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El requerimiento de capital contracíclico en Colombia

Author

Listed:
  • Felipe Clavijo Ramírez

    () (Banco de la República de Colombia)

  • Jorge Luis Hurtado Guarín

    () (Banco de la República de Colombia)

  • Oscar Fernando Jaulín Méndez

    () (Banco de la República de Colombia)

  • Javier Pirateque Niño

    () (Banco de la República de Colombia)

Abstract

A raíz de la crisis financiera mundial de 2008, el Comité de Supervisión Bancaria de Basilea propuso la implementación del requerimiento de capital contracíclico. Para guiar las distintas fases del requerimiento sugirió la utilización de una regla basada en la diferencia entre la razón de crédito sobre PIB y su tendencia de largo plazo. En la presente investigación se aplica dicha regla para el caso colombiano y se encuentra que esta no se ajusta a los periodos de auge de crédito. Por esta razón, se construye una nueva regla a partir del indicador de intensidad de crédito, que resulta tener un buen desempeño para guiar la acumulación y desacumulación del requerimiento de capital contracíclico durante los periodos de auge de crédito en Colombia.

Suggested Citation

  • Felipe Clavijo Ramírez & Jorge Luis Hurtado Guarín & Oscar Fernando Jaulín Méndez & Javier Pirateque Niño, 2016. "El requerimiento de capital contracíclico en Colombia," Borradores de Economia 963, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:963
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    File URL: http://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/6274/be_963.pdf?sequence=1&isAllowed=y
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    References listed on IDEAS

    as
    1. José Eduardo Gómez-González & Luisa Silva & Sergio Restrepo & Mauricio Salazar, 2012. "Flujos de capital y fragilidad financiera en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 30(69), pages 68-109, December.
    2. Athanasios Orphanides & Simon van Norden, 2002. "The Unreliability of Output-Gap Estimates in Real Time," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 569-583, November.
    3. Adam Gersl & Jakub Seidler, 2011. "Excessive Credit Growth as an Indicator of Financial (In)Stability and its Use in Macroprudential Policy," Occasional Publications - Chapters in Edited Volumes,in: CNB Financial Stability Report 2010/2011, chapter 0, pages 112-122 Czech National Bank, Research Department.
    4. Detken, Carsten & Peltonen, Tuomas & Schudel, Willem & Behn, Markus, 2013. "Setting countercyclical capital buffers based on early warning models: would it work?," Working Paper Series 1604, European Central Bank.
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    More about this item

    Keywords

    Comité de Supervisión Bancaria de Basilea; regulación macroprudencial; auge de crédito; indicador de intensidad de crédito y requerimiento de capital contracíclico.;

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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