Bibliographic citations
Carrizales, G., (2019). Análisis de la idoneidad de indicadores para la activación de los requerimientos de capital contra cíclicos [Trabajo de investigación, Universidad Peruana de Ciencias Aplicadas (UPC)]. http://hdl.handle.net/10757/648731
Carrizales, G., Análisis de la idoneidad de indicadores para la activación de los requerimientos de capital contra cíclicos [Trabajo de investigación]. PE: Universidad Peruana de Ciencias Aplicadas (UPC); 2019. http://hdl.handle.net/10757/648731
@misc{renati/1286931,
title = "Análisis de la idoneidad de indicadores para la activación de los requerimientos de capital contra cíclicos",
author = "Carrizales Villanueva, Giancarlo Raúl",
publisher = "Universidad Peruana de Ciencias Aplicadas (UPC)",
year = "2019"
}
Abstract: This research was motivated by the continuous credit growth and increase of the default in the Peruvian credits. This work aims to determinate the benefits of using different rules of countercyclical capital requirements which are the instrument to face the default risk generated by the credit cycles. For that it uses a DSGE Model with banking sector calibrated to the Peruvian economy and make simulations using the different rules for the capital requirements like the credit to GDP ratio, suggested by Basilea; the credit growth, suggested by different authors and the GDP growth used in Peru. For this analysis we considerate a positive technology shock, a negative financial shock and a negative monetary policy shock. According to the results the ratio proposed by Basilea operate better on the technology shock and the financial shock but doesn't on the monetary policy shock. The results aren't conclusive.
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