When confronting credit constraints, female-led or-owned firms may adopt environmental assurances... more When confronting credit constraints, female-led or-owned firms may adopt environmental assurances to increase access to credit. However, this depends on how financial institutions integrate gender diversity and environmental risk into the rating phase of their credit management system. This study uses comprehensive firm-level data from small and mediumsized enterprises (SMEs) across 39 countries to uncover the relationship between environmental assurances and access to finance and to investigate whether this relationship varies by the gender composition of firms. The gender relations of firms are measured in terms of leadership and ownership. We find that environmental assurances have a significant impact on access to finance, though the impact is sensitive to the gender composition of firm leadership. While environmental assurance raises the probability of having loan applications approved for maleled firms, the opposite is true for female-led firms. In general, female ownership does not affect access to finance, regardless of environmental assurances. Collectively, the findings provide policy implications for improving the efficiency of financial markets and managerial implications for evaluating the impacts of firm-gender composition on access to finance.
Abstract This article focuses on patenting in the mining sector during the period of 1970–2018. I... more Abstract This article focuses on patenting in the mining sector during the period of 1970–2018. Information from the World Intellectual Property Organization (WIPO) mining database allows studying innovation trends of mining technologies, where the unit of interest is patent families. The latter are classified by filing year, applicant's origin, entity type (i.e., companies, educational institutions, research centers, and individuals), intellectual protection type, and patent family size. The evidence shows (i) only a small percentage of families is foreign-oriented, suggesting a limited international scope of mining inventions. (ii) Most families are first filed within the same geographic region of origin. (iii) The mining innovation surge, starting in the mid-2000s, has been driven, in absolute terms, by Chinese companies, individuals, and educational institutions. However, China's relative specialization in mining has consistently decreased over time, in contrast with that of Australia and the Russia Federation. And, (iv) mining firms rely heavily on service providers' inventions, particularly in what regards to mine operation and mineral processing.
This article analyzes the driving forces of capital structure for a sample of Chilean firms in th... more This article analyzes the driving forces of capital structure for a sample of Chilean firms in the 1990´s. In that period, equity issues followed firms’ financing deficits more closely than net debt issues did. We conjecture that Chile’s tax and monetary policies prevailing at the time might have driven this result. Our econometric specification is based on a random-effects panel data model in Fernandez (2006). Most literature on capital structure focuses on the cross-section variation of the data by averaging observations over time, and it disregards its time-varying dimension.
Herding takes place when individuals tend to rely on the consensus opinion and past trades rather... more Herding takes place when individuals tend to rely on the consensus opinion and past trades rather than on fundamental asset pricing. In this study, we focus on 101 Chilean stocks over the period 1990-2009. Contrary to empirical evidence for the United States and international markets (e.g., Christie & Huang, 1995; Demirer & Kutan, 2006; Gleason, Lee & Mathur 2003; Gleason, Mathur & Peterson, 2004), we conclude that herding in individual stocks is more likely during extreme down markets, after controlling for trading volume. Our results also suggest an inverse relationship between volatility and trading volume, which contradicts the one-factor mixture-of-distribution hypothesis (MDH). Such an inverse association appears statistically more significant when choosing more extreme return thresholds.
For a sample of six countries with dirty/free float regimes over 1999-2002-the United States, Jap... more For a sample of six countries with dirty/free float regimes over 1999-2002-the United States, Japan, the Czech Republic, Poland, Switzerland, and the United Kingdom, we investigate whether paired currencies exhibit a pattern of asymptotic dependence on the euro. That is, whether an extremely large appreciation or depreciation in the nominal exchange rate of one country might transmit to the euro, and vice versa. In addition, we investigate whether stock markets of European countries, outside the Euro zone, have exhibited extreme-value dependence on their exchange rates against the euro. In general, after controlling for volatility clustering and inertia in returns, we do not find evidence of extreme-value dependence either between paired exchange rates or between paired stock indices and exchanges rates. However, for asymptotic independent paired returns, we find that tail dependency of exchange rates is stronger under large appreciations than under large depreciations. In addition,...
Between the 1970's and the 1980's, the derivatives market flourished. Forwards, futures a... more Between the 1970's and the 1980's, the derivatives market flourished. Forwards, futures and options began to be regularly traded. According to information gathered by The Bank of International Settlements, at the end of April 2001 the value of over the counter(OTC) positions outstanding was over US$99 trillion, while the value of positions outstanding in organized exchanges was approximately US$20 trillion. In Latin America the largest derivatives exchanges are located in Argentina (MATBA, ROFEX), Brazil (BM&F, BOVESPA), and Mexico (MexDer). In addition, OTC markets exist in Chile and Peru. Excluding Peru, Chile's derivatives market is to date the least developed. Most domestic transactions are OTC, and consist of currency forwards (US dollar-Chilean peso). The use of other derivatives, such as options on stocks and futures on stock indices, has not gained ground. Economists claim that the blame should be put on regulatory constrains faced by institutional investors, and...
