The Socio-Economic Implications of the COVID-19 Pandemic, 2021
We briefly describe the macroeconomic performance before the spread of the coronavirus (COVID-19)... more We briefly describe the macroeconomic performance before the spread of the coronavirus (COVID-19), which is mainly characterized by severe economic depression, economic and financial sanctions by the Trump administration, and tight fiscal space that constrains to undertake additional measures. We estimate three economic scenarios based on different oil price assumptions for 2020. The negative effects of the quarantine on the economy are estimated using the two biggest shocks faced by Venezuela in its recent history. We emphasize the relevance of foreign currency and external financing to mitigate the pandemic’s impact. Finally, we discuss the economic measures taken by the government.
In this paper, we analyze the dynamic of inflation in Venezuela, during the last eighteen years, ... more In this paper, we analyze the dynamic of inflation in Venezuela, during the last eighteen years, through a Markov-switching estimation of a New Keynesian Phillips curve. Estimation is carried out using the EM algorithm. The model’s estimates distinguish between a “normal or backward looking” regime and a “rational expectation” regime consistent with episodes of high uncertainty regarding the performance of the economy. This characterization of regimes is based on two elements: the description of the process of formation of inflationary expectations and the main economic events occurred during each regime. JEL classification: C29, E31, D84
En este trabajo se analiza la relacion entre el riesgo pais y sus factores determinantes macroeco... more En este trabajo se analiza la relacion entre el riesgo pais y sus factores determinantes macroeconomicos durante el periodo 1998-2013 para Argentina, Brasil, Mexico y Venezuela, mediante un modelo SUR bayesiano con cambio de regimen markoviano. Se identificaron dos regimenes para cada pais. Un primer regimen, relacionado con periodos de estabilidad y condiciones favorables del contexto internacional, en el cual las variables se comportan como senala la bibliografia. Un segundo regimen, que coincide temporalmente con periodos de perturbaciones tanto nacionales como internacionales. Los resultados sugieren que los cambios de regimen en la relacion del riesgo pais con sus factores determinantes dependen del origen de la incertidumbre. Si la fuente de incertidumbre esta asociada a eventos externos, como las crisis internacionales, la volatilidad de los mercados financieros cobra relevancia, mientras que las variables de solvencia y liquidez son menos importantes. Si los detonantes de la...
We briefly describe the macroeconomic performance before the spread of the coronavirus (COVID-19)... more We briefly describe the macroeconomic performance before the spread of the coronavirus (COVID-19), which is mainly characterized by severe economic depression, economic and financial sanctions by the Trump administration, and tight fiscal space that constrains to undertake additional measures. We estimate three economic scenarios based on different oil price assumptions for 2020. The negative effects of the quarantine on the economy are estimated using the two biggest shocks faced by Venezuela in its recent history. We emphasize the relevance of foreign currency and external financing to mitigate the pandemic's impact. Finally, we discuss the economic measures taken by the government.
This paper analyzes the relation between the country risk and its macroeconomic determinants for ... more This paper analyzes the relation between the country risk and its macroeconomic determinants for Argentina, Brazil, Mexico and Venezuela, during the 1998-2013 period, using a Markov-switching sur model estimated by Bayesian techniques. Two independent regimes for each country were identified. The first one, associated with periods of stability and favorable international conditions, in which the variables under consideration behave as reported in the literature. On the other hand, the second regime temporarily coincides with periods of high domestic and international uncertainty. Our findings suggest that the changes in the analyzed relation depend on the origin of the uncertainty. If the uncertainty's source is associated with external shocks, such as international crises, the financial markets volatility gains relevance , while the solvency and liquidity variables are less relevant; if the causes of uncertainty are domestic, the latter are the key variables to explain the sovereign risk.
