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Identificación de Episodios de Auge Crediticio: Una propuesta Metodológica con Fundamentos Económicos

Author

Listed:
  • Lahura, Erick

    (Banco Central de Reserva del Perú)

  • Chang, Giancarlo

    (Banco Central de Reserva del Perú)

  • Salazar, Oscar

    (Banco Central de Reserva del Perú)

Abstract

Se propone una metodología alternativa de identificación de episodios de auge crediticio que incorpora fundamentos económicos. Un episodio de auge crediticio se define como un período durante el cual la trayectoria del nivel de crédito se desvía "en exceso" respecto de su "tendencia", luego de registrar un período de crecimiento persistente. La metodología propuesta consiste en modelar las desviaciones del crédito respecto de su tendencia en función de: (i) variables económicas fundamentales, y (ii) una variable (de estado) no observable que mide el componente de las desviaciones del crédito que no está asociado a sus fundamentos. La ecuación de crédito se estima a partir de su representación estado-espacio (SS) a través del filtro de Kalman (FK). La metodología propuesta se aplica al caso peruano utilizando información mensual para el período enero 1994-setiembre 2012. Los resultados permiten identificar dos posibles episodios de auge crediticio en el Perú, cuyos puntos máximos se alcanzaron en noviembre del 2008 y mayo del 2011, respectivamente.

Suggested Citation

  • Lahura, Erick & Chang, Giancarlo & Salazar, Oscar, 2013. "Identificación de Episodios de Auge Crediticio: Una propuesta Metodológica con Fundamentos Económicos," Working Papers 2013-011, Banco Central de Reserva del Perú.
  • Handle: RePEc:rbp:wpaper:2013-011
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Auge crediticio; crédito; filtro de Kalman;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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

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