Alfonso Irarrazabal

Mathematics and Financial Economics Doi: https://doi.org/10.1007/s11579-026-00418-5

Quantitative finance (Print) 23(3) s. 471-495 Doi: https://doi.org/10.1080/14697688.2022.2158918

This paper studies the dynamic asset allocation problem faced by an infinitively lived commodity-based sovereign wealth fund under incomplete markets. Assuming that the fund receives a non-tradable stream of commodity revenues until a predetermined date, the optimal consumption and investment strategies are state and time-dependent. Using data from the Norwegian Petroleum Fund, we find that the optimal demand for equity should decrease gradually from 60% to 40% over the next 60 years. However, the solution is particularly sensitive to the correlation between oil and stock price changes. We also estimate wealth-equivalent welfare losses, relative to the optimal rule, when following alternative suboptimal investment rules.

The Economic Journal 131(640) s. 3338-3364 Doi: https://doi.org/10.1093/ej/ueab021

Energy Economics 70 s. 98-115 Doi: https://doi.org/10.1016/j.eneco.2017.11.009

We estimate a dominant firm-competitive fringe model for the crude oil market using quarterly data on oil prices for the 1986–2016 period. The estimated structural parameters have the expected signs and are significant. We find that OPEC exercised market power during the sample period. Counterfactual experiments indicate that world GDP is the main driver of long-run oil prices. However, supply (depletion) factors have become more important in recent years.

Review of economic dynamics 18(3) s. 523-550 Doi: https://doi.org/10.1016/j.red.2014.09.008

The Chilean economy experienced a decade of sustained growth in aggregate output and productivity after the 1982 nancial crisis. This paper analyzes the role of allocative e¢ ciency on total factor productivity (TFP) in the manufacturing sector by applying the methodology of Hsieh and Klenow (2009) to establishment data from the Chilean manu- facturing census. We nd that a reduction in resource misallocation accounts for about 40 percent of the growth in manufacturing TFP between 1983 and 1996. In particular, a reduc- tion in the least productive plants implicit output subsidies is the primary reason for the reduction in resource misallocation during this period. Moreover, these plants enjoyed above industry-average growth in physical productivity, contributing to the overall improvement in e¢ cient TFP after the nancial crisis. Our evidence suggests that Chile s banking reform during the early and mid-1980s is likely to have played an important role in the observed improvement in allocative e¢ ciency.

2014 International Conference on Commodity Markets

London School of Economics, staff seminar

Politics, Economics and Global Governance: The European Dimensions