Feline eosinophilic keratitis (FEK) is a chronic keratopathy caused by a suspected immune mediate... more Feline eosinophilic keratitis (FEK) is a chronic keratopathy caused by a suspected immune mediated response to an unknown antigenic stimulus. The purpose of this study was to investigate the safety and therapeutic effects of allogeneic feline adipose-derived mesenchymal stromal cells (fAd-MSCs) implanted subconjunctival around the ocular surface lesion in five cats with FEK refractory to current available treatments. FEK was diagnosed by clinical appearance and evidence of eosinophil and/or mast cells in corneal cytology. Each animal was treated with two applications of 2 × 10 million of fAd-MSCs 2 months apart. Ocular surface integrity was assessed before treatment and at 1, 3, 6 and 11 months after treatment. Clinical signs showed a significant change during the follow-up with resolution of the corneal and conjunctiva lesions and there were no signs of regression or worsening. Implanted cells were well-tolerated and effective reducing clinical signs of FEK with a sustained effect ...
Exchange rate markets exhibit correlation in the short run, but the issue is whether such correla... more Exchange rate markets exhibit correlation in the short run, but the issue is whether such correlation lingers over long periods of time, and under extreme events (i.e., either large appreciations or depreciations). In this paper, we analyze dependence between nominal exchange rates under extreme events for a sample of ten countries with dirty/free float regimes over the period 1998-2002. In addition, we investigate whether currencies have exhibited extremal dependence on the Euro, since its adoption in 1999. Our findings are the following. First, in general, there is no evidence of extremal dependence between returns pairs. Second, the degree of dependence is stronger under large appreciations than under large depreciations. These conclusions are robust to filtering out the data for serial correlation and heteroscedasticy.
Value at Risk (VaR) is a measure of the maximum potential change in value of a portfolio of finan... more 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 a ten-day horizon, 99 percent of the time. A common practice is to compute VaR by assuming that changes in value of the portfolio are normally distributed, conditional on past information. However, assets returns usually come from fat-tailed distributions. Therefore, computing VaR under the assumption of conditional normality can be an important source of error. We illustrate this point for some return series key to the Chilean financial market by resorting to extreme value theory (EVT) and GARCH-type models. In addition, we show that dynamic estimation of empirical quantiles can also give more accurate VaR estimates than quantiles of a standard normal.
To date, there is no consensus about how frictions in the credit market affect the transmission o... more To date, there is no consensus about how frictions in the credit market affect the transmission of the monetary policy to the real economy. The traditional money channel states that when the Central Bank reduces its reserves, commercial banks are forced to reduce their demand for deposits. If prices are sticky, in the short-run a decrease in real monetary holdings should lead to higher real interest rates and should translate into a contraction of interest-sensitive components of aggregate spending. The most recent literature has focused on the role of the credit channel. This states that the direct effect of monetary policy on interest rates is amplified by changing the terms and availability of bank loans. Given that firms and consumers lack perfect substitutes for bank loans, they will be unable to offset the reduced supply of loans. This article focuses on testing the existence of a credit channel in Chile. Our sample comprises 19 banks that operated in Chile over January 1999-D...
This paper presents two applications of Extreme Value Theory (EVT) to financial markets: computat... more 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 accurate estimates of value at risk. Second, tail dependence decreases when filtering out heteroscedasticity and serial correlation by multivariate GARCH models. Both findings are in agreement with previous research in this area for other financial markets.
Technological innovations have contributed over the years to an increasing stock of durable goods... more Technological innovations have contributed over the years to an increasing stock of durable goods -those products that are not immediately consumed but provide a stream of services over a long period of time. Indeed, virtually every household in a modern economy owns a refrigerator, a personal computer and an automobile. Given the inter-temporal nature of replacement decisions, the existing literature has resorted to the technique of dynamic programming, and most recently to the theory of stochastic processes.This article focuses on micro replacement decisions. We survey some representative models of the recent literature, and discuss their empirical testability. In addition, we study replacement of home appliances in the United States, and construct a test statistic that leads to conclude that replacement decisions might be correlated across appliances. Finally, we enrich our analysis by developing a theoretical model in which replacement decisions are interdependent.
