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Cartera morosa en moneda extranjera y tipo de cambio real: Evidencia para el Perú, 2003-2018

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Listed:
  • Lahura, Erick
  • Espino, Freddy

Abstract

El objetivo de esta investigación es evaluar empíricamente si cambios no esperados en el tipo de cambio real tienen efecto sobre la cartera morosa en moneda extranjera. Para ello, se estima la respuesta dinámica de la cartera morosa en moneda extranjera ante choques exógenos en el tipo de cambio real a partir de modelos vectores autorregresivos, en los cuales los choques cambiarios se identifican de forma recursiva y estructural. Los resultados muestran que ante una mayor depreciación real de la moneda local, la cartera morosa en moneda extranjera aumenta por tipo de crédito (empresas, consumo e hipotecario) y a nivel agregado, alcanzando su efecto máximo entre 7 y 10 meses luego de ocurrido el choque cambiario. Además, se encuentra que la cartera morosa de las empresas es la que registra el mayor aumento.

Suggested Citation

  • Lahura, Erick & Espino, Freddy, 2019. "Cartera morosa en moneda extranjera y tipo de cambio real: Evidencia para el Perú, 2003-2018," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 37, pages 31-48.
    • Handle: RePEc:rbp:esteco:ree-37-02
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    References listed on IDEAS

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    More about this item

    Keywords

    Tipo de cambio real; cartera morosa; VAR;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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