Alvarez, Fernando 1964
Overview
Works: 
116
works in
270
publications in
1
language and
2,137
library holdings

Roles: 
Author

Classifications: 
HF5681.B2,
657.3 
Most widely held works by
Fernando Alvarez
Financial statement analysis a practitioner's guide by Martin S Fridson (
Book
)
17
editions published
between
2002
and
2011
in
English
and held by
792
libraries
worldwide
"An updated guide to the essential discipline of financial statement analysis. In Financial Statement Analysis, Fourth Edition, leading investment authority Martin Fridson returns with Fernando Alvarez to provide the analytical framework you need to scrutinize financial statements, whether you're evaluating a company's stock price or determining valuations for a merger or acquisition. This fully revised and uptodate Fourth Edition offers fresh information that will help you to evaluate financial statements in today's volatile markets and uncertain economy, and allow you to get past the sometimes biased portrait of a company's performance. Reflects changes in the financial reporting landscape, including issues related to the financial crisis of 20082009. Provides guidelines on how to interpret balance sheets, income statements, and cash flow statements. Offers information for maximizing the accuracy of forecasts and a structured approach to credit and equity evaluation. Filled with reallife examples and expert advice, Financial Statement Analysis, Fourth Edition will help you gain a firm understanding of the techniques that will help you interpret financial statements, which are designed to conceal more than reveal."
Asset pricing when risk sharing is limited by default by Fernando Alvarez (
Book
)
11
editions published
in
1998
in
English
and held by
93
libraries
worldwide
Abstract: We study the asset pricing implications of a multiagent endowment economy where agents can default on contracts that would leave them otherwise worse off. We specialize and extend the environment studied by Kocherlakota (1995) and Kehoe and Levine (1993) to make it comparable to standard studies of asset pricing. We make contributions along two fronts. First, we extend the characterization of efficient allocations. Second, we present an equilibrium concept with complete markets and with endogenous solvency constraints. These solvency constraints are such as to prevent default at the cost of reduced risk sharing. We show a version of the classical welfare theorems for this equilibrium definition. We characterize the pricing kernel, and compare it to the one for economies without participation constraints: interest rates are lower and risk premia can be bigger depending on the covariance of the idiosyncratic and aggregate shocks. We show that those agents whose endowment is very similar to the aggregate endowment are irrelevant for asset pricing. In a quantitative example, for reasonable parameter values, the relevant marginal rates of substitution fall within the HansenJagannathan bounds
Quantitative asset pricing implications of endogenous solvency constraints by Fernando Alvarez (
Book
)
6
editions published
in
1999
in
English
and held by
87
libraries
worldwide
Abstract: We study the asset pricing implications of an economy where solvency constraints are determined to efficiently deter agents from defaulting. We present a simple example for which efficient allocations and all equilibrium elements are characterized analytically. The main model produces large equity premia and risk premia for long term bonds with low risk aversion and a plausibly calibrated income process. We characterize the deviations from independence of aggregate and individual income uncertainty that produce equity and term premia
Money and interest rates with endogeneously segmented markets by Fernando Alvarez (
Book
)
5
editions published
in
1999
in
English
and held by
84
libraries
worldwide
Abstract: This paper analyses the effects of open market operations on interest rates in a model in which agents must pay a fixed cost to exchange assets and cash. Asset markets are endogenously segmented in that some agents choose to pay the fixed cost and some do not. When the fixed cost is zero, the model reduces to the standard one in which persistent money injections increase interest rates, flatten the yield curve, and lead to a downwardsloping yield curve on average. In contrast sufficiently segmented, then persistent money injections decrease nominal interest rates, steepen or even twist the yield curve, and lead to an upwardsloping yield curve on average
Money, interest rates, and exchange rates with endogenously segmented asset markets by Fernando Alvarez (
Book
)
6
editions published
in
2000
in
English
and held by
81
libraries
worldwide
