Un método de Cálculo y Temporización de Previsiones Cíclicas para el Sistema Financiero Boliviano
[The calculation and timing of cyclical provisions in the Bolivian financial system]
The constitution of cyclical provisions is related to the effects of latent credit risk in the financial institutions, a risk that materializes during an economic downturn. This study proposes a method both to calculate the amount of cyclical provisions and to estimate the timing of this type of provisions. The calculation is based on the optimization of a partitioned matrix that contains the optimal combinations of percentages of cyclical provisions for each category of risk and for every type of credit. The timing depends upon an indicator that reflects the quality of the credit portfolio in the financial institutions across time.
|Date of creation:||Sep 2008|
|Date of revision:||Feb 2009|
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Web page: https://mpra.ub.uni-muenchen.de
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"The Band Pass Filter,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999. "The Band pass filter," Working Paper 9906, Federal Reserve Bank of Cleveland.
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- Tom Doan, "undated". "CFFILTER: RATS procedure to perform band pass filter using Christiano-Fitzgerald method," Statistical Software Components RTS00034, Boston College Department of Economics.
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