Browsing by Author "Durán-Víquez, Rodolfo"
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- Análisis de sensibilidad de la banca comercial ante cambios en el entorno macroeconómicoThis document analyses the sensibility of response toward two of the major risks (liquidity and credit) that banking institutions confront when there are changes in the macroeconomic environment. Also, the work develops a clustering of bank entities taking as classification criteria its capability of response.One of the main results is that the average elasticity of reaction level is relatively low. However, there are significant extreme values that can be considered as the most vulnerable banks in the presence of changes of some macroeconomic variables. This banks should have a more strict following, in function of the future results that can be obtained with the use of other techniques due to the possibility of contagion effects when a considerable shock comes and deteriorates the financial development. Also we found that monetary variables produce less effects over liquidity and credit risks than real variables as Economic Activity Monthly Index (IMAE) and prices.In general terms, the banks are clustered from moderate to low reactions. This result can be either, convenient or inconvenient, depending on the Central Bank's point of view. If the criteria is to determine how volatile the behavior of banks can be against changes in the macroeconomic environment, this result is favorable in order to obtain financial system stability. However, if the criteria has to do with the capacity of Central bank policy instruments to affect banks financial developing, the results are not quiet promising.
- Costa Rica: sensibilidad del capital de cartera al premio e implicaciones para la política económica (1991-2007)This paper estimates the impact that changes in domestic premium had on portfolio flows of investment in Costa Rica during the period 1991-2007. According to the approaches of Ralhan (2006), LeFort and Budnevich (2005) and Gibson, Tsaveas, and Vlassopoulos (2006), a model that combines the arbitrage condition with push and pull factors was constructed. The econometric models did not show strong statistical evidence in measuring the sensibility of the capital flows as a result of changes in the mark up between domestic investments in colones and foreign investment in dollar. However, a VAR analysis suggests that an increase of 100 basis points in the mark up between domestic investments in colones or dollar induces resident investors to translate around $200 millions of their dollar denominated position to saving instrument denominated in colones (8% of the total volume negotiated in the wholesale exchange market of 2006). This response represents additional downward pressure on the exchange rate which is currently located at the lower limit of the crawling band. Other VAR results indicates that an increase of forty basis points in the sovereign risk produces an annual capital outflow of $44 millions, and an increase of 100 basis points in the financial activity indicator (total liquidity / GDP) will attract an amount of capital of about $20 millions in one year.
- Evaluación de variables para proyecciones de inflaciónThe main goal of this document is to find variables that are able to improve inflation forecasts made by Central Bank of Costa Rica. Fifty nine monthly economic variables that might have an effect on inflation are assessed in this investigation. These variables are classified in financial, economic activity and fiscal groups. The results include several forecasting equations with lagged inflation, domestic government bonds and three sorts of interest rates as explicative variables. The evidence indicates that inflation rises when interest rates increase, which is associated with price puzzle. An expansive fiscal policy financed by domestic bonds seems to have a direct impact on inflation. The forecast performance of selected models is similar to the performance of BCCR current models. Combined inflation forecasts could be improved by adding some of the results of this investigation, in particular, by considering the information of fiscal pressures implicit on the monetary programming exercise.
- Organización y comportamiento estratégico en la industria bancaria costarricenseThis investigation contains a diagnosis of the Costa Rican Banking System. The main instrument of analysis is an opinion pull applied to 25 banks of the system, related with strategy and competition.We concluded, the Costa Rican Banking System has two identified markets: corporative and personal. This classification is based on each bank manifestation as their main business orientation. Nevertheless the great majority of the banks, without consider their comparative size with the system, participate in both markets.There is a strong concentration around five entities, that is noted observing the outputs of the index of Herfindahl-Hirschman in function of the total asset, public deposits and credit, since it maintains relatively high levels in spite of their descending tendency in the last decade.An important point is the Costa Rican Banking Industry consider that there are possibilities of growth in the existence of market niches still not explored. Another interesting point is that the greater threat is based on the possibility of foreign competitors access, that they will face with a technological limitation, their principal disadvantage in order to compete in the market. Nevertheless, they rely on a competitive advantage very identified, which is the human resource.The rivalry inside the system has been increasing along the ninetieths and now it is perceived as very intense, especially for the banks in the corporative segment. However, the market is not highly competitive yet, in part for the legislation that becomes a barrier to the direct access for the International bank.In order to confront this greater competition, most of banks, independently of their segment orientation, follows a product differentiation strategy, being the personalized attention the main characteristic they use in order to differentiate their product.Inside the Costa Rican Banking System it is possible to identify seven submarkets, each of them conformed by banks with similar characteristics. These submarkets defines competition focuses that are strongly related.Finally five banks are considered leaders or benchmarking to the competition, actually, is very possible they determine most of the main prices of the System. These banks belong to the corporative segment and are: Interfín, Costa Rica, National, Banex and San José.