En este trabajo se analiza la relación entre el riesgo país y sus factores determinantes macroec... more En este trabajo se analiza la relación entre el riesgo país y sus factores determinantes macroeconómicos durante el periodo 1998-2013 para Argentina, Brasil, México y Venezuela, mediante un modelo sur ba-yesiano con cambio de régimen markoviano. Se identificaron dos regí-menes para cada país. Un primer régimen, relacionado con periodos de estabilidad y condiciones favorables del contexto internacional, en el cual las variables se comportan como señala la bibliografía. Un se-gundo régimen, que coincide temporalmente con periodos de perturba-ciones tanto nacionales como internacionales. Los resultados sugieren que los cambios de régimen en la relación del riesgo país con sus factores determinantes dependen del origen de la incertidumbre. Si la fuente de incertidumbre está asociada a eventos externos, como las crisis in-ternacionales, la volatilidad de los mercados financieros cobra rele-vancia, mientras que las variables de solvencia y liquidez son menos importantes. Si los detonantes de la incertidumbre son de origen inter-no, estas últimas son las variables clave para explicar el riesgo país.
We present a hybrid method for random pattern sequence classification that takes into account the... more We present a hybrid method for random pattern sequence classification that takes into account the random structural properties of the sequence. The method works in two steps. A segmentation step, dividing the original sequence into segments, such that all observations in a same segment belong to a unique class, and a classification step, where each segment is classified by a neural network classifier.
Price segmentation in the overnight fund market occurs when observationally, transaction interest... more Price segmentation in the overnight fund market occurs when observationally, transaction interest rates cluster around significantly different interest rate levels. Statistically, price segmentation implies that interest rate realizations come from different stochastic data generating processes. In this paper we identify diverse segments of transaction interest rates using Hidden Markov Models (HMMs). We show that identification of the different price segments accounts for a great deal of variation of interest rates. Once price segments are identified and transactions classified accordingly, we construct an index to describe the pattern of segment alternation and to distinguish among different types of segmentation. In the Venezuelan market, 49% of the trading days analyzed show a form of segmentation that probably stems from a price discrimination practice that takes place through the discretionary assignment of credit lines by suppliers of funds.
... A sign restriction approach* Carolina Pagliacci§, Ana María Chirinos, Daniel Barráez&amp... more ... A sign restriction approach* Carolina Pagliacci§, Ana María Chirinos, Daniel Barráez& Version: September 2011 ... Since reduced-form VARs are easier to estimate than SVARs, we can always re-write the above model into a VAR(q): t t qt q t t e CX ZA ZA Z + + + + = 1 1 ...
The Socio-Economic Implications of the COVID-19 Pandemic, 2021
We briefly describe the macroeconomic performance before the spread of the coronavirus (COVID-19)... more We briefly describe the macroeconomic performance before the spread of the coronavirus (COVID-19), which is mainly characterized by severe economic depression, economic and financial sanctions by the Trump administration, and tight fiscal space that constrains to undertake additional measures. We estimate three economic scenarios based on different oil price assumptions for 2020. The negative effects of the quarantine on the economy are estimated using the two biggest shocks faced by Venezuela in its recent history. We emphasize the relevance of foreign currency and external financing to mitigate the pandemic’s impact. Finally, we discuss the economic measures taken by the government.
In this paper, we analyze the dynamic of inflation in Venezuela, during the last eighteen years, ... more In this paper, we analyze the dynamic of inflation in Venezuela, during the last eighteen years, through a Markov-switching estimation of a New Keynesian Phillips curve. Estimation is carried out using the EM algorithm. The model’s estimates distinguish between a “normal or backward looking” regime and a “rational expectation” regime consistent with episodes of high uncertainty regarding the performance of the economy. This characterization of regimes is based on two elements: the description of the process of formation of inflationary expectations and the main economic events occurred during each regime. JEL classification: C29, E31, D84
En este trabajo se analiza la relacion entre el riesgo pais y sus factores determinantes macroeco... more En este trabajo se analiza la relacion entre el riesgo pais y sus factores determinantes macroeconomicos durante el periodo 1998-2013 para Argentina, Brasil, Mexico y Venezuela, mediante un modelo SUR bayesiano con cambio de regimen markoviano. Se identificaron dos regimenes para cada pais. Un primer regimen, relacionado con periodos de estabilidad y condiciones favorables del contexto internacional, en el cual las variables se comportan como senala la bibliografia. Un segundo regimen, que coincide temporalmente con periodos de perturbaciones tanto nacionales como internacionales. Los resultados sugieren que los cambios de regimen en la relacion del riesgo pais con sus factores determinantes dependen del origen de la incertidumbre. Si la fuente de incertidumbre esta asociada a eventos externos, como las crisis internacionales, la volatilidad de los mercados financieros cobra relevancia, mientras que las variables de solvencia y liquidez son menos importantes. Si los detonantes de la...
