Convergence of a Particle-based Approximation of the Block Online Expectation Maximization Algorithm

Online variants of the Expectation Maximization (EM) algorithm have recently been proposed to perform parameter inference with large data sets or data streams, in independent latent models and in hidden Markov models. Nevertheless, the convergence properties of these algorithms remain an open problem at least in the hidden Markov case. This contribution deals with a new online EM algorithm which updates the parameter at some deterministic times. Some convergence results have been derived even in general latent models such as hidden Markov models. These properties rely on the assumption that some intermediate quantities are available in closed form or can be approximated by Monte Carlo methods when the Monte Carlo error vanishes rapidly enough. In this paper, we propose an algorithm which approximates these quantities using Sequential Monte Carlo methods. The convergence of this algorithm and of an averaged version is established and their performance is illustrated through Monte Carlo experiments

Business Cycle Dynamics and Shock Resilience in Chile

In this paper we use a VAR model to analyze the response of the Chilean business cycle to shocks and the capacity of the Chilean economy to withstand them (resilience). Novel features in the analysis include the introduction of an expanded set of variables to capture the impact of external shocks and domestic shocks —including policy variables; the use of an extended sample since the 1950s; and the introduction of block exogeneity to capture the small open economy feature and to better deal with identification issues. Among key results, we find that foreign shocks have been the dominant source of business cycle fluctuations, followed by monetary policy shocks, while fiscal policy shocks explain relatively little; and that despite of the increased synchronization of the domestic business cycle with international conditions, the resilience of the Chilean economy to external shocks has increased during the nineties, with countercyclical policies playing an important role in such a positive development

Relaciones sino-chilenas bajo nuevas circunstancias.

El nuevo Tratado de Libre Comercio con China abre a Chile una serie de oportunidades comerciales con dicho país. No cabe duda que en el acuerdo, China también está tomando en cuenta criterios estratégicos amplios, más allá del impacto menor que una pequeña economía como la chilena pueda tener en su comercio exterior y de las escasas inversiones que ha realizado en nuestro país en el pasado. Entre estos criterios, podemos partir de la base de que el acuerdo sería un paso previo, con un efecto demostrativo importante, para una futura negociación con el Mercosur. Por otra parte, si bien comparado con otros países de la región, Chile es un país altamente estable, lo que facilita el comercio y la inversión, vale la pena avanzar en hacer ver a la contraparte china el rol que puede desempeñar Chile como «puente» real, y no solo discursivo, entre Asia y el resto de América Latina, elemento que se hace valer permanentemente en el discurso de nuestra política exterior. Por otra parte, no hay que olvidar que la competencia estratégica sino-norteamericana es un elemento que no debe tenerse presente al formular nuestra estrategia hacia China y el Pacífico en general. Sin embargo, esa competencia tampoco debe transformarse en un obstáculo para el fortalecimiento de los lazos con China. En este sentido, los beneficios que nos puede dar este vínculo en el plano económico, hacen necesario asumir riesgos calculados en el plano político, recordando que las hegemonías no son permanentes

La Política Monetaria, el Tipo de Cambio Real y el Encaje al Influjo de Capitales: Un Modelo Analítico Simple

This paper presents a simple model based on several equilibrium relationships between the real exchange rate —the relative price of tradable and non tradable goods— and monetary policy, represented by the real interest rate. The domestic equilibrium represents the real exchange rate response directed at eliminating any excess demand in the goods market; the external equilibrium represents the real exchange rate response directed at maintaining a sustainable current account deficit; meanwhile the financial arbitrage condition represents the response that ensures that the expected return of financial capital is the same in domestic and foreign currency. There is only one real interest rate level and one real exchange rate level compatible with global equilibrium; without international capital mobility, monetary policy is fully autonomous to reach this global equilibrium position. The global equilibrium position can be modified by fiscal policy, particularly allowing the equilibrium to be attained at different levels of the real interest rate. Under full international capital mobility, monetary policy effectiveness is limited and a more flexible fiscal policy, that limits the impact of shocks on the equilibrium interest rate, or a reserve requirement on capital flows, that increases the operational range of monetary policy, is needed to preserve global equilibrium. Without them it will be necessary to take as given the external current account deficit levels that international financial markets are willing to accept, and these level can be extremely volatile, moving from the amplitude and easiness that allows for large expansions in domestic expenditure to the tough restrictions that require severe adjustments.

Los Resultados Macroeconómicos del Gobierno de Eduardo Frei RT: Una Evaluación Comparativa

This study undertakes a balance of the macroeconomic results of the Frei Ruiz-Tagle Administration compared with other Chilean administrations from the last third of the 20th century and with a group of emerging economies. In both comparisons, the Frei RT Administration enjoys among the best results according to the macroeconomic performance indicator constructed. Its principal strengths included control of inflation, economic growth, capital formation and savings, while its relative weaknesses were export growth and the unemployment rate. The results varied over time since contagion from the Asian crisis resulted in a weakening of overall performance. This experience demonstrates that, to prevent contagion from external crises, it is not sufficient to maintain a healthy financial system and low and stable inflation. Vulnerability to contagion can result from an excessive expansion in private expenditure, which presents a pending challenge to develop adequate instruments to confront this.