Sistema Regional de Información
en línea para Revistas Científicas de América Latina,
el Caribe, España y Portugal

The goal of this work is to use basic tools of actuarial analysis to prove for the first time that the cost of financing pure defined-benefit scheme is equal to that of a pure defined-contribution scheme whenever these plans grant equal benefits in terms of the amount and conditions to obtain them, and it is calculated using the same financial and biometric hypothesis.We state our results in terms of an individual computation and of a group model (for in the second case, the defined-benefit scheme requires the calculation of a general average premium); and in both scenarios, we study the possibility of an early retirement with full and partial portability.Our overall recommendation is to drop the discussion on which scheme is more expensive. The main limitation of this research is also its greatest asset: we have proven that there is no dominance of either plan over the other when there are no other labor market distortions; which means that the discussion could be in order should we consider the presence of such disruptions.

We develop a theory and simulation analysis to calculate optimal transfers from the central government to state governments in Mexico. Our results are: First, our models show that the best predictor of intergovernmental transfers in Mexico is population density. Second, we provide estimates of optimal intergovernmental transfers to states in Mexico. Our analysis suggests using the inequality of income distribution in the social welfare function as an instrument of public policy and our estimates help to understand the advantages and disadvantages of the current transfer system. The main limitation of our work is that it does not consider political factors in the calculation of transfers. Our analysis is the first to develop estimates of intergovernmental transfers using Paretian parametric functions of regional income distribution and interregional preferences for local public spending. Our work proposes an alternative allocation of intergovernmental transfers that could improve the welfare associated with local public spending in Mexico.

A fin de determinar la suficiencia de los Capitales Mínimos Regulatorios (MCR) de Basilea IV durante crisis financieras en el mercado mexicano, se propone una simulación estructural que abarca los enfoques Estandarizado (SA) y de Modelos Internos (IMA) basada en diversas técnicas. La investigación encuentra un incremento excesivo en MCR aún en situaciones de desplomes, enfatizando que SA establece mínimos elevados, mientras que solamente los modelos ultra-leptokúrticos superan las exigentes pruebas de validación. Se recomienda adaptar los parámetros de SA a diversos escenarios, de este modo evitando innecesaria sobreconstitución de capital y, posteriormente, revisar la evaluación de IMA y su interacción con SA. Aunque los resultados detectan la necesidad de ajustes en la normativa, pruebas adicionales en más mercados podrían reforzar las derivaciones, aún considerando que el artículo se encuentra entre los pioneros al momento de analizar el comportamiento y la relación SA-IMA en los mercados emergentes latinoamericanos. Basilea IV entrega altos MCR, incluso en movimientos anormales, colocando a IMA en desventaja y desalentando su desarrollo. La adopción de coeficientes de calibración flexibles alinearía ambos enfoques, allanando su aplicación.

This paper aims to examine the impact of the Global Financial Crisis on portfolio investment flows, as well as on stock market activity. Network Theory is used to analyze structural changes of foreign portfolio investment flows (FPI) to a sample of 13 developed countries and 6 emerging Latin American countries. Additionally, using daily data from 2003 to 2015, the dynamics of returns are analyzed to test whether the US market influenced these markets or vice versa; univariate (MS-AR) and multivariate (MS-VAR) regime-switching models are used. The evidence confirms the presence of two different regimes, low volatility and a high volatility for all markets. Findings suggest strengthening local productive and financial institutions in order to anchor FPI. The MS-(V)AR study is limited to stock markets from the Americas and Europe. Previous literature has not applied the innovative and complementary methodologies employed here to analyze financial crisis impacts on FPI flows. We conclude that US financial markets keep a close financial relationship with the most important European and American countries’ stock markets, both by receiving and delivering FPI, and in addition influencing the behavior of stock indexes.

The objective of this paper is to identify the determinants of trust in government in the Latin American countries, using a cross section of average labor market and social data of the 2007-2012 period. The methodology consists of the estimation of equations based on the application of Phillips and Hansen’s cointegration least squares, using as independent variables labor market indicators, as well as those associated with public expenditures, institutional quality and others. The emphasis of this paper is to study the association between trust in government and economic and social variables. Results show that while inequality is an important determinant of trust in government, the rates of female self employment and quality employment have positive and negative impacts on trust in government. Male self and quality employment have no impacts. Citizens’ perception that government is committed to combat poverty leads to increased trust in government. This is a topic that has not received attention in the literature.The main limitation of this study is the reduced size of the sample of 18 observations. It is concluded that increasing social expenditures and reducing inequality would be conducive to higher levels of trust in the government in the Latin American countries.

This paper investigates the effects of major terrorist attacks of the last 20 years on a set of stocks listed at Latin-American stock markets. Utilizing the capital market model, we calculate abnormal returns during the day of the terror attacks for 115 stocks listed in 6 Latin-American countries. In this sense, we appreciate different reaction between countries, where Brazil, Peru, and Chile have a significant market reaction of terrorism. These results promote international diversification and the use of this loss to avoid significant capital losses. However, the results are limited by the validity of the capital market model. This paper has important implications for international investors and their investment risk management strategies. Despite the frequency of terrorist events, this is the first work that addresses a wide range of these in Latin American countries. The main conclusion is that there is a negative effect of terrorist events on Latin American markets, but this effect is mixed; there is a negative and significant impact of the US terrorist attacks and a weak and non-significant effect when the attacks occur outside the US.

(Identification of zombie companies in Mexico, impact of profitability and market share in them.)The objective is to identify zombie firms in the Mexican Stock Exchange (BMV) and determine whether market performance and competitiveness predict zombie behavior. Using the CHK method, the presence of zombie companies in Mexico was determined, additionally, a logit model determined the impact of profitability and market share them. A total of 102 BMV companies were analyzed in 2015, identifying 15 organizations with zombie characteristics. A positive effect of market share and a negative effect of profitability were found. The sample was small and the time horizon specific, therefore, for a better understanding of the phenomenon it is proposed to expand the number of organizations and use temporal analysis. This work is a pioneer in Latin America on this type of companies and corroborates the existence of this type of organizations in Mexico. Market characteristics are shown to be important predictors. Finally, zombie firms are a phenomenon to be taken into account, both for academics and for institutions to study the effects on the markets where they operate.

(Risk assessment with Data Mining: the Spanish financial system)Abstract. The objective of this work, based on Data Mining techniques, is to identify the best risk prediction method for the Spanish banking system, taking into account its specific characteristics and the economic situation of Spain during the period under study. For this purpose, first of all, fourteen ratios are defined in order to identify, in terms of risks, the situation of Spanish banks and savings banks during the period under review. Through a technique of reduction of dimensions which simplifies the interpretation of results, four latent factors are obtained on which are evaluated, together with four additional macroeconomic variables, a set of algorithms of Data Mining, being finally selected the CHAID tree, unlike previous works, in which it had never come to propose the application of techniques of Data Mining and Machine Learning in the identification of situations of risk in the Spanish banking industry. One limitation of this work has been the impossibility of incorporating regulatory variables, due that this information is confidential, otherwise, we would have been able to incorporate a new dimension in the prediction of risks.