Countercyclical prudential tools in an estimated DSGE model
Resumen:
We developed a dynamic stochastic general equilibrium (DSGE) model for a small, open economy with a banking sector and endogenous default to assess two macroprudential tools: countercyclical capital buffers (CCB) and dynamic provisions (DP). The model is estimated with data for Uruguay, where dynamic provisioning has existed since the early 2000s. Both tools force banks to build buffers, but DP seem to outperform the CCB in smoothing the cycle. We also find that the source of the shock affecting the financial system matters in assessing the relative performance of both tools. Given a positive external shock, the credit-to-GDP ratio decreases, which should discourage its use as an indicator variable to activate countercyclical regulation.
| 2023 | |
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Banking regulation Minimum capital requirement Countercyclical capital buffer Reserve requirement (Countercyclical or dynamic) loan loss provision Endogenous default Basel III DSGE Uruguay |
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| Inglés | |
| Universidad de Montevideo | |
| REDUM | |
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https://hdl.handle.net/20.500.12806/1412
https://doi.org/10.1016/j.latcb.2023.100095 |
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| Acceso abierto | |
| Attribution-NonCommercial-NoDerivatives 4.0 Internacional |
| _version_ | 1807356681208725504 |
|---|---|
| author | Frache, Serafín |
| author2 | García-Cicco, Javier Ponce, Jorge |
| author2_role | author author |
| author_facet | Frache, Serafín García-Cicco, Javier Ponce, Jorge |
| author_role | author |
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| bitstream.url.fl_str_mv | http://redum.um.edu.uy/bitstream/20.500.12806/1412/1/Countercyclical_prudential_tools_in_an_estimated_DSGE_mode_Frache%20et%20al.pdf http://redum.um.edu.uy/bitstream/20.500.12806/1412/2/license_rdf http://redum.um.edu.uy/bitstream/20.500.12806/1412/3/license.txt http://redum.um.edu.uy/bitstream/20.500.12806/1412/4/Countercyclical_prudential_tools_in_an_estimated_DSGE_mode_Frache%20et%20al.pdf.txt http://redum.um.edu.uy/bitstream/20.500.12806/1412/5/Countercyclical_prudential_tools_in_an_estimated_DSGE_mode_Frache%20et%20al.pdf.jpg |
| collection | REDUM |
| dc.contributor.filiacion.es.fl_str_mv | Frache, Serafín. Universidad de Montevideo, Uruguay. García-Cicco, Javier. Universidad de San Andrés, Argentina Ponce, Jorge. Banco Central del Uruguay y dECON-FCS-UdelaR, Uruguay |
| dc.creator.none.fl_str_mv | Frache, Serafín García-Cicco, Javier Ponce, Jorge |
| dc.date.accessioned.none.fl_str_mv | 2023-07-28T16:59:38Z |
| dc.date.available.none.fl_str_mv | 2023-07-28T16:59:38Z |
| dc.date.issued.none.fl_str_mv | 2023 |
| dc.description.abstract.none.fl_txt_mv | We developed a dynamic stochastic general equilibrium (DSGE) model for a small, open economy with a banking sector and endogenous default to assess two macroprudential tools: countercyclical capital buffers (CCB) and dynamic provisions (DP). The model is estimated with data for Uruguay, where dynamic provisioning has existed since the early 2000s. Both tools force banks to build buffers, but DP seem to outperform the CCB in smoothing the cycle. We also find that the source of the shock affecting the financial system matters in assessing the relative performance of both tools. Given a positive external shock, the credit-to-GDP ratio decreases, which should discourage its use as an indicator variable to activate countercyclical regulation. |
| dc.format.mimetype.es.fl_str_mv | application/pdf |
| dc.identifier.doi.es.fl_str_mv | https://doi.org/10.1016/j.latcb.2023.100095 |