When confronting credit constraints, female-led or-owned firms may adopt environmental assurances... more When confronting credit constraints, female-led or-owned firms may adopt environmental assurances to increase access to credit. However, this depends on how financial institutions integrate gender diversity and environmental risk into the rating phase of their credit management system. This study uses comprehensive firm-level data from small and mediumsized enterprises (SMEs) across 39 countries to uncover the relationship between environmental assurances and access to finance and to investigate whether this relationship varies by the gender composition of firms. The gender relations of firms are measured in terms of leadership and ownership. We find that environmental assurances have a significant impact on access to finance, though the impact is sensitive to the gender composition of firm leadership. While environmental assurance raises the probability of having loan applications approved for maleled firms, the opposite is true for female-led firms. In general, female ownership does not affect access to finance, regardless of environmental assurances. Collectively, the findings provide policy implications for improving the efficiency of financial markets and managerial implications for evaluating the impacts of firm-gender composition on access to finance.
Abstract This article focuses on patenting in the mining sector during the period of 1970–2018. I... more Abstract This article focuses on patenting in the mining sector during the period of 1970–2018. Information from the World Intellectual Property Organization (WIPO) mining database allows studying innovation trends of mining technologies, where the unit of interest is patent families. The latter are classified by filing year, applicant's origin, entity type (i.e., companies, educational institutions, research centers, and individuals), intellectual protection type, and patent family size. The evidence shows (i) only a small percentage of families is foreign-oriented, suggesting a limited international scope of mining inventions. (ii) Most families are first filed within the same geographic region of origin. (iii) The mining innovation surge, starting in the mid-2000s, has been driven, in absolute terms, by Chinese companies, individuals, and educational institutions. However, China's relative specialization in mining has consistently decreased over time, in contrast with that of Australia and the Russia Federation. And, (iv) mining firms rely heavily on service providers' inventions, particularly in what regards to mine operation and mineral processing.
This article analyzes the driving forces of capital structure for a sample of Chilean firms in th... more This article analyzes the driving forces of capital structure for a sample of Chilean firms in the 1990´s. In that period, equity issues followed firms’ financing deficits more closely than net debt issues did. We conjecture that Chile’s tax and monetary policies prevailing at the time might have driven this result. Our econometric specification is based on a random-effects panel data model in Fernandez (2006). Most literature on capital structure focuses on the cross-section variation of the data by averaging observations over time, and it disregards its time-varying dimension.
Herding takes place when individuals tend to rely on the consensus opinion and past trades rather... more Herding takes place when individuals tend to rely on the consensus opinion and past trades rather than on fundamental asset pricing. In this study, we focus on 101 Chilean stocks over the period 1990-2009. Contrary to empirical evidence for the United States and international markets (e.g., Christie & Huang, 1995; Demirer & Kutan, 2006; Gleason, Lee & Mathur 2003; Gleason, Mathur & Peterson, 2004), we conclude that herding in individual stocks is more likely during extreme down markets, after controlling for trading volume. Our results also suggest an inverse relationship between volatility and trading volume, which contradicts the one-factor mixture-of-distribution hypothesis (MDH). Such an inverse association appears statistically more significant when choosing more extreme return thresholds.
For a sample of six countries with dirty/free float regimes over 1999-2002-the United States, Jap... more For a sample of six countries with dirty/free float regimes over 1999-2002-the United States, Japan, the Czech Republic, Poland, Switzerland, and the United Kingdom, we investigate whether paired currencies exhibit a pattern of asymptotic dependence on the euro. That is, whether an extremely large appreciation or depreciation in the nominal exchange rate of one country might transmit to the euro, and vice versa. In addition, we investigate whether stock markets of European countries, outside the Euro zone, have exhibited extreme-value dependence on their exchange rates against the euro. In general, after controlling for volatility clustering and inertia in returns, we do not find evidence of extreme-value dependence either between paired exchange rates or between paired stock indices and exchanges rates. However, for asymptotic independent paired returns, we find that tail dependency of exchange rates is stronger under large appreciations than under large depreciations. In addition,...
Between the 1970's and the 1980's, the derivatives market flourished. Forwards, futures a... more Between the 1970's and the 1980's, the derivatives market flourished. Forwards, futures and options began to be regularly traded. According to information gathered by The Bank of International Settlements, at the end of April 2001 the value of over the counter(OTC) positions outstanding was over US$99 trillion, while the value of positions outstanding in organized exchanges was approximately US$20 trillion. In Latin America the largest derivatives exchanges are located in Argentina (MATBA, ROFEX), Brazil (BM&F, BOVESPA), and Mexico (MexDer). In addition, OTC markets exist in Chile and Peru. Excluding Peru, Chile's derivatives market is to date the least developed. Most domestic transactions are OTC, and consist of currency forwards (US dollar-Chilean peso). The use of other derivatives, such as options on stocks and futures on stock indices, has not gained ground. Economists claim that the blame should be put on regulatory constrains faced by institutional investors, and...
