Notas Técnicas
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Browsing Notas Técnicas by Author "Gómez-Rodríguez, Fabio"
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- Cálculo del parámetro de suavizamiento del filtro Hodrick-Prescott para Costa RicaThe Hodrick-Prescott filter decomposes time series in its trend and cycle components. Applications of this filter include the analysis of production or economic activity time series to study business cycles. The filter’s smoothing parameter (λ) varies for each country (Marcet and Ravn 2003). This technical note describes the estimation of the parameter λ for the case of Costa Rica. The values obtained are λ =1 677 for the quarterly series of GDP, λ =15 917 for monthly and λ =26 for yearly. For the monthly economic activity index λ =13 176.
- Implementación de la curva soberana estimada por el BCCR en las pruebas de tensión de instrumentos de renta fijaThis technical note describes the procedure currently used by the Central Bank of Costa Rica (BCCR, by its initials in Spanish) to conduct stress tests on the portfolios of financial entities. The analysis identified two opportunities for improvement compared to the current practice; a procedure that was implemented as part of a technical assistance provided by the IMF. First, the stress tests are calculated based on the estimation of the PAR yield curves in colones and dollars carried out by the BCCR, which better reflect the behavior of the Costa Rican market. Secondly, resampling methods are used to determine the loss distribution based on available data, rather than using only predefined shocks, which facilitates the comparison of the predefined shocks currently used with the actual observed events. In conclusion, it is recommended to implement these two improvements in the execution of the stress tests.