Política monetaria contra cíclica y encaje bancario

Abstract

A pesar de que el encaje bancario era un instrumento de política monetaria que venía cayendo en desuso, recientemente, varios países lo han empleado con aparente éxito en el marco de una política monetaria contracíclica y macroprudencial. Surge entonces la pregunta de si dicho éxito se dio por la utilización del encaje per se, o porque el encaje reforzó el efecto de la política de tasas de interés. Para responder este interrogante, se construye un modelo de equilibrio general con agentes heterogéneos e intermediarios financieros aversos al riesgo. Se encuentra que un manejo contracíclico del encaje bancario contribuye a reducir marginalmente la volatilidad de las fluctuaciones del consumo. Su efecto cobra mayor importancia a medida que los bancos son más aversos al riesgo.

The macroprudential policy framework in Colombia

“…Based on Colombian microlevel loan data, Gómez et al (2017) estimate a significantly negative effect of a variable summarising macroprudential policies on commercial loan growth in this episode, controlling for shifts in monetary policy, macroeconomic conditions, bank characteristics and risk indicators at the bank and firm level. Finally, using a general equilibrium model with heterogeneous agents and risk-adverse financial intermediaries calibrated to Colombian data, Bustamante (2011) concludes that reserve requirements reinforce the effects of the policy rate and that this complementary effect is most important when commercial bank risk aversion is high. The results also show that when both instruments are used jointly, business cycles are dampened.…”

Policy analysis tool applied to colombian needs: PATACON model description

“…Some work has also being done in this respect. See, for example, López and Rodríguez (2008), López, Prada, and Rodríguez (2009) , López and Prada (2010) or Bustamante (2011). The third modification is to include explicitly the government within the model.…”

Credit Growth and the Effectiveness of Reserve Requirements and Other Macroprudential Instruments in Latin America

“…In a different study,Bustamante (2011) relies in a general equilibrium model with heterogeneous agents and risk-adverse financial intermediaries to show that the countercyclical use of RRs contributes to marginally reduce consumption volatility. A key issue is that RRs become more effective the more risk-adverse banks are.…”