### Browsing by Author "Kikut-Valverde, Ana Cecilia"

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- Demanda privada real de créditoKikut-Valverde, Ana Cecilia; Odio-Chinchilla, Jaime; Sáenz-Castegnaro, Manrique; Solera-Ramírez, ÁlvaroA demand for credit by the private sector is estimated for Costa Rica based on monthly data over the period 1995 – 2001. This demand is modeled as a function of the real interest rate on lending, real economic activity, and expected future growth in production. We calculate a lending interest rate as the (weighted) average of interest rates across economic activities and across dollar and local currency denominated loans. Given the large proportion of dollar denominated loans in the current banking system portfolio, this is a significant improvement over previous studies typically based on the lending rate for only local currency-denominated loans. Since the interest rate may be an endogenous variable in this model (i.e. correlated with the error term in the demand for credit equation), the US Prime Rate is used as an instrumental variable in a two -stage least squares regression. The results of the regression analysis using two -stage least squares indicates that the semi-elasticity of real private credit with respect to the real interest rate is –4.08. Given an average (lending) real interest rate of 12.9% this implies an interest-elasticity close to –0.53. As expected, this estimate is higher (in absolute value) than the one obtained using OLS. The estimated elasticity of credit demand with respect to economic activity is 1.87. Finally, a one percentage-point increase in expected production growth (proxied by futures effective growth) is estimated to produce a 0.3 percent in demand for real credit.
- Determinación de modelos para la extracción de señales y el pronóstico de las series trimestrales de la oferta y demanda globalesCampos-Villalobos, Elvia; Kikut-Valverde, Ana Cecilia; Muñoz-Barrantes, Marta Isabel; Porras-Jara, Alexander; Rocha-Bonilla, Lizette María; Rodríguez-Mora, MargaritaThe main objective of this study is to estimate the unobservable components of the Costa Rican time series of global supply, global demand and their components using ARIMA models, in order to assess about the short term behavior of the real sector, additionally it allows the Central Bank to obtain better forecasts of these series.We use the recent available quarterly series of the global supply and demand, in constant colones of 1991, for the period from the first quarter of 1991 to the fourth quarter 2000. We study 35 variables.This is the first time that the software TRAMO/SEATS for Windows is used in the Costa Rican Central Bank. Due to the fact that this procedure is based in models, it allows us to make statistic inference about the estimations obtained from the adjusted models for each component. Additionally, we apply the direct and indirect seasonal adjustment to some variables.From this study we can conclude that the TRAMO/SEATS software constitute an easy, flexible and powerful tool in the time series analysis. In general, this package allowed to discriminate among alternative models and decompositions. Too, we observe a satisfactory final decomposition. But, it is important to make an economic explication for the seasonal adjusted series. Finally, the results of the seasonal adjustment indicates that the indirect method was significant for two variables (agriculture and industry).
- La dolarización parcial en Costa RicaIn this paper, we study the extent and explore the causes of the increasing preference to foreign currency deposits as store of value and medium of exchange in Costa Rica, a country with relatively social and macroeconomic stability and no events of deposits confiscation or recent episodes of crisis. The ratio of foreign currency deposits to total deposits has risen sharply and has reached around 50 percent in 2002. We analyze monthly data since 1990 to 2002 by computing broad indicators of dollarization and ratios of deposits in foreign and domestic currency of various degrees of liquidity. The paper identifies the determinants that have driven the dollarization process in Costa Rica (institutional and economic factors and those resulting of monetary and exchange rate policies), and explicitly assess the noted persistence in the use of foreign currency; this hysteresis, or asymmetric substitution process between monies, is modeled through the inclusion of a ratchet variable. The econometric results indicate that the interest rate for foreign denominated assets and the expected exchange rate devaluation (with positive effects) and the interest rate differential in favor of domestic currency deposits (with negative effects) are significant determinants of dollarization in the Costa Rican economy as theory predicts. This suggests that monetary policy may still have an impact on the portfolio decisions of the private sector; however, given the significance of the ratchet variable for the deposit ratio, particularly strong policies would need to be pursued over an extended period of time so as to convince deposit holders to switch back to colon-denominated assets since the economy seems has reached a degree of dollarization that would make the process asymmetric and difficult to reverse. In addition, results suggest that the exchange rate system of crawling peg adopted since 1983 and the measures adopted since 1996, specially lower banking reserve requirement for foreign currency deposits, and the possibility to grant credit in foreign currency with a regime of factional reserve requirement, stimulated the secondary banking creation of deposits, and hence both were factors that contributed to the process of dollarization.
- 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.