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Determinantes del ciclo crediticio en Bolivia

Author

Listed:
  • Joab D. Valdivia C.

    (Banco Central de Bolivia)

Abstract

El ciclo crediticio o financiero en economías en desarrollo tiene un importante rol en la sostenibilidad del crecimiento en el mediano y largo plazo. La sincronización del ciclo crediticio con el económico influye en la duración del periodo expansivo o contractivo de la actividad real. Los episodios de riesgo sistémico ayudan a identificar variables deterioradas para la aplicación de políticas contracíclicas. A partir de la metodología de Holló et al. (2012) y en combinación con cuasi-correlaciones cruzadas se construyó un Indicador Compuesto de Stress Sistémico (ICSS). La descomposición del ICSS en el último periodo indica que la liquidez, crecimiento del crédito, el spread en moneda extranjera y el ciclo de precio de vivienda determinan, en mayor cuantía, el comportamiento del indicador creado, evidenciando escenarios de estrés sistémico.

Suggested Citation

  • Joab D. Valdivia C., 2019. "Determinantes del ciclo crediticio en Bolivia," Serie de Documentos de Trabajo 2019/04, Banco Central de Bolivia.
    • Handle: RePEc:blv:doctra:2019/04
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    File URL: https://www.bcb.gob.bo/webdocs/publicacionesbcb/2021/05/39/37%20-%20Determinantes%20del%20ciclo%20crediticio%20en%20Bolivia.pdf
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    File URL: https://www.bcb.gob.bo/?q=pub_documentos-trabajo
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    More about this item

    Keywords

    Riesgo sistémico; ciclo crediticio o financiero; correlaciones cruzadas; modelo MarkovSwitching;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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