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Papers by Tamara Burdisso

The Stata Journal: Promoting communications on statistics and Stata, 2016

In this article, we discuss the econometric treatment of macropanels, also known as panel time se... more In this article, we discuss the econometric treatment of macropanels, also known as panel time series. This new approach rejects the assumption of slope homogeneity and handles nonstationarity. It also recognizes that cross-section dependence (that is, some correlation structure in the error term between units due to unobservable common factors) squanders efficiency gains by operating with a panel. This approach uses a new set of estimators known in the literature as the common correlated effect, which essentially consists of increasing the model to be fit by adding the averages of the individuals in each time t, of both the dependent variable and the specific regressors of each individual. We present two commands developed for the evaluation and treatment of cross-section dependence.

Using data from the Argentine Central Banks ’ Central de Deudores, we study bank lending to SMEs ... more Using data from the Argentine Central Banks ’ Central de Deudores, we study bank lending to SMEs and to larger firms over the period July 1998 to 2000. We consider three definitions of SMEs: system wide debt of less than $2.5 million, less than 200 workers, and a bivarate definitions that combines those two ones. We compare lending to SMEs by banks in groups determined by geographical and ownership characteristics and find little bias against SMEs from bank consolidation or from increased international ownership. We did find that during the business downturn delimited by our data, that large firm borrowing crowded out SMEs in the early period and government borrowing crowded out private borrowing over the whole period. Credit quality of bank portfolios has been worse than portfolios of larger firms and has worsened during the downturn. Portfolios of government owned banks have had worse credit quality than private banks for both small and large firms. JEL Classification: G21, E51

* Este documento es el resultado del trabajo realizado por los autores conjuntamente con el Sr. R... more * Este documento es el resultado del trabajo realizado por los autores conjuntamente con el Sr. Robert Kirchner, Head of Section on Short-term Economic Statistics del Deutsche Bundesbank, en abril 2008, dentro del Programa de Investigadores Visitantes del que dispone la Subgerencia General de Investigaciones Económicas del BCRA. Los autores agradecen los valiosos aportes y comentarios de Horacio Aguirre,

Incertidumbre y dolarización de cartera: el caso argentino en el último medio siglo

Monetaria, 2011

Programa de Estudios 2009 en Econom�a Monetaria y Financiera

The Argentine banking industry has experienced,a deep restructuring process since the beginning o... more The Argentine banking industry has experienced,a deep restructuring process since the beginning of Convertibility, when the industry was opened to competition and new prudential regulations were put in place in order to improve its solvency. Jointly with a dramatic increase in banking output, prompted by macroeconomic stability, the number of firms operating in the industry declined significantly. We analyze

El caso argentino en el último medio siglo Tamara Burdisso* BCRA, UBA, UNLP Eduardo Ariel Corso B... more El caso argentino en el último medio siglo Tamara Burdisso* BCRA, UBA, UNLP Eduardo Ariel Corso BCRA, UBA

Documento de Trabajo Nro, 1998

Ensayos Economicos, 2006

B Ba an nc co o C Ce en nt tr ra al l d de e l la a R Re ep poe oeb bl li ic ca a A Ar rg ge en n... more B Ba an nc co o C Ce en nt tr ra al l d de e l la a R Re ep poe oeb bl li ic ca a A Ar rg ge en nt ti in na a i ie e | | I In nv ve es st ti ig ga ac ci io on ne es s E Ec co on n--m mi ic ca as s AgostoPag.Web: www.bcra.gov.ar Las opiniones vertidas en este trabajo son exclusiva responsabilidad de los autores y no reflejan necesariamente la posici-n del Banco Central de la Repoeblica Argentina. La serie Documentos de Trabajo del BCRA est ‡ compuesta por material preliminar que se hace circular con el prop-sito de estimular el debate acadŽmico y recibir comentarios. Toda referencia que desee efectuarse a estos Documentos deber ‡ contar con la autorizaci-n del o los autores.

Using data from the Argentine Central Banks' Central de Deudores, we study bank lending to SMEs a... more Using data from the Argentine Central Banks' Central de Deudores, we study bank lending to SMEs and to larger firms over the period July 1998 to 2000. We consider three definitions of SMEs: system wide debt of less than $2.5 million, less than 200 workers, and a bivarate definitions that combines those two ones.

The Argentine banking industry has experienced a deep restructuring process since the beginning o... more The Argentine banking industry has experienced a deep restructuring process since the beginning of Convertibility, when the industry was opened to competition and new prudential regulations were put in place in order to improve its solvency. Jointly with a dramatic increase in banking output, prompted by macroeconomic stability, the number of firms operating in the industry declined significantly.

After more than ten years under a Currency Board regime, successful in abating inflation and ensu... more After more than ten years under a Currency Board regime, successful in abating inflation and ensuring macroeconomic and financial stability, in January 2002, the country was forced to abandon the " Convertibilidad" and moved to a floating exchange regime. Is this twin crisis different from those experienced by Argentina in 1995 or earlier in the 1980's? A remarkable difference from past experiences was the apparent strength of the Argentine Financial System, as a consequence of deliberate and systematic process of reforms that put its regulatory framework close to those of developed countries. However, the crisis revealed two sources of financial fragility ´probably underestimated during the good times. First, the combination of a currency board regime and highly dollarized banks' balance sheets implied a solvency risk for the financial system in case the economy had to adjust to a shock either trough a nominal devaluation or a deflationary process. The other hidden risk for the financial system was the non regulated exposure of banks to sovereign risk.

Credit vs. Payment Services: Financial Development and Economic Activity Revisited

Documentos De Trabajo, May 1, 2013

Ensayos Economicos, 2011

Using data from the Argentine Central Banks' Central de Deudores, we study bank lending to SM... more Using data from the Argentine Central Banks' Central de Deudores, we study bank lending to SMEs and to larger firms over the period July 1998 to 2000. We consider three definitions of SMEs: system wide debt of less than $2.5 million, less than 200 workers, and a bivarate definitions that combines those two ones. We compare lending to SMEs by banks in groups determined by geographical and ownership characteristics and find little bias against SMEs from bank consolidation or from increased international ownership. We did find that during the business downturn delimited by our data, that large firm borrowing crowded out SMEs in the early period and government borrowing crowded out private borrowing over the whole period.

The role of the exchange rate under inflation targeting (IT) remains an unresolved issue in liter... more The role of the exchange rate under inflation targeting (IT) remains an unresolved issue in literature and policy discussions -and a challenge for central banks implementing IT, especially in developing countries. This paper aims at assessing whether there is a relation between the nominal exchange rate regime and inflation performance in IT countries. We use a panel of 22 countries

The presence of seasonal fluctuations (regular behavior along the year related to weather or inst... more The presence of seasonal fluctuations (regular behavior along the year related to weather or institutional factors) invalidates monthly (quarterly) comparisons. In turn, since inter-annual variations depend on the comparison basis being used, they could provide very little information to the short-term analysis. The purpose of this document is, on the one hand, to underline the need of using time series