Ciclo financiero y acelerador cambiario en una economía con alta dolarización financiera: Estimación de la sensibilidad de los indicadores de mora crediticia ante choques sobre el tipo de cambio

Financial cycle and exchange rate accelerator in an economy with high financial dollarization: Estimation of the sensitivity of non-performing loan indicators in the presence of exchange rate shocks

Renzo Jiménez Sotelo
Authors registered in the RePEc Author Service: Renzo A. Jiménez-Sotelo ()

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper the concept of the exchange rate accelerator is proposed as a mechanism of transmission of the shocks in the constant exchange rate on the non-performing loans and the financial cycle in an economy with high financial dollarization, with which, the natural procyclicality between the economic cycle and the financial cycle passes into the background, if, instead, it does not fade. The paper develops the theoretical framework that supports the transmission mechanism of exchange rate accelerator and shows some stylized facts of the Peruvian financial system. The following is an econometric model with panel data to estimate the sensitivity of the credit delinquency rates of the financial system and, from these results, it is discussed how to implement, under the philosophy of Basel II, additional mandatory provisions and capital allocations as a result of the credit risk arising from exchange rate risk faced, which will also help to correct the externalities in the market resulting from the lack of internalization of this risk factor.

Keywords: Financial cycle; panel data; de-dollarization; financial stability; risk management; financial regulation. (search for similar items in EconPapers)
JEL-codes: C23 E30 G21 (search for similar items in EconPapers)
Date: 2005-05-31, Revised 2006-04-30
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Economía 65.XXXIII(2010): pp. 133-176

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/75753/8/MPRA_paper_75753.pdf original version (application/pdf)

Related works:
Journal Article: Ciclo crediticio y acelerador cambiario: evidencia empírica y consecuencias para la regulación prudencial (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:75753

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().