Impacto del Stress Sistémico en el Crecimiento Económico: Caso Guatemala

Valdivia Coria, Joab Dan and Valdivia Coria, Daney David (2021): Impacto del Stress Sistémico en el Crecimiento Económico: Caso Guatemala.

Abstract

Since financial crisis in 2008 and global health crisis COVID-19, systemic risk monitoring has become a relevant variable to anticipate possible credit crunch episodes. In this paper a Composite Indicator of Systemic Stress (CISS) was constructed for Guatemala, throughout recursive Panel Vector Autoregressive Regression (PVAR) adverse effects on the performance of the economy were estimated. Results shows that shocks in systemic risk generate a fall between 0.04pp and 0.05pp on economic growth with different persistence, when the CISS is at low or high stress levels, respectively.

• Item Type: MPRA Paper
• English Title: Systemic Stress Impact on Economic Growth: The case of Guatemala
• Language: Spanish
• Keywords: Systemic Risk, Financial Stability, Panel VAR, recursive estimation.
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; G - Financial Economics > G2 - Financial Institutions and Services > G29 - Other

References

Agénor P., J. McDermott and E. Prasad (1999). “Macroeconomic Fluctuations in Developing Countries: Some Stylized Facts," World Bank Economic Review, World Bank Group, 14(2), pp. 251-285.

Abrigo M. and I. Love (2015). “Estimation of Panel Vector Autoregression in Stata: a Package of Programs” Working Paper.

Abiad A., D. Furcer, S. Kalemli-Ozcan, and A. Pescatori (2013). “Dancing together? Spillovers, common shocks, and the role of financial and trade linkages” International Monetary Fund (203) World Economic Outlook. Transitions and Tensions, Washington, D.C., pp 81–111.

Baltagi B. (2005). “Economtric Analysis of Panel Data” 3rd Edition, John Wiley and Sons Inc., New York.

Borio C., and P. Lowe (2002). “Asset prices, financial and monetary stability: exploring the nexus” Bank for International Settlements, Working Papers No 114.

Cabrera W., J. Hurtado, M. Morales and J. Rojas (2014). “A Composite Indicator of Systemic Stress (CISS) for Colombia” Temas de Estabilidad Financiera 80, Banco de la Republica de Colombia.

Canova F. (2007). “Methods for Applied Macroeconomic Research” Princenton University Press.

Claessens, S., M. A. Kose and M. E. Terrones (2011). “Financial Cycles: What? How? When?” in Clarida, R. And F. Giavazzi (Organizers) NBER International Seminar on Macroeconomics, 7 (1), University of Chicago Press, United States of America, pp. 303 – 344.

Deléchat C., C. Henao, P. Muthoora, and S. Vtyurina (2012). “The Determinants of Banks' Liquidity Buffers in Central America” International Monetary Fund, Working papers 301.

De Bandt, O., and P. Hartmann (2002). “Systemic risk in banking: A survey”. Oxford University Press.

De Bandt, O., P. Hartmann, and J. Peydro (2009). “Systemic risk in banking: An update”, Oxford Handbook of Banking. Oxford: Oxford University Press.

Denton F. (1971). “Adjustment of monthly or quaterly series to annuals totals: An approach based on quadratic minimization” Journal of the American Statistical Association, 66, pp. 99-102.

Demirgüç-Kunt A., T. Beck, and P.Honohan (2008). “Finance for all? Policies and Pitfalls in Expanding Access” World Bank Policy Research Report. Washington: World Bank.

Dimitrios P. and A. Vouldis (2013). “A financial systemic stress index for Greece” European Central Bank, Working Paper Series No 1563.

Drehmann, M and K. Tsatsaronis. “The credit-to-GDP gap and countercyclical capital buffers: questions and answers”, Bank for International Settlements Quarterly Review 55-73.

Drehmann M. and J. Yetman (2018). “Why you should use the Hodrick-Prescott filter – at least to generate credit gaps”, Bank for International Settlements Working Papers.

Fendoglu S. (2017). “Credit cycles and capital floss: Effectiveness of the macroprudential policy framework in emerging market economies” Journal of Banking and Finance, 79, pp. 110-128.

Fell J. and G. Schinasi (2005). “Assessing financial stability: Exploring the boundaries of analysis”. National Institute Economic Review, 192, pp.102–117.

Gautam R. (2016). “The Determinants of Banks Liquidity: Empirical Evidence on Nepalese Commercial Banks” Journal of Interdisciplinary Studies.

Gadanecz B. and K. Jayaram (2009). “A chapter in Proceedings of the IFC Conference on Measuring financial innovation and its impact" Bank for International Settlements, 31, pp 365-380.

Hansen L. (1982). “Large Sample Properties of Generalized Method of Moment” Econometrica, 50, pp 1029 – 1054.

Hartmann P., K. Hubrich and M. Kremer (2014). “Melting Down; Systemic Financial Instability and the Macroeconomy” Annual Conference on Competition Policy and Regulation in a Global Economic Order 80487, German Economic Association, Duesseldorf.

Holtz-Eakin D., W. Newey and H. Rosen (1988) “Estimating Vector Autoregressions with panel data”, Econometrica, 56(6), pp. 1371-1395.

Holló D., M. Kremer and M. Lo Duca (2012). “CISS – A Composite Indicator of Systemic Stress in the Financial System” European Central Bank, Working Paper Series No 1426.

Jordà O., M. Schularick and A. Taylor (2012). “When Credit Bites Back: Leverage, Business Cycles, and Crises” Federal Reserve Bank of San Francisco, Working Paper Series.

Kupkovič P and M. Šuster (2020). “Identifying the financial cycle in Slovakia” National Bank of Slovakia, Working Papers172.

Kubinschi M. and D. Barnea (2016) “Systemic Risk Impact on Economic Growth – The Case of the CEE Countires” Romanian Journal of Economic Forecasting, XIX (4).

Lipschitz L. and S. Schadler (2019). "Macroeconomics for Professionals," Cambridge Books, Cambridge University Press. Marini M. (2016) “Nowcasting Annual National Accounts with Quarterly Indicators: An Assessment of Widely Used Benchmarking Methods” International Monetary Fund Working Paper No 16/71.

Plašil M., T, Konečný, J. Seidler and P. Hlaváč (2015). “In the Quest of Measuring the Financial Cycle”, Czech National Bank, Working Paper Series No 1563.

Sarlin P. (2014) “Mapping Financial Stability” Springer Heidelberg New York Dordrecht London.

Schinasi G. (2004). “Defining financial stability” International Monetary Fund Working Paper No 04/187.