Notas Técnicas
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Browsing Notas Técnicas by Author "Barquero-Romero, Jose Pablo"
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- Análisis cuantitativo de tasas de interés para reemplazar la LiborInternational financial authorities announced that by the end of 2021 the Libor interest rate calculation will be discontinued. This rate is also used for several operations in dollars in the Costa Rican market, therefore financial authorities decided that intermediaries should make their own studies, following best practices, to decide which rate to select as a substitute as a reference in their contracts. However, given the imminent discontinuation of the Libor, an additional challenge arises for the Central Bank of Costa Rica given that articles 52 and 80 of its Law make an explicit reference to the Libor rate for specific operations with the financial system. This paper analyzes the statistical characteristics of a set of interest rates that could eventually substitute the Libor rate. The analysis pays special attention to study cointegration, correlation and differences between the Libor and its possible substitutes. We found that the one-month average for the SOFR rate is the indicator that shows the best statistical properties if compared with the one- and six-month Libor.
- La transmisión de la tasa de política monetaria en Costa Rica, 2018-2024This study follows the monetary approach to estimate the pass-through of the Monetary Policy Rate (MPR) of the Central Bank of Costa Rica to market interest rates, liquidity markets and the yield curve. Cointegration, error correction vector and autoregressive vector models are used. Unlike previous studies on this topic, this research uses weekly data on negotiated active interest rates according to economic activity, and negotiated deposit rates, classified by deposit term. The results show that the pass-through of the MPR to active and passive interest rates is heterogeneous and incomplete; in addition, the speed of the pass-through is greater than that shown in previous studies. In general, it is confirmed that the pass-through is faster to passive rates than to active rates. It is found that, for consumer rates, the pass-through is not statistically significant, while towards passive rates the transfer is stronger and faster in the terms with greater demand.
- Operadoras de Pensiones Complementarias: Análisis de la composición de la cartera de inversión (enero 2012 – mayo 2022)This study describes the evolution of investments in foreign issuers by Complementary Pension Fund Operators belonging to the Mandatory Pension Regime of Costa Rica, and presents a review of measures taken by similar countries in the face of the same phenomenon.