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Ciclo financiero y acelerador cambiario en una economía con alta dolarización financiera: Estimación de la sensibilidad de los indicadores de mora crediticia ante choques sobre el tipo de cambio
[Financial cycle and exchange rate accelerator in an economy with high financial dollarization: Estimation of the sensitivity of non-performing loan indicators in the presence of exchange rate shocks]

Author

Listed:
  • Jiménez Sotelo, Renzo

Abstract

In this paper the concept of the exchange rate accelerator is proposed as a mechanism of transmission of the shocks in the constant exchange rate on the non-performing loans and the financial cycle in an economy with high financial dollarization, with which, the natural procyclicality between the economic cycle and the financial cycle passes into the background, if, instead, it does not fade. The paper develops the theoretical framework that supports the transmission mechanism of exchange rate accelerator and shows some stylized facts of the Peruvian financial system. The following is an econometric model with panel data to estimate the sensitivity of the credit delinquency rates of the financial system and, from these results, it is discussed how to implement, under the philosophy of Basel II, additional mandatory provisions and capital allocations as a result of the credit risk arising from exchange rate risk faced, which will also help to correct the externalities in the market resulting from the lack of internalization of this risk factor.

Suggested Citation

  • Jiménez Sotelo, Renzo, 2005. "Ciclo financiero y acelerador cambiario en una economía con alta dolarización financiera: Estimación de la sensibilidad de los indicadores de mora crediticia ante choques sobre el tipo de cambio [F," MPRA Paper 75753, University Library of Munich, Germany, revised 30 Apr 2006.
    • Handle: RePEc:pra:mprapa:75753
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    References listed on IDEAS

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    1. Eduardo Moron & Juan F. Castro & Diego Winkelried, 2004. "Assessing Financial Vulnerability in Partially Dollarized Economies," International Finance 0406002, University Library of Munich, Germany.
    2. Berger, Allen N. & Udell, Gregory F., 2004. "The institutional memory hypothesis and the procyclicality of bank lending behavior," Journal of Financial Intermediation, Elsevier, vol. 13(4), pages 458-495, October.
    3. Carranza, Luis J. & Cayo, Juan M. & Galdon-Sanchez, Jose E., 2003. "Exchange rate volatility and economic performance in Peru: a firm level analysis," Emerging Markets Review, Elsevier, vol. 4(4), pages 472-496, December.
    4. Bernanke, Ben & Gertler, Mark, 1989. "Agency Costs, Net Worth, and Business Fluctuations," American Economic Review, American Economic Association, vol. 79(1), pages 14-31, March.
    5. Kiyotaki, Nobuhiro & Moore, John, 1997. "Credit Cycles," Journal of Political Economy, University of Chicago Press, vol. 105(2), pages 211-248, April.
    6. Renzo Jiménez S., 2001. "La dolarización y sus efectos sobre la solidez del sistema financiero peruano," Apuntes. Revista de ciencias sociales, Fondo Editorial, Universidad del Pacífico, vol. 28(49), pages 93-115.
    7. Renzo Jiménez Sotelo, 2004. "Riesgo crediticio derivado del riesgo cambiario: perspectiva de una economía latinoamericana parcialmente dolarizada," Apuntes. Revista de ciencias sociales, Fondo Editorial, Universidad del Pacífico, vol. 31(54), pages 92-134.
    8. Raghuram G. Rajan, 1994. "Why Bank Credit Policies Fluctuate: A Theory and Some Evidence," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 109(2), pages 399-441.
    9. Guttentag, Jack & Herring, Richard, 1984. "Credit Rationing and Financial Disorder," Journal of Finance, American Finance Association, vol. 39(5), pages 1359-1382, December.
    10. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
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    Cited by:

    1. Martín Vallcorba & Javier Delgado, 2007. "Determinantes de la morosidad bancaria en una economía dolarizada. El caso uruguayo," Working Papers 0722, Banco de España.
    2. Oscar Dancourt Masías & Renzo Jiménez Sotelo, 2017. "La experiencia de la banca de desarrollo en el Perú: 1990-2015," Documentos de Trabajo / Working Papers 2017-444, Departamento de Economía - Pontificia Universidad Católica del Perú.
    3. Jiménez Sotelo, Renzo, 2012. "Políticas para la gestión de activos y pasivos soberanos: Una propuesta para el Tesoro del Perú [Policies for sovereign asset and liability management: A proposal for the Treasury of Peru]," MPRA Paper 119895, University Library of Munich, Germany.
    4. Jiménez-Sotelo, Renzo A., 2023. "La influencia del mercado de deuda pública interna en el desarrollo financiero: evidencia de 52 países en 1990-2020," El Trimestre Económico, Fondo de Cultura Económica, vol. 90(359), pages 773-804, julio-sep.

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    More about this item

    Keywords

    Financial cycle; panel data; de-dollarization; financial stability; risk management; financial regulation.;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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