Abstract: This paper analyzes the effects of money injections on interest rates and exchange rates in a model in which agents must pay a BaumolTobin style fixed cost to exchange bonds and money. Asset markets are endogenously segmented because this fixed cost leads agents to trade bonds and money only infrequently. When the government injects money through an open market operation, only those agents that are currently trading absorb these injections. Through their impact on these agents' consumption, these money injections affect real interest rates and real exchange rates. We show that the model generates the observed negative relation between expected inflation and real interest rates. With moderate amounts of segmentation, the model also generates other observed features of the data: persistent liquidity effects in interest rates and volatile and persistent exchange rates. A standard model with no fixed costs can produce none of these features
Money and exchange rates in the GrossmanWeissRotemberg model by Fernando Alvarez (
Book
)
4
editions published
in
1996
in
English
and held by
74
libraries
worldwide
Abstract: We examine the impact of monetary injections in the GrossmanWeissRotemberg Model and show that monetary shocks can lead to nominal exchange rates that are more volatile than inflation, money growth or interest rate differentials. Moreover, movements in real exchange rates following monetary injections can be persistent and nearly as large as movements in nominal exchange rates nominal exchange rates
The size of the permanent component of asset pricing kernels by Fernando Alvarez (
Book
)
4
editions published
in
2001
in
English
and held by
65
libraries
worldwide
Abstract: We derive a lower bound for the size of the permanent component of asset pricing kernels. The bound is based on return properties of longterm zerocoupon bonds, riskfree bonds, and other risky securities. We find the permanent component of the pricing kernel to be very large; its volatility is about 100% of the volatility of the stochastic discount factor. This result implies that, if the pricing kernel is a function of consumption, innovations to consumption need to have permanent effects
Using asset prices to measure the cost of business cycles by Fernando Alvarez (
Book
)
6
editions published
in
2000
in
English
and held by
65
libraries
worldwide
Abstract: We propose a method to measure the welfare cost of economic fluctuations that does not require full specification of consumer preferences and instead uses asset prices. The method is based on the marginal cost of consumption fluctuations, the per unit benefit of a marginal reduction in consumption fluctuations expressed as a percentage of consumption. We show that this measure is an upper bound for the benefit of reducing all consumption fluctuations. We also clarify the link between the cost of consumption uncertainty, the equity premium, and the slope of the real term structure. To measure the marginal cost of fluctuations, we fit a variety of pricing kernels that reproduce key asset pricing statistics. We find that consumers would be willing to pay a very high price for a reduction in overall consumption uncertainty. However, for consumption fluctuations corresponding to business cycle frequencies, we estimate the marginal cost to be about 0.55% of lifetime consumption based on the period 18891997 and about 0.30% based on 195497
On the sluggish response of prices to money in an inventorytheoretic model of money demand by Fernando Alvarez (
Book
)
3
editions published
in
2003
in
English
and held by
61
libraries
worldwide
"We exposit the link between money, velocity and prices in an inventorytheoretic model of the demand for money and explore the extent to which such a model can account for the shortrun volatility of velocity, the negative correlation of velocity and the ratio of money to consumption, and the resulting stickiness' of the aggregate price level relative to a benchmark model with constant velocity. We find that an inventorytheoretic model of the demand for money is a natural framework for understanding these aspects of the dynamics of money, velocity and prices in the short run"NBER website
General equilibrium analysis of the EatonKortum model of international trade by Fernando Alvarez (
file
)
3
editions published
in
2005
in
English
and held by
59
libraries
worldwide
"We study a variation of the EatonKortum model, a competitive, constantreturnstoscale multicountry Ricardian model of trade. We establish existence and uniqueness of an equilibrium with balanced trade where each country imposes an import tariff. We analyze the determinants of the crosscountry distribution of trade volumes, such as size, tariffs and distance, and compare a calibrated version of the model with data for the largest 60 economies. We use the calibrated model to estimate the gains of a worldwide trade elimination of tariffs, using the theory to explain the magnitude of the gains as well as the differential effect arising from crosscountry differences in preliberalization of tariffs levels and country size"National Bureau of Economic Research web site
Fixedterm employment contracts in an equilibrium search model by Fernando Alvarez (
file
)
5
editions published
between
2005
and
2006
in
English
and held by
50
libraries
worldwide
