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Un método de Cálculo y Temporización de Previsiones Cíclicas para el Sistema Financiero Boliviano
[The calculation and timing of cyclical provisions in the Bolivian financial system]

Author

Listed:
  • Gonzales-Martínez, Rolando
  • Hurtado, Enrique
  • Valdivia, Pedro

Abstract

The constitution of cyclical provisions is related to the effects of latent credit risk in the financial institutions, a risk that materializes during an economic downturn. This study proposes a method both to calculate the amount of cyclical provisions and to estimate the timing of this type of provisions. The calculation is based on the optimization of a partitioned matrix that contains the optimal combinations of percentages of cyclical provisions for each category of risk and for every type of credit. The timing depends upon an indicator that reflects the quality of the credit portfolio in the financial institutions across time.

Suggested Citation

  • Gonzales-Martínez, Rolando & Hurtado, Enrique & Valdivia, Pedro, 2008. "Un método de Cálculo y Temporización de Previsiones Cíclicas para el Sistema Financiero Boliviano [The calculation and timing of cyclical provisions in the Bolivian financial system]," MPRA Paper 14120, University Library of Munich, Germany, revised Feb 2009.
    • Handle: RePEc:pra:mprapa:14120
    as

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    References listed on IDEAS

    as
    1. Hildergart Ahumada & Lorena Garegnani, 1999. "Hodrik – Prescott filter in practice," Económica, Instituto de Investigaciones Económicas, Facultad de Ciencias Económicas, Universidad Nacional de La Plata, vol. 0(4), pages 61-76.
    2. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    3. Santiago Fernández de Lis & Jorge Martínez Pagés & Jesús Saurina, 2001. "Credit growth, problem loans and credit risk provisioning in Spain," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 331-353, Bank for International Settlements.
    4. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    regulación financiera; previsiones cíclicas; ciclos económicos; riesgo de crédito;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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