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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

Jiménez Sotelo, Renzo (2005): 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. Published in: Economía , Vol. XXXIII, No. 65 (June 2010): pp. 133-176.

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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.

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