- Pass through del tipo de cambio en los precios de bienes transables y no transables en Costa RicaThis paper estimates short run and long run coefficients of exchange rate pass through in to the prices of tradable and non tradable goods in Costa Rica. The coefficients are estimated by OLS. A VAR analysis is conducted in order to estimate the dynamic process between exchange rate and inflation. Granger causality test and a stability test are conducted too. The short run pass through coefficients are 13% and 10%, for tradable and non tradable goods respectively and the long run coefficients are 68% and 52% in the same order. There is a second stage pass through of 7% included in the long run coefficient for non tradable goods. The dynamic analysis shows that the adjustment process of prices as a result of an exchange rate shock takes 17 months for tradable goods and 27 months for non tradable goods. The Granger causality test shows precedence between variation in the exchange rate and inflation, and between the prices of tradable and non tradable goods. There is statistical evidence of a structural change in the non tradable model between the end of 1995 and the beginning of 1996.
- Policy Rate Pass-Through: Evidence From the Costa Rican EconomyThis paper examines the pass-through of the policy interest rate for the Costa Rican economy in the period 1996-2007. By estimating a non-linear asymmetric vector error correction model we found evidence supporting the hypothesis of a complete pass-through in the long run. Results also show that since the introduction of the administrated band exchange rate system (October 2006) banks react faster in the short run to movements of policy rate. Evidence does not favor the hypothesis that in the short run banks react differently to policy rate movements depending on whether such changes are positive or negative, in other words, there is no evidence of an asymmetric reaction of retail interest rates to movements of policy rate. On average, loan and deposit rates take 9.4 and 5 months respectively to fully pass a shock of policy rate. These average times are reduced to 3.5 and 2 towards the end of the sample. Private Banks pass a larger portion of any given movement of policy rate than State owned ones, but take more time to fully do so. Such results, by signaling a smoother transmission mechanism of the monetary policies, denote an encouraging environment to the process of migrating to an inflation targeting monetary regime.
- Pronóstico de inflación mediante el uso de análisis factorialThe main objective of this research is to make short term inflation forecasts for Costa Rica, by means of the factor analysis technique (F.A.). This method was introduced and examined by Stock and Watson (1998), methodology that is framed within the dynamic factor analysis developed by Sargent and Sims (1977) and implemented recently by Aguirre and Céspedes (2004) for Chilean case. It consists in summarizing the movements of a big number of variables into a smaller number of factors. Factor analysis is similar to multiple regression, given that both of them express a dependent variable as linear combination of predetermined variables. They differ, though, in that F.A. uses predetermined variables that are non-observable, called factor. This technique is explored for Costa Rica using two data sets: one with 156 variables and the other with 46, both of them were constructed with a monthly frequency, from January 1991 through March 2005 (171 observations). We have obtained three forecasting models with different lags in the factors and in the own dependent variable taking into account the forecast performance. Additionally, we have compared the forecasting performance of the factor models to various benchmark forecasting models. We have concluded that only the Expert Judgment slightly surpassed the best one of the models proposed in this paper and F.A. was more efficient than an ARIMA model and the naive model.
- Propuesta de indicadores macroeconómicos y financieros de alerta temprana para la detección de crisis bancariasThe main objective of this paper is to present a report of the results about the project for the design early warning system indicators for detecting of banking crises. This paper presents a proposal of indicators and some methodologies to monitor the macroeconomics and financial areas. In the first case, the recommendation is to monitor a whole of macroeconomics' indicators and a vulnerability’s index. In the second case, the proposal is to analyze a system of 19 financial ratios of the commercial banking classified by similar groups. Furthermore, it includes a study about horizontal and vertical of the financial statements according of the groups. The external sector gave the major concentration of signals for the last quarter of the 1998 and it is the sector brings the higher vulnerability of the financial system. These signals are corresponding with the crises of the international economics since the end of 1997. Concerning the vulnerability macroeconomic index, in the period studied (1997-1998), do not look like whole alert signals in the behavior of the indicators, except at January of 1997, when the credit to private sector shows alert signal. However, the behavior of this whole index was stable.
- Sensibilidad de la razón de morosidad y liquidez del sistema bancario nacional ante cambios en el entorno: un enfoque utilizando datos de panelThe main objective of this paper is to calculate the effect of some macroeconomic variables over the credit and liquidity financial indicators in the Costa Rican banking system. We also try to estimate the lag between changes in some macroeconomic variables and these financial indicators.Based on a panel data approach we found that: i) it is possible to identify a systemic reaction of the liquidity and credit indicators in front of changes in some macroeconomic variables, and that the differences between the banks are appropriately summarized in an constant intercept indicator which is specific for each bank; ii) the variables that seem to affect the credit indicator are: devaluation, inflation, new credit operations and the economic activity growth; iii) the liquidity indicator is affected by the monetary emission, the interest rate in local currency and the fails in banking credit operations; finally it is presented a quantification of the effect of some macroeconomic variables over the financial indicators, and an identification of the lag between changes in those variables.From the point of view of the Central Bank, these results allow it to identify which variables could generate systemic problems in each financial area considered; it is an important issue to be considered when the Early Warning System is analyzed.