Latin American Journal of Central Banking最新文献

This paper proposes a model that associates borrower credit risk with the cash flow method to assess the economic value of a consumer credit portfolio. A Monte Carlo simulation applying the method to an illustrative loan reveals that the lending standards of the institution, captured in the model by the expected and unexpected losses of the contract according to Basel II Internal Rating-Based Approach, is a key driver of the portfolio's intrinsic value, lending support to the evidence that a bank's credit policy and a bank's valuation are associated.

The COVID-19 crisis has been, above all, a tragic public health crisis. It has entailed an enormous effort to respond to the demand for health services. In it, fiscal authorities have led the economic policy responses. For their part, central banks responded swiftly by easing their monetary policy stance and implementing facilities to provide liquidity and enable credit in the economy. We discuss key economic issues of the central bank response, in which the monetary authorities have had to account for the crisis’ nature. We argue that the actions taken by central banks in general avoided a further deterioration of financial and economic conditions.

This article describes the construction of an open-source growth-at-risk (GaR) model. The model provides a flexible analytical tool for policymakers and researchers aiming to use the GaR approach to characterize the probability density of GDP growth conditional on domestic and international macrofinancial variables. This article, together with its related online repository, aims to foster an understanding of macrofinancial risk factors both in advanced and emerging economies.

The decision to introduce a central bank digital currency (CBDC) is part of the new challenges that central banks are facing as technology keeps moving. The e-Peso pilot plan, implemented between 2017 and 2018, could provide some key findings for central banks. In this sense, we can learn seven lessons from the e-Peso pilot plan: (i) reputation is key for central banks’ decision to introduce a CBDC; (ii) financial inclusion and cultural reasons are the main motivations; (iii) the technological solution as simple as possible; (iv) security aspects and traceable transfers are central for operational risk problems; (v) a token was a good solution for CBDC implementation; (vi) digital money was used for small payments and transfers; and (vii) CBDCs complement the existing means of payment. The conclusions highlight that CBDC choices are based not only on technical considerations but also on the cultural implications money use. The adoption of this new means of payment will be incremental but not reversible.

This paper revisits the competitive environment of the banking system in Latin America and the Caribbean and investigates the early impact of fintech development in the region thus far. Against the backdrop of high net interest margins (NIMs) and limited financial depth in the region, panel regressions broadly confirm the results of existing literature on the association of NIMs with the changes in financial sector structure, including market concentration, administrative costs, and foreign banks, although differences between domestic and foreign banks narrowed after the 2008-09 global financial crisis. Difference-in-difference regressions and case studies on Brazil and Mexico suggest that fintech is associated with reductions in NIMs and defensive responses by incumbent banks, both of which benefit consumers. The case studies also shed light on regulatory approaches and prudential considerations in fostering financial innovation and banking sector competition.

Systemic risk analysis has become a very important undertaking in most central banks after the Global Financial Crisis (GFC). This paper describes the Colombian credit system of banks and firms as a bipartite network of lenders and borrowers. To such network, we apply a spectral method to identify the most central actors, and a variant of the DebtRank algorithm to identify the banks and firms that would be the most vulnerable to shocks in the system, and the most impactful in propagating them. We perform our analysis with a multi-layer approach, analysing networks of loans in the Commercial, Housing, and Microcredit domain. Our analyses reveal a rich and heterogeneous systemic risk profile across the Colombian credit system, and highlight the presence of considerable network effects that would contribute to shape the propagation of shocks from the real economy to the banking system.

In this paper, we estimate a semi-structural model with a banking sector for the Chilean economy. Our innovation consists of incorporating a system of equations that reflects the dynamics of credit, interest rate spreads, and loan-loss provisions to the Central Bank of Chile’s semi-structural model (modelo semi-estructural de proyección). We estimate the model and analyze the macroeconomic effects of incorporating this sector. We find that the banking sector plays a role in accelerating the business cycle through lower spreads and procyclical credit supply, in contrast to its counter-cyclical role in the COVID-19 crisis. Additionally, we find that credit growth can explain about 0.3 pp of total output gap variation on average. Moreover, we find that in episodes of severe stress, this gap can grow to 1.9 pp, as it did during the COVID-19 pandemic. We also identify a credit multiplier of up to 0.06 pp of GDP for each 1 pp of growth in commercial credit. Our results suggest not only that these nonconventional policies through the credit channel can be useful but also that our model can be used for evaluation purposes.