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No-linealidades y asimetrías en el crédito peruano

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  • Bazán, Walter

    ()
    (Universidad de San Martín de Porres)

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    Abstract

    En este trabajo se identifica las no-linealidades y asimetrías del ciclo del crédito bancario para Perú en el periodo 1994 - 2010. Estas características del crédito son importantes porque los lineamientos de política monetaria, la regulación financiera y el planeamiento estratégico de los bancos dependen del estado de la economía. Para tal fin, se utiliza dos modelos de cambio de régimen, LSTAR y Markov Switching. Tanto el modelo LSTAR como Markov Switching identifican el estado de contracción para los años 1999-2004. Para estos años, la probabilidad de transición hacia el estado de contracción aumenta, lo que guarda relación con el traspaso recesivo de las crisis financieras internacionales. Los resultados muestran que el crédito tiene una mayor severidad en el régimen expansivo que en el contractivo, no tiene una memoria larga y tiene un ajuste relativamente rápido frente a diversos tipos de choques.

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    File URL: http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2011/Documento-de-Trabajo-15-2011.pdf
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    Bibliographic Info

    Paper provided by Banco Central de Reserva del Perú in its series Working Papers with number 2011-015.

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    Date of creation: Sep 2011
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    Handle: RePEc:rbp:wpaper:2011-015

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    Keywords: Regímenes; crédito; producto; Markov switching; LSTAR;

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