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Efecto asimétrico de la actividad económica en la liquidez del sistema financiero boliviano

Author

Listed:
  • Cachaga Herrera, Pablo

    (n/a)

  • Romero Cuevas, José Martin

    (n/a)

Abstract

El documento de investigación analiza el efecto diferenciado de la actividad económica extractiva y no extractiva sobre la liquidez del sistema financiero boliviano para el periodo comprendido entre 2000 y 2019. Considerando el quiebre estructural de la liquidez a partir de 2009, según la prueba de estacionariedad de Andrews y Zivot, el análisis distingue entre regímenes de alta y baja liquidez utilizando la “Metodología de vectores autoregresivos estructurales por umbrales”. Las funciones impulso-respuesta muestran que un shock positivo en la actividad económica genera incrementos diferenciados en el excedente de encaje según el tipo de actividad y régimen de liquidez. El análisis también permitió evidenciar mayor coherencia entre los movimientos esperados en el excedente de encaje y cambios de las variables asociadas a la política monetaria en el régimen de alta liquidez.

Suggested Citation

  • Cachaga Herrera, Pablo & Romero Cuevas, José Martin, 2020. "Efecto asimétrico de la actividad económica en la liquidez del sistema financiero boliviano," Revista Latinoamericana de Desarrollo Economico, Carrera de Economía de la Universidad Católica Boliviana (UCB) "San Pablo", issue 33, pages 181-211, May.
    • Handle: RePEc:ris:revlde:1981
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    References listed on IDEAS

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    1. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Win), pages 14-23.
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    More about this item

    Keywords

    Bolivia; política monetaria; excedente de liquidez; actividad económica extractiva y no extractiva; modelo VAR estructural por umbrales;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E65 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Studies of Particular Policy Episodes

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