This paper analyzes the effects of fixedterm contracts using a version of the Lucas and Prescott island model with undirected search. A fixedterm contract of length J is modeled as a tax on separations of workers with tenure higher than J . While in principle these policies require a very large state space to analyze the firms and households' problems, we show that equilibrium allocations solve a simple dynamic programming problem. Analyzing this problem we show that equilibrium employment dynamics are characterized by two dimensional inaction sets. Finally, to understand the effect of these contracts, we compare them with two extreme cases: for J = 1 the fixedterm contracts are equivalent to the case of firing taxes, and for large J they are equivalent to the laissezfaire case. In a calibrated version of the model, we find that temporary contracts with J equivalent to three years length close about half of the gap between those two extremes
Price setting with menu cost for multiproduct firms by Fernando Alvarez (
file
)
6
editions published
in
2012
in
English
and held by
41
libraries
worldwide
We model the decisions of a multiproduct firm that faces a fixed "menu" cost: once it is paid, the firm can adjust the price of all its products. We characterize analytically the steady state firm's decisions in terms of the structural parameters: the variability of the flexible prices, the curvature of the profit function, the size of the menu cost, and the number of products sold. We provide expressions for the steady state frequency of adjustment, the hazard rate of price adjustments, and the size distribution of price changes, all in terms of the structural parameters. We study analytically the impulse response of aggregate prices and output to a monetary shock. The size of the output response and its duration increase with the number of products, they more than double as the number of products goes from 1 to ten, quickly converging to the ones of Taylor's staggered price model
Persistent liquidity effects and long run money demand by Fernando Alvarez (
file
)
4
editions published
in
2011
in
English
and held by
40
libraries
worldwide
We present a monetary model in the presence of segmented asset markets that implies a persistent fall in interest rates after a once and for all increase in liquidity. The gradual propagation mechanism produced by our model is novel in the literature. We provide an analytical characterization of this mechanism, showing that the magnitude of the liquidity effect on impact, and its persistence, depend on the ratio of two parameters: the longrun interest rate elasticity of money demand and the intertemporal substitution elasticity. At the same time, the model has completely classical longrun predictions, featuring quantity theoretic and Fisherian properties. The model simultaneously explains the shortrun "instability" of money demand estimates aswellas the stability of longrun interestelastic money demand
Optimal price setting with observation and menu costs by Fernando Alvarez (
file
)
4
editions published
in
2010
in
English
and held by
40
libraries
worldwide
We model the optimal price setting problem of a firm in the presence of both information and menu costs. In this problem the firm optimally decides when to collect costly information on the adequacy of its price, an activity which we refer to as a price "review". Upon each review, the firm chooses whether to adjust its price, subject to a menu cost, and when to conduct the next price review. This behavior is consistent with recent survey evidence documenting that firms revise prices infrequently and that only a few price revisions yield a price adjustment. The goal of the paper is to study how the firm's choices map into several observable statistics, depending on the level and relative magnitude of the information vs the menu cost. The observable statistics are: the frequency of price reviews, the frequency of price adjustments, the sizedistribution of price adjustments, and the shape of the hazard rate of price adjustments. We provide an analytical characterization of the firm decisions and a mapping from the structural parameters to the observable statistics. We compare these statistics with the ones obtained for the models with only one type of cost. The predictions of the model can, with suitable data, be used to quantify the importance of the menu cost vs. the information cost. We also consider a version of the model where several price adjustment are allowed between observations, a form of price plans or indexation. We find that no indexation is optimal for small inflation rates
Durable consumption and asset management with transaction and observation costs by Fernando Alvarez (
file
)
6
editions published
in
2010
in
English
and held by
39
libraries
worldwide
