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Midiendo la Exposición a la Incertidumbre Cambiaria en Entidades Bancarias

Author

Listed:
  • Saulo Mostajo Castelú

    (Universidad Privada Boliviana)

Abstract

El trabajo de investigación pretende aproximar los efectos de la incertidumbre cambiaria al interior de la hoja de balance de una entidad bancaria, bajo la premisa de que el banco asumirá los efectos de la incertidumbre percibida por los depositantes de acuerdo a la exposición generada por las divisas que administra. La exposición a la incertidumbre cambiaria supone efectos intertemporales en la posición de liquidez del banco, relación dinámica que se aproxima por medio de funciones impulso-respuesta generadas a partir de la especificación de modelos de vectores autorregresivos y proyecciones locales.

Suggested Citation

  • Saulo Mostajo Castelú, 2018. "Midiendo la Exposición a la Incertidumbre Cambiaria en Entidades Bancarias," Investigación & Desarrollo 0318, Universidad Privada Boliviana, revised Nov 2018.
    • Handle: RePEc:iad:wpaper:0318
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    File URL: http://www.upb.edu/RePEc/iad/wpaper/0318.pdf
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    More about this item

    Keywords

    Riesgo Cambiario; Riesgo de Balance; Incertidumbre; Vectores Autoregresivos; Proyecciones Locales.;
    All these keywords.

    JEL classification:

    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies

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