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Crédito y efectos reales en Colombia 2000-2017: evidencia con microdatos

Author

Listed:
  • Martha López
  • Camilo Bohorquez-Penuela
  • Juan Esteban Carranza
  • Stefany Moreno-Burbano
  • Anderson Grajales-Olarte
  • Mauricio Pinzón Latorre
  • Jose Pulido

Abstract

Este documento estudia el ciclo del crédito en Colombia durante el período 2000 – 2017 y los principales choques que lo afectaron. Adicionalmente, se estudian los efectos sobre las variables reales de los diferentes choques. Utilizamos micro-datos de la Superintendencia Financiera, de Supersociedades y de Balanza de Pagos. Nuestros principales hallazgos son que el choque de liquidez causado por un cambio en las ponderaciones de los títulos de deuda del gobierno en dos índices de JP Morgan, en marzo de 2014, explicó cerca del 30% del incremento del crédito promedio de las firmas. El principal efecto real fue que del total del incremento en la inversión promedio de las firmas, 10% se debió a este choque de liquidez. Segundo, encontramos que el choque de liquidez originado en la crisis financiera global de octubre de 2008, con la caída de Lehman Brothers, redujo la oferta de crédito a las firmas que tenían más relación con los bancos de más expuestos al choque. Además, este choque ocasionó una caída de las exportaciones, pero las exportaciones agrícolas se vieron menos afectadas que las totales. Parte de la explicación para el comportamiento de las exportaciones agrícolas radica en la política crediticia entre 2006 y 2007 del gobierno, que dio acceso a crédito a firmas que producían productos con potencial exportador. Adicionalmente, en este período hubo un auge en los precios de los commodities. Tercero, los choques de política macroprudencial que se utilizaron para controlar el auge excesivo de crédito de 2006 – 2008 fueron efectivas. Particularmente, la política de controles a los flujos de capitales, introducida mayo de 2007, redujo en cerca del 50% el flujo de endeudamiento total de las firmas más expuestas a los controles de capitales con respecto a las menos expuestas. Los controles a los flujos de capitales también conllevaron una caída de las importaciones. Finalmente, los choques de política monetaria funcionaron a través del canal de crédito y del canal de toma de riesgo. La principal implicación de política es que en un mundo con flujos de capitales transfronterizos agudos como el actual, se hace necesaria la combinación de política monetaria y macroprudencial para estabilizar la economía. ****** ABSTRACT: This document studies the credit cycle in Colombia during the period 2000-2017 and the main shocks that affected its supply. We also study the real effects of the different shocks. We use microdata from the credit registry, supersociedades and balance of payments. Our main findings are that the liquidity shock caused by the change in the weights of the public debt of Colombia in two index of JP Morgan, in March of 2014, explained 30% of the increase in firms’ average credit The main real effect of this shock was that from the total increase in the firms’ average investment 10% was explained by the shock. Second, we found that the liquidity shock originated in the global financial crisis of October 2008, with the bankruptcy of Lehman Brothers, reduced the credit supply to firms that had more reliance on credit by banks more exposed to the shock. Besides, this shock caused a fall in exports but the impact on agricultural exports was less that the one on total exports. Part of the explanation for this performance of agricultural exports is the credit policy of the government during 2006 and 2007 that favored firms with exporting potential with some subsidies. Another explanation for this performance was the boom in commodities prices. Third, the macroprudential policy shocks used to rein in the credit boom of 2006 – 2008 were effective in this sense. Particularly the capital controls policy, introduced in May 2007, reduced in about 50% the total debt flows of firms most exposed to the capital controls compared to the less exposed. The capital controls also caused a fall in imports. Finally, monetary policy shocks worked through the credit channel and the risk-taking channel of the monetary policy transmission mechanism. The main policy implication is that in a world with a high level of capital movements, it is necessary the combination of monetary and macroprudential policy in order to stabilize the economy.

Suggested Citation

  • Martha López & Camilo Bohorquez-Penuela & Juan Esteban Carranza & Stefany Moreno-Burbano & Anderson Grajales-Olarte & Mauricio Pinzón Latorre & Jose Pulido, 2020. "Crédito y efectos reales en Colombia 2000-2017: evidencia con microdatos," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República - ESPE, issue 94, pages 1-55, April.
  • Handle: RePEc:col:000107:018103
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    Citations

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    Cited by:

    1. José Vicente Romero & Hernando Vargas & Pamela Cardozo & Andrés Murcia, 2020. "How foreign participation in the Colombian local public debt market has influenced domestic financial conditions," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial market development, monetary policy and financial stability in emerging market economies, volume 113, pages 83-119, Bank for International Settlements.

    More about this item

    Keywords

    Bank loans; government bonds; real effects; macroprudential policy; subsidies; risk-taking channel; credit channel; crédito bancario; bonos del gobierno; efectos reales; política macroprudencial; subsidios; canal de toma de riesgo; canal de crédito.;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • F38 - International Economics - - International Finance - - - International Financial Policy: Financial Transactions Tax; Capital Controls
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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