SOVEREIGN SPREADS: A FACTORIAL APPROACH

This paper explores and estimates idiosyncratic and global factors that affect the evolution of sovereign spreads in emerging economies, with an emphasis on the Chilean case, for the period from January 1998 to September 2005. We find that a small number of global factors explain a large part of the sovereign spreads’ variability. In line with certain differentiation of international investors toward investment-grade economies, global factors seem to account for a smaller proportion of the sovereign spreads’ variability in these economies. In addition, we find that the recent reduction in Chile’s country risk can be explained by the evolution of both the idiosyncratic factor determined in principle by robust macrofinancial fundamentals and—mainly—of the global factors associated with world growth projections.

Stocks, Flows and Valuation Effects of Foreign Assets and Liabilities: Do they Matter?

During the last few years, large holdings of foreign assets and liabilities along with an increasing relevance of the valuation effects—capital gains or losses—have characterized global financial integration. This paper presents an empirical assessment of the implications of stocks, flows and valuation adjustments in external crises, sovereign credit ratings and the long-run dynamics of real exchange rates (RER), in both industrial and developing economies. We find that foreign assets and liabilities are rather distinctive external holdings with different implications in the occurrence of an external crisis. Valuation adjustments have an impact on crises, although quantitatively not very large. Portfolio liabilities (particularly equity) increase the probability of current account reversals, while the likelihood of sudden stops increases with foreign direct investment assets. In the case of sovereign credit ratings, we find a noteworthy effect of the stock and flows of FDI liabilities on improvin sovereign ratings. Finally, as for the RER, gross assets and liabilities appear equally important, but components of external holdings have considerably different effects. While the cumulative current account is associated with real depreciation, the valuation effect is strongly linked with real currency appreciations in developing economies.

Determinants of Non-Mining Exports: A Regional Perspective

The Chilean non-mining export sector has experienced a substantial increase over the last years, although exports to the main regions have evolved with different patterns. This work analyzes the role of the real exchange rate and world economic activity during the 1990-2001 period, after performing an extensive refinement and cleaning of export bundles by region. Based on a multivariate cointegration analysis, we find different effects of the real exchange rate and world output on the exported quantum. The long-run elasticity of the real exchange rate goes from 0.2 to 0.8 percent for Europe, Asia and United States, and it is non significant for Aladi countries, for which a lower effect of this latter variable is found as a determinant of regional exports. On the other hand, elasticity with respect to world output ranges between 2.3 and 4 percent for the United States, and between 1.2 and 2 percent for the other regions. A panel analysis supports the view that world output plays a significant role,while the real exchange rate is less important. Finally, our preliminary evidence suggests that foreign country tariff reductions may increase regional exports.

Stylized Facts of the International Business Cycle Relevant for the Chilean Economy

This paper analyzes macroeconomic regularities in the main economic blocks (i.e., the U.S., Europe, and Japan) and describes the interaction between key variables of these groups and their relationship with relevant variables for the Chilean economy such as commodities prices, capital flows and sovereign spreads. Among the main findings are (i) U.S. GDP growth leads by two quarters the growth in Europe, Japan, and Latin America; (ii) high synchronization in both inflationary processes and monetary policies is observed; (iii) industrialized countries’ GDP growth leads movements in copper and oil prices, while the Chinese economy presents a high contemporaneous correlation with copper prices; (iv) the U.S. real exchange rate leads the price of commodities, and (v) higher capital flows to emerging markets and lower sovereign spreads lead economic growth in industrialized economies.

Nominal Exchange Rate in Chile: Predictions based on technical analysis

This work presents a review of the main indicators used in the technical analysis of the peso-dollar parity. We explain the usual interpretations of these indicators and we also explore the ability that the Relative Strength Index (RSI) may have to predict exchange rate returns at daily frequency. The predictive exercises are carried out using both in-sample and out-of-sample analyses. Our results show a robust ability of the RSI to predict nominal exchange rate returns for horizons under seven weeks.

Examen de las compensaciones y precios de suscripción en el mercado de derivados cambiarios chileno

Este trabajo entrega elementos para el entendimiento del funcionamiento del mercado cambiario chileno, haciendo uso de una base de datos única para el período enero 2007-junio 2008, e identifica múltiples características de las suscripciones de contratos forward de monedas. Se expone la evolución de las compensaciones asociadas a los contratos forward distinguiendo agentes y plazos. Asimismo, se examinan las transferencias monetarias asociadas a las compensaciones por diferencias entre los precios de suscripción y la paridad efectiva al momento de vencimiento de los contratos. En este aspecto, las compensaciones generadas por las suscripciones cambiarias fueron positivas para las Administradoras de Fondos de Pensiones (AFP) y negativas para el sector real. También, se comparan los precios de suscripción, tanto de compra como de venta, entregando luces respecto a eventuales discriminaciones de precios por parte de los market-makers. El examen evidencia que no es posible observar diferencias persistentes de discriminación de precios. Finalmente, se examinan los márgenes de intermediación de bancos locales y externos, así como la evolución que estos han experimentado en lo reciente. Para ambos grupos de bancos, estos márgenes se ubican en promedio en torno a los 10 puntos base (pb).

Especuladores en el mercado del cobre

En el periodo reciente el precio del cobre ha mostrado una marcada tendencia alcista y una alta volatilidad, que han estado acompañadas por un incremento en la participación de agentes no comerciales o especuladores. Las compras de estos agentes pasaron de representar cerca de 25% del total de operaciones del mercado de futuros de cobre en el 2002 a 47% el 2005. En este artículo se analiza una extensa base de datos de frecuencia semanal de las posiciones de agentes no comerciales en el mercado de derivados de cobre durante el período 1992-2006. Los resultados señalan nulos efectos permanentes de las posiciones en las variaciones de corto plazo experimentadas por el mismo metal. Asimismo, se encuentran efectos positivos pero marginalmente no significativos en la volatilidad del precio. Basado en estos resultados es aconsejable continuar un seguimiento en las posiciiones de especuladores para entender las variaciones de corto plazo en el precio del cobre y de otros productos básicos