| dc.identifier.issn.es.fl_str_mv | 2666-1438 |
| dc.identifier.uri.none.fl_str_mv | https://hdl.handle.net/20.500.12806/1412 |
| dc.language.iso.none.fl_str_mv | eng |
| dc.publisher.es.fl_str_mv | Elsevier |
| dc.relation.ispartof.es.fl_str_mv | Latin American Journal of Central Banking, vol. 4, n°3, 100095 |
| dc.rights.es.fl_str_mv | Abierto |
| dc.rights.license.none.fl_str_mv | Attribution-NonCommercial-NoDerivatives 4.0 Internacional |
| dc.rights.none.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.rights.uri.*.fl_str_mv | http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| dc.source.none.fl_str_mv | reponame:REDUM instname:Universidad de Montevideo instacron:Universidad de Montevideo |
| dc.subject.keyword.es.fl_str_mv | Banking regulation Minimum capital requirement Countercyclical capital buffer Reserve requirement (Countercyclical or dynamic) loan loss provision Endogenous default Basel III DSGE Uruguay |
| dc.title.none.fl_str_mv | Countercyclical prudential tools in an estimated DSGE model |
| dc.type.es.fl_str_mv | Artículo |
| dc.type.none.fl_str_mv | info:eu-repo/semantics/article |
| dc.type.version.es.fl_str_mv | Publicada |
| dc.type.version.none.fl_str_mv | info:eu-repo/semantics/publishedVersion |
| description | We developed a dynamic stochastic general equilibrium (DSGE) model for a small, open economy with a banking sector and endogenous default to assess two macroprudential tools: countercyclical capital buffers (CCB) and dynamic provisions (DP). The model is estimated with data for Uruguay, where dynamic provisioning has existed since the early 2000s. Both tools force banks to build buffers, but DP seem to outperform the CCB in smoothing the cycle. We also find that the source of the shock affecting the financial system matters in assessing the relative performance of both tools. Given a positive external shock, the credit-to-GDP ratio decreases, which should discourage its use as an indicator variable to activate countercyclical regulation. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | REDUM_6d34ee63c1e5df1ffdfdb0678770563d |
| identifier_str_mv | 2666-1438 |
| instacron_str | Universidad de Montevideo |
| institution | Universidad de Montevideo |
| instname_str | Universidad de Montevideo |
| language | eng |
| network_acronym_str | REDUM |
| network_name_str | REDUM |
| oai_identifier_str | oai:redum.um.edu.uy:20.500.12806/1412 |
| publishDate | 2023 |
| reponame_str | REDUM |
| repository.mail.fl_str_mv | nolascoaga@um.edu.uy |
| repository.name.fl_str_mv | REDUM - Universidad de Montevideo |
| repository_id_str | 10501 |
| rights_invalid_str_mv | Attribution-NonCommercial-NoDerivatives 4.0 Internacional Abierto http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| spelling | Attribution-NonCommercial-NoDerivatives 4.0 InternacionalAbiertohttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccess95234359-094d-433c-9581-7f1ad15745a4d4261bc3-1836-4efb-a562-4e9486ae91830d95409b-3dc7-4382-9285-5dcc41d44d0fFrache, Serafín. Universidad de Montevideo, Uruguay.García-Cicco, Javier. Universidad de San Andrés, ArgentinaPonce, Jorge. Banco Central del Uruguay y dECON-FCS-UdelaR, Uruguay2023-07-28T16:59:38Z2023-07-28T16:59:38Z20232666-1438https://hdl.handle.net/20.500.12806/1412https://doi.org/10.1016/j.latcb.2023.100095application/pdfengElsevierLatin American Journal of Central Banking, vol. 4, n°3, 100095Countercyclical prudential tools in an estimated DSGE modelArtículoPublicadainfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleWe developed a dynamic stochastic general equilibrium (DSGE) model for a small, open economy with a banking sector and