. Quarterly Report, September 1 - November 30, 1995

The objective of this research is the selective oxidation of methane to C{sub 2}H{sub 4} hydrocarbons and to oxygenates, in particular formaldehyde and methanol. Air, oxygen, or carbon dioxide rather than nitrous oxide, are utilized as the oxidizing gas at high gas hourly space velocity but mild reaction conditions (500-700{degrees}C, 1 atm total pressure). All the investigated processes are catalytic, aiming at minimizing gas phase reactions that are difficult to control. During this quarter, solid state {sup 51}V NMR and double catalyst bed experiments were conducted to demonstrate the unfavorable effect of the presence of bulk crystalline V{sub 2}O{sub 5} in V{sub 2}O{sub 5}-SiO{sub 2} xerogel catalysts on selective oxidation of methane to methanol and formaldehyde. Results are discussed