Revista Desarrollo y Sociedad logo

Desarro. soc. | eISSN 1900-7760 | ISSN 0120-3584

Ciclos de crédito, liquidez global y regímenes monetarios: una aproximación para América Latina

No. 78 (2017-03-01)
  • Juan Guillermo Bedoya Ospina
https://doi.org/10.13043/dys.78.7

Resumen

Con la última crisis financiera se ha reavivado el interés por determinar la función que desempeña el sector financiero en la economía. Dentro de la literatura que ha abordado el tema, el comportamiento del crédito ha recibido especial atención, dada su fuerte asociación con eventos de crisis financiera y períodos de inestabilidad macroeconómica. Este artículo se concentra en estudiar el comportamiento de los ciclos de crédito para América Latina, prestando especial atención a la existencia de factores comunes en el comportamiento de estos ciclos y la asociación de dichos factores con las condiciones globales de liquidez. Los resultados revelan que cerca de una tercera parte del ciclo del crédito es explicada por factores comunes a los países considerados, y que los choques de liquidez global tienen efectos en el componente común cíclico del crédito en la región.

Palabras clave: América Latina (Thesaurus), ciclos de crédito, sincronización, liquidez global, régimen monetario, factores dinámicos (palabras clave del autor)

Referencias

Agénor, P. R., & Pereira Da Silva, L. (2012). Macroeconomic stability, financial stability, and monetary policy rules. International Finance, 15(2), 205-224.

Anguren, R. (2011). Credit cycles: Evidence based on a non-linear model for developed countries (Documentos de Trabajo 1113). Madrid: Banco de España.

Barajas, A., Steiner, R., Pabón, C., & Villar, L. (2014). Singular focus or multiple objectives? What the data tell us about inflation targeting in Latin America. Economia, 15(1), 177-213.

Basel Committee on Banking Supervision. (2011). The transmission channels between the financial and real sectors: A critical survey of the literature (Working Paper 18). BIS, Basel.

Bekaert, G., Hoerova, M., & Lo Duca, M. (2012). Risk, uncertainty and monetary policy (Working Paper 1565). Frankfurt am Main: European Central Bank.

Borio, C. (2008). The financial turmoil of 2007-?: A preliminary assessment and some policy considerations (Working Papers 251). Basel: Bank for International Settlements.

Borio, C., & Disyatat, P. (2011). Global imbalances and the financial crisis: Link or no link? (Working Paper 346). Basel: Bank for International Settlements.

Borio, C., & Lowe, P. (2002). Asset prices, financial and monetary stability: Exploring the nexus (Working Paper 114). Basel: Bank for International Settlements.

Bruno, V., & Shin, H. S. (2015). Cross-border banking and global liquidity. Review of Economic Studies, 82(2), 535-564.

Calderón, C., de la Torre, A., Ize, A., & Servén, L. (2012). Macro-prudential policy issues: A Latin American perspective. FLAR, Papers & Procedings.

Canova, F., & Ciccarelli, M. (2009). Estimating multi-country VAR models. International Economic Review, 50(3), 929-961.

Canova, F., Ciccarelli, M., & Ortega, E. (2007). Similarities and convergence in G-7 cycles. Journal of Monetary Economics, 54(3), 850-878.

Cecchetti, S., & Kharroubi, E. (2012). Reassessing the impact of finance on growth (Working Paper 381). Basel: BIS.

Cecchetti, S., & Kharroubi, E. (2015). Why does financial sector growth crowd out real economic growth? (Working Paper 490). Basel: BIS.

Cerutti, E. M., Claessens, S., & Ratnovski, L. (2014). Global liquidity and drivers of cross-border bank flows (Working Paper 14/69). Washington: IMF.

Cesa-Bianchi, A., Céspedes, L., & Rebucci, A. (2015). Global liquidity, house prices and the macroeconomy: Evidence from advanced and emerging economies (Working Paper 522). Londres: Bank of England.

Chun, K., Lee, J., Koukoianova, E., Park, H., & Shin, H. (2014). Global liquidity through the lens of monetary aggregates (Working Paper WP/14/9). Washington: IMF.

Claessens, S., Kose, A., & Terrones, M. E. (2012). How do business and financial cycles interact? Journal of International Economics, 87(1), 178-190.

D’Agostino, A., & Surico, P. (2009). Does global liquidity help to forecast U.S. inflation? Journal of Money, Credit and Banking, 41(2-3), 479-489.

De Carvalho Filho, I. E. (2010). Inflation targeting and the crisis: An empirical assessment (Working Paper 0/45). Washington: IMF.

Dell’Ariccia, G., Igan, D., Laeven, L., & Tong, H. (2012). Policies for macrofinancial stability: How to deal with credit booms (Discussion Note). Washington: IMF Staff.

Eickmeier, S., Gambacorta, L., & Hofmann, B. (2013). Understanding global liquidity (Working Papers 402). Basel: BIS.

