Credit cycles, credit risk and countercyclical loan provisions
dc.audience | Policymakers | eng |
dc.audience | Researchers | eng |
dc.audience | Students | eng |
dc.audience | Teachers | eng |
dc.coverage.sucursal | Bogotá | eng |
dc.creator | López-Piñeros, Martha Rosalba | eng |
dc.creator | Tenjo-Galarza, Fernando | eng |
dc.creator | Zárate-Solano, Hector Manuel | eng |
dc.creator.firma | Martha López | spa |
dc.date.accessioned | 2014-06-01T08:30:10Z | eng |
dc.date.available | 2014-06-01T08:30:10Z | eng |
dc.date.created | 2014-06-01 | eng |
dc.date.issued | 2014-06 | eng |
dc.description | En este documento investigamos el impacto del rápido crecimiento del crédito sobre riesgo de crédito ex ante. Presentamos evidencia micro-econométrica de una relación positiva entre el rápido crecimiento del crédito y el deterioro de la calidad de la cartera de créditos: créditos que se otorgan durante períodos de auge tienen probabilidades de no pago más altas que aquellos otorgados en tiempos de más lento crecimiento del crédito. Adicionalmente, dada la importancia de las provisiones contra-cíclicas como política macro-prudencial, evaluamos su efectividad. Encontramos que existe una relación negativa entre la amplitud del ciclo del crédito y este tipo de instrumento. | eng |
dc.description.abstract | In this paper we investigate the impact of rapid credit growth on ex ante credit risk. We present microeconometric evidence of the positive relationship between rapid credit growth and deterioration in lending portfolios: Loans granted during boom periods have higher probability of default than those granted during periods of slow credit growth. In addition, given their importance for macroprudential policy, we evaluate the effectiveness of the implementation of the countercyclical loan provisions. We find a negative relationship between the amplitude of credit cycles and this kind of macroprudential tool. | eng |
dc.format.extent | 9 páginas : gráficas, tablas | eng |
dc.format.mimetype | eng | |
dc.identifier.handle | https://hdl.handle.net/20.500.12134/6505 | spa |
dc.identifier.uri | https://repositorio.banrep.gov.co/handle/20.500.12134/6505 | |
dc.language.iso | eng | eng |
dc.publisher | Banco de la República de Colombia | eng |
dc.relation.doi | https://doi.org/10.1016/S0120-4483(14)70024-7 | eng |
dc.relation.dotec | https://ideas.repec.org/a/col/000107/012392.html | spa |
dc.relation.ispartof | Artículos de revista | eng |
dc.relation.ispartofseries | Revista Ensayos Sobre Política Económica | eng |
dc.relation.issn | 0120-4483 | eng |
dc.relation.isversionof | Revista Ensayos Sobre Política Económica; Vol. 32. No. 74. Junio, 2014. Pág.: 9-17. | eng |
dc.relation.repec | https://ideas.repec.org/a/bdr/ensayo/v32y2014i74p9-17.html | spa |
dc.rights.accessRights | Open Access | eng |
dc.rights.cc | Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 | eng |
dc.rights.spa | Acceso abierto | spa |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/ | eng |
dc.source.bibliographicCitation | Adrian, T., and Song Shin, H. (2010). Financial intermediaries and monetary economics. In: Friedman, B.M., Woodford, M., editors, Handbook of Monetary Economics, volume 3, p. 601-650. Elsevier. | eng |
dc.source.bibliographicCitation | Aikman, D., Haldene, A.G., and Nelson, B. (2010). Curbing the credit cycle. 8th Annual Conference: Microfoundations for Modern Macroeconomics. | eng |
dc.source.bibliographicCitation | Altunbas, Y., Gambacorta, L., and Marques-Ibanez, D. (2010). Bank risk and monetary policy. Journal of Financial Stability 6):121-129. | eng |
dc.source.handleRepec | RepEc:bdr:ensayo:v:32:y:2014:i:74:p:9-17 | spa |
dc.subject | Riesgo del crédito ex ante | eng |
dc.subject | Ciclos de crédito | eng |
dc.subject | Provisiones contra-cíclicas | eng |
dc.subject.jel | E32 - Business Fluctuations; Cycles | eng |
dc.subject.jel | E51 - Money Supply; Credit; Money Multipliers | eng |
dc.subject.jel | E60 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General | eng |
dc.subject.jel | G18 - General Financial Markets: Government Policy and Regulation | eng |
dc.subject.jel | G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages | eng |
dc.subject.jelspa | E32 - Fluctuaciones económicas; Ciclos | eng |
dc.subject.jelspa | E51 - Oferta monetaria; Crédito; Multiplicadores monetarios | spa |
dc.subject.jelspa | E60 - Política macroeconómica, aspectos macroeconómicos de las finanzas públicas y perspectivas generales: Generalidades | eng |
dc.subject.jelspa | G18 - Mercados financieros en general: Política pública y regulación | eng |
dc.subject.jelspa | G21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecas | eng |
dc.subject.keyword | Ex ante credit risk | eng |
dc.subject.keyword | Credit cycles | eng |
dc.subject.keyword | Countercyclical provisioning | eng |
dc.subject.lemb | Riesgo crediticio | eng |
dc.subject.lemb | Crédito | eng |
dc.subject.lemb | Cartera de crédito | eng |
dc.subject.lemb | Crédito -- Colombia | eng |
dc.title | Credit cycles, credit risk and countercyclical loan provisions | eng |
dc.title.alternative | Ciclos de crédito, riesgo de crédito y provisiones contra-cíclicas | eng |
dc.type | Article | eng |
dc.type.hasversion | Published Version | eng |
dc.type.spa | Artículo | eng |
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