Latin American Journal of Central Banking最新文献

As in many developing economies, cash is still widely used in Colombia, even among merchants who accept payment cards. Indeed, 60% of these merchants use dissuasive strategies to make their clients pay with cash. This paper presents estimates of merchant card fees that are optimal according to the Tourist Test, so that merchants are indifferent between being paid with cash or cards. We find the estimates are far below the rates that the industry charges because of the low marginal costs of cash and the incentives that sales-tax evasion—a common practice in many developing economies—adds to its promotion. Moreover, we find that reductions in cash usage may lead to an increase in optimal merchant card fees due to scale effects. The results show that the Tourist Test should be used as a guideline for regulators but ought to be complemented with a broader analysis of the industry.

When a loan is close to becoming non-performing, banks have stronger incentives to renegotiate it in favourable conditions for the borrower (loan forbearance) rather than for recognising and resolving the non-performing loan. At the aggregated level and looking at borrowers (non-financial corporations), the preference for loan renegotiation may affect total factor productivity and aggregate productivity growth, as new entrants, typically using technologies that are more advanced, may be crowded out from bank funding by incumbent non-financial corporations (this would particularly be the case in the absence of well-developed financial markets). The empirical analysis finds that a wider use of loan renegotiation, seen through lower values of provisions to total loans, has a negative effect on the change of total factor productivity (in addition to the influence of consumption growth). These results provide useful insights when considering the resolution of non-performing loans and the long-term consequences on the real economy.

This paper provides evidence of the relationship between fiscal and monetary policy in Colombia through an empirical exploration of the credit risk channel. Under this empirical approach, fiscal policy serves as an important explanatory role in the sovereign risk premium which, in turn, could affect the exchange rate and inflation expectations. The colombian central bank reacts to inflation expectations by using the policy interest rate; consequently, such reaction could be indirectly influenced by fiscal policy behavior. Using monthly data from January 2003 to December 2019, we estimate a reduced-form system of equations that describes the credit risk channel in a small open economy. Our findings are in line with the theoretical predictions. Fiscal policy affected the country’s sovereign risk during this period, although its incidence was not particularly large. Thus, we infer that there could be insufficient evidence of fiscal dominance in Colombia during the period analyzed.

Supply shocks bring about important dilemmas for monetary policy in emerging economies. We compute monetary policy responses to supply shocks using quarterly data and a Bayesian panel VAR for 24 emerging economies during the period 2004–2019. In this framework, we identify supply shocks as unexpected and temporary total factor productivity innovations which are orthogonal to demand related shocks. We highlight three results from this econometric exercise. First, monetary policy is, in average, procyclical in emerging economies after temporary supply shocks. Second, monetary policy is more procyclical in fixed than in flexible exchange-rate regimes. Third, monetary policy is more procyclical in economies with a higher degree of financial openness. The latter result is a central dilemma for emerging economies during supply shocks, since it implies that financial openness prevents less procyclical monetary policy reactions due to the trade-off between exchange rate and income volatility.

I estimate the effect micro firms’ size and productivity have on the probability of becoming a discouraged borrower: firms that do not use credit from the formal financial system despite needing it. I also estimate the effect that size and productivity have on the probability of becoming accepted in the event of a formal credit request. Using a trivariate probit model that corrects for selection biases, I find that productivity and size (number of employees) reduce the likelihood of becoming discouraged. Both variables are related to a higher probability of being accepted in formal credit requests.

After adopting an inflation targeting framework for monetary policy at the turn of the twenty-first century, Banco de la República, the Central Bank of Colombia, started actively using the monetary policy interest rate as its key policy tool. This paper examines the interest rate pass-through from the monetary policy rate to the retail rates in Colombia and explores asymmetries in the adjustment process within the framework of a nonlinear version of the autoregressive distributed lag (ARDL) and the non-linear autoregressive distributed lag (NARDL) models developed by Shin, Yo, and Greenwood-Nimmo (2014). The findings show that the policy rate plays a key role in determining deposit and lending retail rates, but the nature of the pass-through varies across different types of products. In the case of lending rates, the pass-through is nearly complete and takes around 12 months to be nearly complete. The results capture an asymmetric pass-through in deposit rates—i.e., greater when the policy rate is increased than when it is reduced—and an upward rigidity in the lending rates of consumer and ordinary corporate loans, implying that major retail lending rates respond more to policy rate cuts than to hikes, indicating that financial intermediaries are more reluctant to raise interest rates than to decrease them following policy adjustments. Results are robust to the inclusion of additional regressors.

This paper studies the network structure and fragmentation of the Argentinean interbank market. The unsecured (CALL) and secured (REPO) markets are examined, applying complex network analysis. Results indicate that although the secured market has fewer participants, its nodes are more densely connected than the ones in the unsecured market. The interrelationships in the unsecured market are less stable, making its structure more volatile and vulnerable to negative shocks. The analysis identifies two hidden underlying subnetworks within the REPO market: one based on the transactions collateralized by Treasury bonds (REPO-T) and the other based on the operations collateralized by Central Bank (CB) securities (REPO-CB). The changes in monetary policy stance and monetary conditions seem to have a substantially smaller effect in the former submarket than in the latter one. The connectivity levels within the REPO-T market and its structure remain relatively unaffected by the (occasionally pronounced) swings in the other market segment. Hence, the REPO market shows signs of fragmentation in its inner structure, according to the type of collateral asset involved in the transactions, so the average REPO interest rate reflects the interplay between these two partially fragmented submarkets. The REPO market's mixed structure entails one of the main sources of differentiation with respect to the CALL market.

This paper estimates and analyzes multipliers for tax revenue and public spending for Colombia using structural autoregressive vectors and local projections models. Quarterly series of the central national government between 2000Q1 and 2018Q4 are used. The results show fiscal multipliers that are less than unity when the state of the economy is not considered and a spending multiplier around unity when the economy is in an expansionary phase. The spending multiplier is greater and bigger than one during a contractionary phase, supporting the case for conducting countercyclical fiscal policy in this state. The tax revenue multiplier is negative and much smaller in magnitude than the spending multiplier. The results are robust to different identification schemes and estimation methodologies.