FMI. (2014). Global liquidity-issues for surveillance (Policy Paper). Washington: IMF.

Forbes, K. J., & Warnock, F. E. (2012). Capital flow waves: Surges, stops, flight, and retrenchment. Journal of International Economics, 88(2), 235-251.

Fouejieu, A. (2013). Coping with the recent financial crisis: Did inflation targeting make any difference? International Economics, 133, 72-92.

Fouejieu, A. (2014). Inflation targeters do not care (enough) about financial stability: A myth?: Investigation on a sample of emerging market economies (Working Paper DR LEO 2013-08).

Galindo, A., Izquierdo, A., & Rojas-Suárez, L. (2011). Financial integration and foreign banks in Latin America: How do the impact the transmission of financial shocks? (Working Paper 4651). Washington: IDB.

Gómez-González, J. E., Ojeda-Joya, J. N., Zárate, H. M., & Tenjo-Galarza, F. (2014). Testing for causality between credit and real business cycles in the frequency domain: An illustration. Applied Economics Letters, Taylor & Francis Journals, 21(10), 697-701.

Gómez-González, J. E., Villamizar-Villegas, M., Zárate, H. M., Amador, J. S., & Gaitán-Maldonado, C. (2015). Credit and business cycles: Causal effects in the frequency domain. Ensayos sobre Política Económica, 33(78), 176-189.

Gourinchas, P. O., Valdes, R., & Landerretche, O. (2001). Lending booms: Latin America and the world. Economia, 1(2), 47-99.

Gregory, A. W., Head, A. C., & Raynauld, J. (1997). Measuring world business cycles. International Economic Review, 38(3), 677-702.

Guarín, A., González, A., Skandalis, D., & Sánchez, D. (2012). An early warning model for predicting credit booms using macroeconomic aggregates (Borradores de Economía 723). Banco de la República, Colombia.

Hammond, G. (2012). State of the art of inflation targeting. Londres: Estados Unidos: Banco de Inglaterra.

Helbling, T., Raju Huidrom, M., Kose, A., & Otrok, C. (2011). Do credit shocks matter? A global perspective. European Economic Review, 55, 340-353.

Hideaki, H., Kose, M. A., Otrok, C., & TerronesM. E. (2012). Global house price fluctuations: Synchronization and determinants (Working Papers 18362). Cambridge: NBER.

Hume, M., & Sentence, A. (2009). The global credit boom: Challenges for macroeconomics and policy. Journal of International Money and Finance, 28(8), 1426-1461.

Jordà, Ò., Moritz, S., & Taylor, A. M. (2011). Financial crises, credit booms, and external imbalances: 140 Years of Lessons. IMF Economic Review, 59, 340-378.

Kose, M. A., Otrok, C., & Whiteman, C. H. (2003). International business cycles: World, region, and country-specific factors. American Economic Review, 93(4), 1216-1239.

Kose, M. A., Otrok, C., & Whiteman, C. H. (2008). Understanding the evolution of world business cycles. Journal of International Economics, 75(1), 110-130.

López, M., Tenjo, F., & Zárate, H. (2014). Credit cycles, credit risk and countercyclical loan provisions. Ensayos sobre Política Económica, 32(74), 9-17.

Mendoza, E., & Terrones, M. E. (2008). An anatomy of credit booms: Evidence from macro aggregates and micro data (Working Paper 14049). Cambridge: NBER.

Miranda-Agrippino, S., & Rey, H. (2012). World asset markets and global liquidity. Presented at the Frankfurt ECB BIS Conference, London Business School. Londres.

Neely, C. J., & Rapach, D. E. (2011). International comovements in inflation rates and country characteristics. Journal of International Money and Finance, 30(3), 1471-1490.

Puy, D. (2013). Instituctional investors flows and the geography of contagion (Economics Working Papers ECO2013/06). Florencia: European University Institute.

Rey, H. (2013). Dilemma not trilemma: The global financial cycle and monetary policy independence. Proceedings of the Federal Reserve Bank of Kansas City Economic Symposium at Jackson Hole. Kansas City.

Rey, H. (2016). International channels of transmission of monetary policy and the mundellian trilemma (Working Paper 21852). Cambridge: NBER.

Schularick, M., & Taylor, A. M. (2012). Credit booms gone bust: Monetary policy, leverage cycles, and financial crises, 1870-2008, American Economic Review, 102(2), 1029-1061.

Simo-Kengne, B., Gupta, R., & Aye, G. (2014). Macro shocks and house prices in South Africa. Journal of Real Estate Literature, 20(3), 179-193.

Taylor, A. (2015). Credit, financial stability, and the macroeconomy. Annual Review of Economics, 7, 309-339.

Tenjo, F., & López, M. (2010). Early warning indicators for Latin America. Ensayos sobre Política Económica, 28, 232-259.

Xu, T.T., 2012. The role of credit in international business cycles, Cambridge Working Papers in Economics 1202, Faculty of Economics, University of Cambridge.