Feline eosinophilic keratitis (FEK) is a chronic keratopathy caused by a suspected immune mediate... more Feline eosinophilic keratitis (FEK) is a chronic keratopathy caused by a suspected immune mediated response to an unknown antigenic stimulus. The purpose of this study was to investigate the safety and therapeutic effects of allogeneic feline adipose-derived mesenchymal stromal cells (fAd-MSCs) implanted subconjunctival around the ocular surface lesion in five cats with FEK refractory to current available treatments. FEK was diagnosed by clinical appearance and evidence of eosinophil and/or mast cells in corneal cytology. Each animal was treated with two applications of 2 × 10 million of fAd-MSCs 2 months apart. Ocular surface integrity was assessed before treatment and at 1, 3, 6 and 11 months after treatment. Clinical signs showed a significant change during the follow-up with resolution of the corneal and conjunctiva lesions and there were no signs of regression or worsening. Implanted cells were well-tolerated and effective reducing clinical signs of FEK with a sustained effect ...
Exchange rate markets exhibit correlation in the short run, but the issue is whether such correla... more Exchange rate markets exhibit correlation in the short run, but the issue is whether such correlation lingers over long periods of time, and under extreme events (i.e., either large appreciations or depreciations). In this paper, we analyze dependence between nominal exchange rates under extreme events for a sample of ten countries with dirty/free float regimes over the period 1998-2002. In addition, we investigate whether currencies have exhibited extremal dependence on the Euro, since its adoption in 1999. Our findings are the following. First, in general, there is no evidence of extremal dependence between returns pairs. Second, the degree of dependence is stronger under large appreciations than under large depreciations. These conclusions are robust to filtering out the data for serial correlation and heteroscedasticy.
Value at Risk (VaR) is a measure of the maximum potential change in value of a portfolio of finan... more 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 a ten-day horizon, 99 percent of the time. A common practice is to compute VaR by assuming that changes in value of the portfolio are normally distributed, conditional on past information. However, assets returns usually come from fat-tailed distributions. Therefore, computing VaR under the assumption of conditional normality can be an important source of error. We illustrate this point for some return series key to the Chilean financial market by resorting to extreme value theory (EVT) and GARCH-type models. In addition, we show that dynamic estimation of empirical quantiles can also give more accurate VaR estimates than quantiles of a standard normal.
To date, there is no consensus about how frictions in the credit market affect the transmission o... more To date, there is no consensus about how frictions in the credit market affect the transmission of the monetary policy to the real economy. The traditional money channel states that when the Central Bank reduces its reserves, commercial banks are forced to reduce their demand for deposits. If prices are sticky, in the short-run a decrease in real monetary holdings should lead to higher real interest rates and should translate into a contraction of interest-sensitive components of aggregate spending. The most recent literature has focused on the role of the credit channel. This states that the direct effect of monetary policy on interest rates is amplified by changing the terms and availability of bank loans. Given that firms and consumers lack perfect substitutes for bank loans, they will be unable to offset the reduced supply of loans. This article focuses on testing the existence of a credit channel in Chile. Our sample comprises 19 banks that operated in Chile over January 1999-D...
This paper presents two applications of Extreme Value Theory (EVT) to financial markets: computat... more 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 accurate estimates of value at risk. Second, tail dependence decreases when filtering out heteroscedasticity and serial correlation by multivariate GARCH models. Both findings are in agreement with previous research in this area for other financial markets.
Technological innovations have contributed over the years to an increasing stock of durable goods... more Technological innovations have contributed over the years to an increasing stock of durable goods -those products that are not immediately consumed but provide a stream of services over a long period of time. Indeed, virtually every household in a modern economy owns a refrigerator, a personal computer and an automobile. Given the inter-temporal nature of replacement decisions, the existing literature has resorted to the technique of dynamic programming, and most recently to the theory of stochastic processes.This article focuses on micro replacement decisions. We survey some representative models of the recent literature, and discuss their empirical testability. In addition, we study replacement of home appliances in the United States, and construct a test statistic that leads to conclude that replacement decisions might be correlated across appliances. Finally, we enrich our analysis by developing a theoretical model in which replacement decisions are interdependent.
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Papers by Viviana Fernandez