We briefly describe the macroeconomic performance before the spread of the coronavirus (COVID-19)... more We briefly describe the macroeconomic performance before the spread of the coronavirus (COVID-19), which is mainly characterized by severe economic depression, economic and financial sanctions by the Trump administration, and tight fiscal space that constrains to undertake additional measures. We estimate three economic scenarios based on different oil price assumptions for 2020. The negative effects of the quarantine on the economy are estimated using the two biggest shocks faced by Venezuela in its recent history. We emphasize the relevance of foreign currency and external financing to mitigate the pandemic's impact. Finally, we discuss the economic measures taken by the government.
This paper analyzes the relation between the country risk and its macroeconomic determinants for ... more This paper analyzes the relation between the country risk and its macroeconomic determinants for Argentina, Brazil, Mexico and Venezuela, during the 1998-2013 period, using a Markov-switching sur model estimated by Bayesian techniques. Two independent regimes for each country were identified. The first one, associated with periods of stability and favorable international conditions, in which the variables under consideration behave as reported in the literature. On the other hand, the second regime temporarily coincides with periods of high domestic and international uncertainty. Our findings suggest that the changes in the analyzed relation depend on the origin of the uncertainty. If the uncertainty's source is associated with external shocks, such as international crises, the financial markets volatility gains relevance , while the solvency and liquidity variables are less relevant; if the causes of uncertainty are domestic, the latter are the key variables to explain the sovereign risk.
En este trabajo se analiza la relación entre el riesgo país y sus factores determinantes macroec... more En este trabajo se analiza la relación entre el riesgo país y sus factores determinantes macroeconómicos durante el periodo 1998-2013 para Argentina, Brasil, México y Venezuela, mediante un modelo sur ba-yesiano con cambio de régimen markoviano. Se identificaron dos regí-menes para cada país. Un primer régimen, relacionado con periodos de estabilidad y condiciones favorables del contexto internacional, en el cual las variables se comportan como señala la bibliografía. Un se-gundo régimen, que coincide temporalmente con periodos de perturba-ciones tanto nacionales como internacionales. Los resultados sugieren que los cambios de régimen en la relación del riesgo país con sus factores determinantes dependen del origen de la incertidumbre. Si la fuente de incertidumbre está asociada a eventos externos, como las crisis in-ternacionales, la volatilidad de los mercados financieros cobra rele-vancia, mientras que las variables de solvencia y liquidez son menos importantes. Si los detonantes de la incertidumbre son de origen inter-no, estas últimas son las variables clave para explicar el riesgo país.
We present a hybrid method for random pattern sequence classification that takes into account the... more We present a hybrid method for random pattern sequence classification that takes into account the random structural properties of the sequence. The method works in two steps. A segmentation step, dividing the original sequence into segments, such that all observations in a same segment belong to a unique class, and a classification step, where each segment is classified by a neural network classifier.
Price segmentation in the overnight fund market occurs when observationally, transaction interest... more Price segmentation in the overnight fund market occurs when observationally, transaction interest rates cluster around significantly different interest rate levels. Statistically, price segmentation implies that interest rate realizations come from different stochastic data generating processes. In this paper we identify diverse segments of transaction interest rates using Hidden Markov Models (HMMs). We show that identification of the different price segments accounts for a great deal of variation of interest rates. Once price segments are identified and transactions classified accordingly, we construct an index to describe the pattern of segment alternation and to distinguish among different types of segmentation. In the Venezuelan market, 49% of the trading days analyzed show a form of segmentation that probably stems from a price discrimination practice that takes place through the discretionary assignment of credit lines by suppliers of funds.
... A sign restriction approach* Carolina Pagliacci§, Ana María Chirinos, Daniel Barráez&amp... more ... A sign restriction approach* Carolina Pagliacci§, Ana María Chirinos, Daniel Barráez& Version: September 2011 ... Since reduced-form VARs are easier to estimate than SVARs, we can always re-write the above model into a VAR(q): t t qt q t t e CX ZA ZA Z + + + + = 1 1 ...
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