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La Relación Dinámica entre el Sistema Financiero y el nivel de actividad real en el Perú: 1965-2011

Author

Listed:
  • Lahura, Erick

    (Banco Central de Reserva del Perú)

  • Vargas, Paula

    (Interbank)

Abstract

El objetivo es analizar empíricamente la relación dinámica entre el sistema bancario y el nivel de actividad real en el Perú. Para tal fin, el análisis se basa en la estimación de vectores autoregresivos (VAR) cointegrados, la aplicación de pruebas de exogeneidad y en la identificación de choques transitorios y permanentes. Utilizando información anual para el período 1965-2011 y tres indicadores tradicionales de intermediación financiera asociados al sector bancario, se obtienen los siguientes resultados: (i) existe una relación de largo plazo entre la evolución del sistema bancario y el PBI real per cápita; (ii) el PBI real per cápita contribuye a predecir la evolución del sistema bancario; (iii) un choque permanente tiene efectos más importantes sobre el PBI real per cápita y sobre el sistema bancario que un choque transitorio; y, (iv) las fluctuaciones del PBI real per cápita están asociadas principalmente a choques permanentes, mientras que las fluctuaciones de corto plazo en la evolución del sistema bancario están explicadas principalmente por choques transitorios. Los resultados sugieren que el PBI real per cápita puede ser usado por el regulador para evaluar la adopción de medidas correctivas o prudenciales relacionadas al sistema bancario; además, evidencian la importancia de seguir contando con una regulación financiera que permita que el nivel de intermediación financiera bancaria sea consistente con la evolución del ingreso real per cápita.

Suggested Citation

  • Lahura, Erick & Vargas, Paula, 2013. "La Relación Dinámica entre el Sistema Financiero y el nivel de actividad real en el Perú: 1965-2011," Working Papers 2013-019, Banco Central de Reserva del Perú.
  • Handle: RePEc:rbp:wpaper:2013-019
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Sistema bancario; PBI real per cápita; cointegración; exogeneidad; choques transitorios y permanentes.;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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