Peer-Reviewed Publications

• "The credit-to-GDP gap revisited: A link to instability measures" (with Diego Winkelried)

[Finance Research Letters, Vol. 106, September 2026, 110255] [SSRN WP 5579890, October 2025]

Basel III designates the credit-to-GDP gap, derived from a one-sided Hodrick–Prescott filter, as a baseline early-warning indicator in macroprudential policy. We show that the gap has a direct connection to instability tests applied to the credit-to-GDP ratio: its transfer function links the gap to statistics that signal periods of accelerating growth or contraction. This perspective clarifies the detrending mechanics of the one-sided filter and reveals that, in practice, the gap is nearly indistinguishable from the cumulative sum of the recursive residuals of credit-to-GDP changes. The reinterpretation enhances transparency and interpretability, supporting clearer communication in macroprudential frameworks. An empirical illustration using data for selected advanced economies corroborates the close alignment, suggesting that a cumulative sum indicator may serve as a practical complement—or even substitute—for the HP-based gap in monitoring exercises.

• "Fooled by the cycle: Permanent versus cyclical improvements in social indicators" (with Luciana Galeano, Luis Morano, Jorge Puig, Daniel Riera-Crichton, Carlos Vegh, Lucila Venturi, and Guillermo Vuletin).

[Journal of International Money and Finance, Vol. 127, October 2022, 102670] [World Bank WP 10115, June 2022] [NBER WP 26199, August 2019] 

This paper studies the time series behavior of a set of widely-used social indicators and uncovers two important stylized facts. First, not all social indicators are created equal in terms of the importance of cyclical fluctuations. While some social indicators such as the unemployment rate and monetary poverty show large cyclical fluctuations, other social measures such as the Human Development Index are, by construction, dominated by long-run trends. Second, interestingly, yet not surprisingly, a large part of the cyclical fluctuations in social indicators can be explained by cyclical changes in income (proxied by real GDP per capita). For this reason, countries with large cyclical income volatility exhibit, in turn, large cyclical changes in some of these social indicators (particularly in those indicators that are more prone to cyclical fluctuations). Since cyclical income volatility is much larger in the developing world, these two critical stylized facts raise fundamental issues regarding the duration of improvements in social indicators (like the ones observed in many developing countries during the last commodity super-cycle). After a detailed conceptual and methodological discussion of these issues, and relying on a global sample of industrial and developing countries, we dig deeper into the importance of cyclical versus permanent components by extending the seminal contribution of Datt and Ravallion (1992). In particular, we show that more than 40 percent of the fall in monetary poverty observed in Latin America and the Caribbean during the so-called Golden Decade can be attributed to cyclical changes in income. While in principle universal, our concerns are particularly relevant in the developing world where, compared to developed countries, output volatility is larger and driven, to a large extent, by external factors (such as commodity prices).

Working Papers

• "We are not in a Gaussian world anymore: Implications for the composition of official foreign assets" (with Juan Pablo Medina, Daniel Riera-Crichton, Carlos Vegh, and Guillermo Vuletin).

[Submitted] [Latest version, September 2025] [NBER WP 33366, January 2025]

After the 1997–98 Asian crisis, emerging markets accumulated reserves exceeding standard predictions while making little use of state-contingent assets—a "self-insurance puzzle." A second puzzle is that theory predicts modest welfare gains from financial liberalization despite unprecedented globalization. We show both puzzles are solvable once models admit rare macroeconomic disasters from fat-tailed income risk. Using output for 156 countries, we estimate a power-law distribution capturing low-probability, high-impact events and embed it in an open economy with contingent and non-contingent assets. Disaster risk multiplies financial integration’s welfare gains and sharply raises precautionary reserves—even with conventional levels of risk aversion.

Additional work:

• "Structural fiscal policy cyclicality and episodic deviations" (with Javier Garcia-Cicco, Gaston Marinelli, and Guillermo Vuletin) (Work in Progress)

• "How synchronous will real GDP per capita trend developments be in the upcoming years?" (Work in Progress)

• "Credit growth dynamics and banking crises" (with Diego Winkelried) [SBS WP DT042015]

Policy Reports

• "Effects of the business cycle on social indicators in Latin America and the Caribbean: When dreams meet reality" (with Carlos Vegh, Guillermo Vuletin, Daniel Riera-Crichton, Jorge Puig, Luciana Galeano, Luis Morano, and Lucila Venturi) [World Bank LAC Semiannual Report, April 2019]

• "Fiscal adjustment in Latin America and the Caribbean: Short-run pain, long-run gain?" (with Carlos Vegh, Guillermo Vuletin, Daniel Riera-Crichton, Diego Friedheim, and Luis Morano) [World Bank LAC Semiannual Report, April 2018]

Universidad del Pacífico (Lima, Peru)

• Financial Analysis (Undergraduate Instructor, 2016)

• Informatics for Economists (Undergraduate Instructor, 2015-16)

• Advanced Econometrics Fundamentals (Graduate Teaching Assistant, 2015)

• Econometrics II (Undergraduate Teaching Assistant, 2012)

• Macroeconomics III (Undergraduate Teaching Assistant, 2011-14)