Browsing by Author "Montero-Gamboa, Renato"
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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.
- 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.
- Propuesta metodológica para estimar el tamaño de un pedido de monedas para la economía costarricenseAzofeifa-Villalobos, Ana Georgina; Mesén-Fernández, Luisana; Montero-Gamboa, Renato; Zúñiga-Durán, Mainor A.This paper presents a methodological proposal to estimate the required size of coin purchases for the Costa Rican economy by the Central Bank. The proposal considers the estimation of a demand function for coins. The approach to find the coin demand pattern was based on the “circulating coins value” variable. The model estimates the coins demand value both as a function of the consumer price index (CPI), and of GDP in nominal terms with a lagged period, and, the method used was OLS after applying a logarithmic transformation to both variables. Other factors considered by the methodological proposal are the following: the continuous replacement of old or damaged currency, the “non return” (which refers to the economic agent’s behavior that involves other types of currency uses which differ from its function as an exchange instrument in economic transactions), the bank vaults coins inventories, and finally, the effect resulting from the substitution of notes for coins. The results obtained were robust, and the forecast performance was evaluated through standard methods and applying the model to a real case situation.