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Browsing Documentos académicos 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.
- Assessment of the Banking Sector’s Exposure to Hydrometeorological Events in Costa RicaEste estudio examina por primera vez la exposición de la cartera crediticia del sistema bancario costarricense a eventos hidrometeorológicos, específicamente a eventos de exceso de lluvia, con un enfoque en el crédito de empresas a nivel cantonal. Proponemos un indicador de riesgo crediticio para identificar los cantones con las carteras de crédito más afectadas por eventos de lluvia. Además, incorporamos un enfoque novedoso que permite asignar una ubicación productiva única a aquellas empresas con dos o más establecimientos. Nuestros resultados muestran que los cantones con el mayor número de eventos de exceso de lluvia representan una proporción pequeña del saldo promedio de crédito del país. Además, observamos que los tres cantones con la puntuación de riesgo crediticio más alta están impulsados por actividades económicas que no se espera que sean particularmente vulnerables a eventos de lluvia excesiva.
- Costos y beneficios de reducir la inflación en CostaRicaCosta Rica has been characterized for the last 40 years as an economy with high inflation rates. However, with the objective of changing this situation during the year 2006 the monetary authorities decided to start a change in the country’s monetary regime. This process allows that in the year 2009 for the first time since 1977 the economy shows inflation levels below 5%. The reduction in the inflation level implied costs and benefits for the Costa Rican economy. This paper identifies the cost in welfare terms of reducing the inflation level and compares it with the expected benefits. The costs are measured following the consumer surplus approach for which a money demand function for Costa Rica is estimated. The benefits are estimated discounting the expected improvement in the level of production due to the lower inflation. Both estimations are compared and the net result for the 2008-2010 disinflationary process is obtained. Finally, alternative future policies oriented to continue with the disinflationary process are simulated and their results are evaluated.
- Determinantes del margen de intermediación financiera en Costa RicaThis paper examines which factors determine the financial intermediation margin for Costa Rican banks for the period 1994-2011. This work pays special attention to which of these factors can be influenced by the Central Bank of Costa Rica through its monetary policy. Among the most important results from the estimations it is established that the intermediation margin tends in the short term to have an inertial tendency to increase. There is market power and it is used to transfer costs to consumers, for example, changes in the legal reserve requirements lead to increases in the intermediation margins, the same effect is observed when there are increases in the cost of foreign credit lines lead.
- Determinants of interest rate spread in Costa RicaThis paper examines which factors determine the financial intermediation margin for Costa Rican banks for the period 1994-2011. This work pays special attention to which of these factors can be influenced by the Central Bank of Costa Rica through its monetary policy. Among the most important results from the estimations it is established that the intermediation margin tends in the short term to have an inertial tendency to increase. There is market power and it is used to transfer costs to consumers, for example, changes in the legal reserve requirements lead to increases in the intermediation margins, the same effect is observed when there are increases in the cost of foreign credit lines lead.
- El efecto traspaso de la tasa de interés de los instrumentos del Banco Central en Costa Rica hacia las tasas de interés del sistema financieroAs part of the preparation and transition process to an inflation target regime in the year 2011 the Central Bank of Costa Rica (BCCR) established the Monetary Policy Interest Rate as its main monetary policy instrument, since then it has become of institutional interest to assess the effectiveness of this instrument to influence the remaining interest rates in the financial system. This is why this paper studies the Central Bank of Costa Rica monetary policy interest rate pass through to the interest rates of the financial system from January 2000 until July 2013. The paper has two parts, the first part tests from the Engle and Granger (1987) point of view the following hypothesis: i) the pass through is equal to one, ii) the pass through changed after the adoption of a new exchange rate regime, iii) the pass through speed changed along with the change in the exchange rate regime (non-linearity), iv) the banks in the financial system do not adjust symmetrically their interest rates (in order to increase their profit margin). In the second part the paper analyses the main factors that affect the effectiveness of the pass through mechanism, financial dollarization, banking industry concentration, the level of government debt and the Central Bank deficit. The paper concludes that: i) the pass through id equal to one only after the adoption of the new exchange rate regime, ii) the pass through coefficient suffered a positive change after the implementation of the new exchange rate regime, iii) the pass through speed increased after the exchange rate regime change, iv) there is asymmetry in the pass through, lastly, v) the effectiveness of the monetary policy can be affected negatively by the factors mentioned above.
- Efectos macroeconómicos de una depreciaciónAfter abanding the crawling peg regime in october 2006, the Costa Rican economy has experienced two abrupt depreciation episodes, in 2008 and 2014. The analysis of these two episodes shows that the observed depreciation is related to the increase of inflation, interest rates, and the lower economic growth. Within the labor market the depreciation episodes are related to lower employment and lower real wage. In this document we complement this descriptive analysis with the results of a counterfactual exercise based on Laverde (2015) in which we show the macroeconomic implications of having kept the crawling peg during the years after 2006. We also show the impact of a sudden devaluation of 5% induced by the Central Bank
- Estructura impositiva y crecimiento económicoThis paper examines the relationship between the tax structure and economic growth, through the use of several kinds of taxes imposed by governments. A system of equations for economic growth augmented by human capital and tax structure and level. The paper uses a data panel from 33 countries (32 OCDE and Costa Rica) from 1965 until 2013 and an Error Correction Model is performed in order to model explicitly short term dynamics. The pooled mean group methodology used allows to control for non-observable fixed effects and also to perform heterogeneous short term estimations and homogeneous long term estimations. It is found that the tax level has a negative effect over economic growth while certain types of specific taxes can reduce or increase this effect.
