Pablo Federico - Academia.edu (original) (raw)

Papers by Pablo Federico

Introducción: El curso esta diseñado para estudiantes de economía y ciencias a fines que busquen ... more Introducción: El curso esta diseñado para estudiantes de economía y ciencias a fines que busquen una primera exposición al método de programación dinámica. Es también recomendable para quienes no hayan tenido una practica regular con el mismo y deseen revisarlo. El curso es de carácter práctico, el objetivo principal es resolver problemas y aplicaciones. Instrucciones: El curso corto es de 6 clases de 3 horas de duración. Es los días lunes y miércoles de 9.00 a 12.00 en las fechas especificadas abajo. Habrá un examen final del curso para los alumnos que lo tomen como media materia optativa de la Maestría o el Doctorado en Economía de UCEMA. Los alumnos serán evaluados en base al material desarrollado en clase exclusivamente.

We analyze the macroeconomic eects of changes in legal reserve requirements and the relationship ... more We analyze the macroeconomic eects of changes in legal reserve requirements and the relationship between reserve requirement policy and monetary policy in four Latin American countries (Argentina, Brazil, Colombia, and Uruguay). To correctly identify innovations in reserve requirements, we develop a narrative approach -based on contem- poraneous reports from the IMF and Central Banks -that classi…es changes in reserve requirements into endogenous or exogenous to the business cycle. We show that this dis- tinction is critical in understanding the eects of reserve requirements. In particular, we show that output falls in response to exogenous changes in reserve requirements but would increase in response to all changes due to misidenti…cation. We also show that, when properly identi…ed, reserve requirement policy acts as a substitute for monetary policy rather than a complement. For instance, in bad times reserve requirements are lowered to stimulate output while interest rates need t...

This dissertation studies two aspects of the implications of liquidity risk-taking by financial i... more This dissertation studies two aspects of the implications of liquidity risk-taking by financial institutions on the economy: first, its effects on macroeconomic volatility and the likelihood of financial distress; second, how the exposure to this source of risk is relevant in determining the failure of financial institutions in times of stress. Optimal regulatory responses are derived in the essays on both the macroprudential and the microprudential front. The first essay develops a welfare theoretic model to study prudential regulation in an emerging market economy that is facing large short-term capital inflows into the banking system. The prospect of a sudden reversal of those flows exposes the economy to liquidity risk. In the model banks finance investments in shortterm and long-term assets by borrowing both locally and externally. Government intervention is rationalized with an externality arising from financial frictions. The potential disruption in external financing constitutes the only source of aggregate risk. The analysis shows that inefficient equilibria exist. In those equilibria banks

Policy Research Working Papers, 2013

The Policy Research Working Paper Series disseminates the findings of work in progress to encoura... more The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent.

Policy Research Working Papers, 2014

Some rights reserved 1 2 3 4 17 16 15 14 World Bank Studies are published to communicate the resu... more Some rights reserved 1 2 3 4 17 16 15 14 World Bank Studies are published to communicate the results of the Bank's work to the development community with the least possible delay. The manuscript of this paper therefore has not been prepared in accordance with the procedures appropriate to formally edited texts. This work is a product of the staff of The World Bank with external contributions. The findings, interpretations, and conclusions expressed in this work do not necessarily reflect the views of The World Bank, its Board of Executive Directors, or the governments they represent. The World Bank does not guarantee the accuracy of the data included in this work. The boundaries, colors, denominations, and other information shown on any map in this work do not imply any judgment on the part of The World Bank concerning the legal status of any territory or the endorsement or acceptance of such boundaries. Nothing herein shall constitute or be considered to be a limitation upon or waiver of the privileges and immunities of The World Bank, all of which are specifically reserved.

Based on a novel quarterly dataset for 52 countries for the period 1970-2011, we analyze the use ... more Based on a novel quarterly dataset for 52 countries for the period 1970-2011, we analyze the use and cyclical properties of reserve requirements (RR) as a macroeconomic stabilization tool and whether RR policy substitutes or complements monetary policy. We find that (i) around two thirds of developing countries have used RR policy as a macroeconomic stabilization tool compared to just one third of industrial countries (and no industrial country since 2004); (ii) most developing countries that rely on RR use them countercyclically; and (iii) in many developing countries, monetary policy is procyclical and hence RR policy has substituted monetary policy as a countercyclical tool. We interpret the latter finding as reflecting the need of many emerging markets to raise interest rates in bad times to defend the currency and not raise or lower the interest rate in good times to prevent further currency appreciation. Under these circumstances, RR policy provides a second instrument that substitutes for monetary policy. Evidence from expanded Taylor rules (i.e., Taylor rules that include a nominal exchange rate target) supports these mechanisms.

SSRN Electronic Journal, 2012

This paper analyzes the evolution of bank funding structures in the run up to the global financia... more This paper analyzes the evolution of bank funding structures in the run up to the global financial crisis and studies the implications for financial stability, exploiting a bank-level dataset that covers about 11,000 banks in the U.S. and Europe during 2001-09. The results show that banks with weaker structural liquidity and higher leverage in the pre-crisis period were more likely to fail afterward. The likelihood of bank failure also increases with bank risk-taking. In the cross-section, the smaller domestically-oriented banks were relatively more vulnerable to liquidity risk, while the large crossborder banks were more susceptible to solvency risk due to excessive leverage. The results support the proposed Basel III regulations on structural liquidity and leverage, but suggest that emphasis should be placed on the latter, particularly for the systemically-important institutions. Macroeconomic and monetary conditions are also shown to be related with the likelihood of bank failure, providing a case for the introduction of a macro-prudential approach to banking regulation.

Based on a novel dataset for 52 countries for the period 1970 to the present, we analyze the use ... more Based on a novel dataset for 52 countries for the period 1970 to the present, we analyze the use and cyclical properties of reserve requirements as a macroeconomic stabilization tool and whether reserve requirement policy (RRP) substitutes or complements monetary policy. We …nd that (i) more than 50 percent of developing countries have used RRP as a macroeconomic tool compared to no industrial country; (ii) 74 percent of developing countries use RRP counteryclically compared to just 38 percent that have engaged in countercyclical monetary policy; and (iii) in most developing countries, RRP has substituted monetary policy as a countercyclical tool. We interpret the latter …nding as re ‡ecting the reluctance of many emerging markets to reduce interest rates in bad times for fear of letting their currency depreciate rapidly or raising interest rates in good times for fear of attracting even more capital in ‡ows.

SSRN Electronic Journal, 2012

After the 2007-2009 global financial crisis and previous financial crises in Latin America, the l... more After the 2007-2009 global financial crisis and previous financial crises in Latin America, the liquidity-risk exposure of banking systems is considered one of the most important vulnerabilities. At the same time, that exposure may also be the most mysterious of those vulnerabilities, as the dimensions of this risk are not yet well understood and good metrics have not been available. This goal of this paper is to provide a thorough review of previous contributions and to develop a set of measures of systemic liquidity-risk exposure of banking systems, with a focus on Latin American and Caribbean economies.

Policy Research Working Papers, 2013

Policy Research Working Papers, 2014

SSRN Electronic Journal, 2012