The empirical evidence on rational inattention lags far behind the theoretical developments: micro evidence on the most immediate consequence of observation costs  the infrequent observation of state variables  is not available in standard datasets. We contribute to filling the gap with two novel household surveys that record the frequency with which investors observe the value of their financial investments, as well as the frequency with which they trade in financial assets and durable goods. We use these data to test some predictions of existing models and show that to match the patterns in the data we need to modify these models by shifting the focus from nondurable to durable consumption. The model we develop features both observation and transaction costs and implies a mixture of timedependent and statedependent rules, where the importance of each rule depends on the ratio of the observation to the transaction cost. Numerical simulations show that the model can produce frequency of portfolio observations and asset trading comparable to that of the median investor (about 4 and 0.4 per year, respectively) with small observation costs (about 1 basis point of financial wealth) and larger transaction costs (about 30 basis points of financial wealth). In spite of its small size the observation cost gives rise to infrequent information gathering (between monthly and quarterly). A quantitative assessment of the relevance of the observation costs shows that the behavior of investors is essentially unchanged compared to the one produced by a model with transaction but no observation cost. We test a novel prediction of the model on the relationship between assets trades and durablegoods trades and find that it is aligned with the data
Timevarying risk, interest rates, and exchange rates in general equilibrium by Fernando Alvarez (
Book
)
8
editions published
between
2003
and
2008
in
English
and held by
36
libraries
worldwide
Models of idea flows by Fernando Alvarez (
file
)
3
editions published
in
2008
in
English
and held by
35
libraries
worldwide
This paper introduces several variations of the Eaton and Kortum (1999) model of technological change and characterizes their long run implications. Both exogenous and endogenous growth examples are studied
Search and rest unemployment by Fernando Alvarez (
file
)
2
editions published
in
2008
in
English
and held by
34
libraries
worldwide
This paper extends Lucas and Prescott's (1974) search model to develop a notion of rest unemployment. The economy consists of a continuum of labor markets, each of which produces a heterogeneous good. There is a constant returns to scale production technology in each labor market, but labor productivity is continually hit by idiosyncratic shocks, inducing the costly reallocation of workers across labor markets. Under some conditions, some workers may be restunemployed, waiting for local labor market conditions to improve, rather than engaged in time consuming search. The model has distinct notions of unemployment (moving to a new labor market or waiting for labor market conditions to improve) and inactivity (enjoying leisure while disconnected from the labor market). We obtain closedform expressions for key aggregate variables and use them to evaluate the model. Quantitatively, we find that in the U.S. economy many more people may be in rest unemployment than in search unemployment
Financial innovation and the transactions demand for cash by Fernando Alvarez (
file
)
4
editions published
in
2007
in
English
and held by
33
libraries
worldwide
We document cash management patterns for households that are at odds with the predictions of deterministic inventory models that abstract from precautionary motives. We extend the BaumolTobin cash inventory model to a dynamic environment that allows for the possibility of withdrawing cash at random times at a low cost. This modification introduces a precautionary motive for holding cash and naturally captures developments in withdrawal technology, such as the increasing diffusion of bank branches and ATM terminals. We characterize the solution of the model and show that qualitatively it is able to reproduce the empirical patterns. Estimating the structural parameters we show that the model quantitatively accounts for key features of the data. The estimates are used to quantify the expenditure and interest rate elasticity of money demand, the impact of financial innovation on money demand, the welfare cost of inflation, the gains of disinflation and the benefit of ATM ownership
The demand of liquid assets with uncertain lumpy expenditures by Fernando Alvarez (
file
)
3
editions published
in
2012
in
English
and held by
30
libraries
worldwide
We consider an inventory model for a liquid asset where the perperiod net expenditures have two components: one that is frequent and small and another that is infrequent and large. We give a theoretical characterization of the optimal management of liquid asset as well as of the implied observable statistics. We use our characterization to interpret some aspects of households' currency management in Austria, as well as the management of demand deposits by a large sample of Italian investors  National Bureau of Economic Research web site
more
fewer

Alternative Names
Álvarez, F. Álvarez, F. Fernando Álvarez Herrero Álvarez, Fernando Álvarez, Fernando Álvarez Herrero Alvarez, Fernando E. 1964 Alvarez, Fernando Enrique 1964 Alvarez Garrido, Fernando 1964 Álvarez Herrero, F.
Languages
Covers