- Evidence of Incomplete Monetary Policy Transmission in a Non Competitive Banking Sector: The Case of Costa RicaEn un país con metas de inflación como Costa Rica, la estimación del traspaso de la tasa de política monetaria a las tasas ofrecidas por los bancos comerciales es fundamental. Tomar en cuenta la competencia imperfecta, la dolarización, la asimetría regulatoria y los tipos de bancos estatales y privados permite delimitar la efectividad de la Tasa de Política Monetaria (TPM). Con una generalización de un modelo de competencia tipo Cournot, con coste de ajuste y datos a nivel micro de préstamos y depósitos, se estima la magnitud y velocidad de traspaso. En general, existen importantes asimetrías en el traspaso debido al poder de mercado, asimetrías regulatorias y dolarización, todo lo cual merma la efectividad de la TPM. Mayor competencia, disminución de la dolarización, los costos de ajuste y de las asimetrías regulatorias mejoraría la fuerza y velocidad del traspaso. Por último, la evidencia muestra un traspaso más rápido respecto a estudios previos.
- Impact of COVID-19 Restrictions in Costa Rica: a Local ApproachDurante la pandemia de COVID-19, los gobiernos implementaron medidas para restringir la movilidad de las personas, esto con el objetivo de reducir el número de infecciones y muertes causadas por la enfermedad. Sin embargo, estas medidas también perjudicaron la actividad económica. Para aproximar el efecto que estas restricciones tuvieron sobre la actividad económica y la salud de la población, este estudio utiliza los cambios en las restricciones que implementó el gobierno de Costa Rica por municipio (cantón). Se recopilaron datos sobre las alertas y restricciones sanitarias anunciadas por el gobierno del 15 de marzo de 2020 al 31 de julio de 2021, y se utilizó el consumo de electricidad para aproximar la actividad económica. Los resultados de las estimaciones muestran que imponer una alerta sanitaria más restrictiva redujo la tasa de crecimiento semanal de casos de COVID-19 en un 7 % y las muertes en un 10 %; sin embargo, también redujo el consumo eléctrico comercial en un 1,5 %, lo que se puede asociar con una disminución en el nivel de la actividad económica de alrededor 1,88 %.
- Inflación y deuda públicaThis paper aims to determine if a deterioration in public finances, understood as an increase in public debt, tends to increase inflation. We study the relationship between public debt, economic growth, money supply growth and inflation. To do this we follow the methodology proposed by Kwon, McFarlane and Robinson (2009), who perform a panel data estimation using a sample of net debtor´s countries. We find that for countries who already have a high level of public debt, further increases in public debt are inflationary.
- 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.
- El orden de propagación de cambios en la tasa de política del Banco Central sobre las tasas de interés del sistema financiero en Costa RicaThe paper main objective is to determine the order and magnitude of the effect that changes in the monetary policy rate have over the interest rates in the Costa Rican banking system. In order to get these estimations the paper uses structural autoregressive vectors (SVAR). The research covers the period between January 1999 and February 2014 and pays special interest to the period after the introduction of the new exchange rate system (end of 2006), this with the objective of identifying if the effect of the monetary policy has improved after the regime change. The results show that changes in the monetary policy rate will first affect the passive interest rates of the commercial banks and then the pass-through works indirectly through the passive interest rates to the active interest rates. Regarding the differences between state-owned banks and private banks there is evidence that the state-owned banks react first than the private banks to changes in the monetary policy rate.
- The Effect of International Monetary Policy Expansions on Costa RicaThis paper studies if the international monetary policy has a major effect on the Costa Rican economy. The analysis is performed estimating a Structural Bayesian Vector Autoregression (SBVAR) and a Dynamic Stochastic General Equilibrium (DSGE) small open economy model estimated with Bayesian Maximum Likelihood methods using data from 2000 to 2014.The SBVAR estimation provides evidence that shocks to US interest rates, US inflation and US output in conjunction accounts for the following share of fluctuations: 43.2%, of nominal exchange rates, 52.2% of Costa Rican interest rates, 35.1% of Costa Rican inflation, 51.4% of Costa Rican output, 36.7% of exports and 39.3% of imports.The DSGE model describes the mechanisms through which the local and foreign disturbances affect Costa Rica. An unexpected increase in the local interest rates means that the holding of local assets by the rest of the world increases, it also incentives savings, which means postponed consumption. Households substitute deposits, local and foreign currency, with government debt. As expected the substitution of savings by government debt means there is no greater investment in the economy due to an increase in the risk premium.Meanwhile an unexpected expansion in the US interest rate causes an outflow of resources from the economy, which along with the interest rate increase causes a currency depreciation and an increase in the local interest rate. Therefore consumption decreases and exports increase.
- Traspaso de la tasa de política monetaria en Costa Rica de 2000 a 2018This paper examines the pass-through of the monetary policy rate (TPM) for the period of January 2000 to February 2018. We also conduct an evaluation of external factors that can influence the effectiveness of the pass-through mechanism. The results show that, after the adoption and during the period of the pegged exchange rate within horizontal bands regime the pass-through is complete. This pass-through takes in average 7 months for deposits rates and 16 months for the loans market interest rates. There is also evidence to support the existence of nonlinearities after the adoption of the band scheme, where the market rates reacted faster to movements in the policy rate, nevertheless the evidence does not support this hypothesis during the floating. There is strong evidence of asymmetries in the speed of adjustment of the commercial banks rates. Additionally, we found that the level of, financial dollarization; of bank concentration; of Central Government debt; and the deficit of the Central Bank have all significant and negative effects on the pass-through of the monetary policy rate. Also, the degree of exchange rate flexibility has a significant and positive effect on the transmission mechanism.