IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Ciclo crediticio y acelerador cambiario: evidencia empírica y consecuencias para la regulación prudencial

  • Renzo Jiménez Sotelo
Registered author(s):

    En este trabajo se pone en evidencia el mecanismo amplificador que tiene la evolución del tipo de cambio sobre el ciclo crediticio en una economía con alta dolarización financiera, un mecanismo que se puede denominar «acelerador cambiario». En este contexto, la natural prociclicidad entre el ciclo económico y el ciclo crediticio pasa a un segundo plano, si es que no se esvanece. El documento desarrolla el marco teórico que sustenta el mecanismo de transmisión y muestra algunos hechos estilizados del sistema crediticio peruano. A continuación se plantea un modelo econométrico con datos de panel para estimar el efecto del acelerador cambiario sobre la evolución de la mora crediticia en las entidades del sistema. A partir de estos resultados empíricos, y bajo la filosofía de Basilea II, se discute la forma de implementar, en los bancos y demás entidades de crédito, una regulación prudencial que requiera la asignación de provisiones y de capital para el riesgo crediticio derivado del riesgo cambiario originado por los créditos en moneda extranjera. La idea básica es promover la internalización de las externalidades producidas por este factor de riesgo no diversificable.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://revistas.pucp.edu.pe/index.php/economia/article/view/587/585
    Download Restriction: no

    Article provided by Fondo Editorial de la Pontificia Universidad Católica del Perú in its journal Revista Economía.

    Volume (Year): 33 (2010)
    Issue (Month): 65 ()
    Pages: 133-176

    as
    in new window

    Handle: RePEc:pcp:pucrev:y:2010:i:65:p:133-176
    Contact details of provider: Postal: Av. Universitaria 1801, San Miguel, Lima, Perú
    Phone: 626-2000 ext. 4950
    Fax: 626-2874
    Web page: http://departamento.pucp.edu.pe/economia/
    Email:


    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:pcp:pucrev:y:2010:i:65:p:133-176. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.