Documentos de Trabajo
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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 billetes para la economía costarricenseAzofeifa-Villalobos, Ana Georgina; Sancho-B., Bernal; Solís-Ortiz, Luis Eduardo; Zúñiga-Durán, Mainor A.This paper presents a methodological proposal to estimate the requesting size of Central Bank notes (¢10000 bills, ¢5000 bills, etc.) for the Costa Rican economy. The estimates consider growth in the bills demand (caused by consumption changes), continual replacement of old or damaged bills and bank vaults inventories. We develop a demand model for value of bills in circulation, as a function of lagged GDP, expected inflation rate and labor force, using OLS. The results obtained were robust, and forecast performance was evaluated trough standard methods and applying the model to a real case. Also, the calculation of replacement rates by denomination and bills inventories were improved. Finally, we made a qualitative analysis of other factors that may affect the volume of bills request.
- Organización y comportamiento estratégico en la industria bancaria costarricenseThis investigation contains a diagnosis of the Costa Rican Banking System. The main instrument of analysis is an opinion pull applied to 25 banks of the system, related with strategy and competition.We concluded, the Costa Rican Banking System has two identified markets: corporative and personal. This classification is based on each bank manifestation as their main business orientation. Nevertheless the great majority of the banks, without consider their comparative size with the system, participate in both markets.There is a strong concentration around five entities, that is noted observing the outputs of the index of Herfindahl-Hirschman in function of the total asset, public deposits and credit, since it maintains relatively high levels in spite of their descending tendency in the last decade.An important point is the Costa Rican Banking Industry consider that there are possibilities of growth in the existence of market niches still not explored. Another interesting point is that the greater threat is based on the possibility of foreign competitors access, that they will face with a technological limitation, their principal disadvantage in order to compete in the market. Nevertheless, they rely on a competitive advantage very identified, which is the human resource.The rivalry inside the system has been increasing along the ninetieths and now it is perceived as very intense, especially for the banks in the corporative segment. However, the market is not highly competitive yet, in part for the legislation that becomes a barrier to the direct access for the International bank.In order to confront this greater competition, most of banks, independently of their segment orientation, follows a product differentiation strategy, being the personalized attention the main characteristic they use in order to differentiate their product.Inside the Costa Rican Banking System it is possible to identify seven submarkets, each of them conformed by banks with similar characteristics. These submarkets defines competition focuses that are strongly related.Finally five banks are considered leaders or benchmarking to the competition, actually, is very possible they determine most of the main prices of the System. These banks belong to the corporative segment and are: Interfín, Costa Rica, National, Banex and San José.
- El Filtro BAXTER-KING, Metodología y AplicacionesThis document briefly explains the Baxter-King’s filter methodology, which has become a very useful tool to analyze economic cycles and as a method for trend extraction.Some mathematic properties of Hodrick-Prescott filter are also reviewed, in order to understand the difference between this method and Baxter-King’s. I applied the filter to monthly, quarterly and annual series. Although Baxter-King and Hodrick-Prescott filters do not differ much in their results, the former has the advantage that it allows the researcher to specify the kind of information she wants to isolate from the series.
- Costa Rica: estimación del Déficit Fiscal estructural y cíclicoIn this article, a methodology used by CEPAL to estimate the structural and cyclical fiscal deficit is applied to the Costa Rican case for the 1983-1999 period. It is a useful tool to evaluate the fiscal policy performance in the medium term. The methodology tries to identify those deficit’s components that respond directly to the budgetary authorities policies. The structural deficit is calculated by substranting from the overall budgetary balance the bussines cycle effect, which is denominated cyclical deficit. Estimated data show that the structural component is the main aspect that influences fiscal disequilibria for both, Central Government and Public Nonfinancial Sector. They also show that the average size of the Central Government`s structural deficit in Costa Rica is the highest compared with some Latin American economies and is highly volatile. Finally, calculations of primary structural deficit show that Internal Debt is the main problem of Costa Rican fiscal deficit.
- 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.
- Evaluación para el establecimiento de un sistema de garantía de depósitos en el sistema financiero costarricenseThe main objective of this document is to evaluate of the impact of the establishment of a deposit insurance system, as it is proposed in the bill that reforms some statements of the Costa Rican Financial System, on the performance of the financial intermediaries. In order to do so, we calculated different liability covers and analyzed them in different scenarios.The main results indicate that in the case of the public banks, a fond like the one proposed in the bill, allows to reduce the net liabilities exposure from 40% to 18% approximately, which means that the contribution that the Government will have to make is reduced considerably; and as a result, the costs that the society must assume in terms of inflation in a situation of a possible financial problem of a public bank is also reduced.In the private banks it exists diversity in the capacity to cover the different liabilities, there are some banks that represent a high weight for the Fond proposed; and in other ones there are no cover problems.The methodology applied constitutes itself a contribution that has to be considered within an early warning system, since it shows indirectly the behavior of the quality of assets and the leverage.