endogenous default to assess two macroprudential tools: countercyclical capital buffers (CCB) and dynamic provisions (DP). The model is estimated with data for Uruguay, where dynamic provisioning has existed since the early 2000s. Both tools force banks to build buffers, but DP seem to outperform the CCB in smoothing the cycle. We also find that the source of the shock affecting the financial system matters in assessing the relative performance of both tools. Given a positive external shock, the credit-to-GDP ratio decreases, which should discourage its use as an indicator variable to activate countercyclical regulation.Banking regulationMinimum capital requirementCountercyclical capital bufferReserve requirement (Countercyclical or dynamic) loan loss provisionEndogenous defaultBasel IIIDSGEUruguayreponame:REDUMinstname:Universidad de Montevideoinstacron:Universidad de MontevideoFrache, SerafínGarcía-Cicco, JavierPonce, JorgeORIGINALCountercyclical_prudential_tools_in_an_estimated_DSGE_mode_Frache et al.pdfCountercyclical_prudential_tools_in_an_estimated_DSGE_mode_Frache et al.pdfapplication/pdf4522208http://redum.um.edu.uy/bitstream/20.500.12806/1412/1/Countercyclical_prudential_tools_in_an_estimated_DSGE_mode_Frache%20et%20al.pdfac2ae0fddac2c2c1f73d58c970f2e912MD51CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8805http://redum.um.edu.uy/bitstream/20.500.12806/1412/2/license_rdf4460e5956bc1d1639be9ae6146a50347MD52LICENSElicense.txtlicense.txttext/plain; charset=utf-82117http://redum.um.edu.uy/bitstream/20.500.12806/1412/3/license.txt691ed290c8bf8671811a9242b7fc04b6MD53TEXTCountercyclical_prudential_tools_in_an_estimated_DSGE_mode_Frache et al.pdf.txtCountercyclical_prudential_tools_in_an_estimated_DSGE_mode_Frache et al.pdf.txtExtracted texttext/plain93172http://redum.um.edu.uy/bitstream/20.500.12806/1412/4/Countercyclical_prudential_tools_in_an_estimated_DSGE_mode_Frache%20et%20al.pdf.txt1faf6079dcfc59e9a2c0f131dd5886a9MD54THUMBNAILCountercyclical_prudential_tools_in_an_estimated_DSGE_mode_Frache et al.pdf.jpgCountercyclical_prudential_tools_in_an_estimated_DSGE_mode_Frache et al.pdf.jpgGenerated Thumbnailimage/jpeg1794http://redum.um.edu.uy/bitstream/20.500.12806/1412/5/Countercyclical_prudential_tools_in_an_estimated_DSGE_mode_Frache%20et%20al.pdf.jpg091f531dd96d6b71dcef65ee215d0ce9MD5520.500.12806/14122024-06-04 03:01:45.209oai:redum.um.edu.uy:20.500.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Universidadhttps://um.edu.uy/https://redum.um.edu.uy/oai/requestnolascoaga@um.edu.uyUruguayopendoar:105012024-06-04T06:01:45REDUM - Universidad de Montevideofalse |
| spellingShingle | Countercyclical prudential tools in an estimated DSGE model Frache, Serafín Banking regulation Minimum capital requirement Countercyclical capital buffer Reserve requirement (Countercyclical or dynamic) loan loss provision Endogenous default Basel III DSGE Uruguay |
| status_str | publishedVersion |
| title | Countercyclical prudential tools in an estimated DSGE model |
| title_full | Countercyclical prudential tools in an estimated DSGE model |
| title_fullStr | Countercyclical prudential tools in an estimated DSGE model |
| title_full_unstemmed | Countercyclical prudential tools in an estimated DSGE model |
| title_short | Countercyclical prudential tools in an estimated DSGE model |
| title_sort | Countercyclical prudential tools in an estimated DSGE model |
| topic | Banking regulation Minimum capital requirement Countercyclical capital buffer Reserve requirement (Countercyclical or dynamic) loan loss provision Endogenous default Basel III DSGE Uruguay |
| url | https://hdl.handle.net/20.500.12806/1412 https://doi.org/10.1016/j.latcb.2023.100095 |
