Citas bibligráficas
Huerta, R., (2020). El rol del programa de intervención cambiaria del BCRP en la reducción del riesgo cambiario-crediticio en el Sistema Bancario Peruano [Pontificia Universidad Católica del Perú]. http://hdl.handle.net/20.500.12404/17637
Huerta, R., El rol del programa de intervención cambiaria del BCRP en la reducción del riesgo cambiario-crediticio en el Sistema Bancario Peruano []. PE: Pontificia Universidad Católica del Perú; 2020. http://hdl.handle.net/20.500.12404/17637
@misc{sunedu/2660232,
title = "El rol del programa de intervención cambiaria del BCRP en la reducción del riesgo cambiario-crediticio en el Sistema Bancario Peruano",
author = "Huerta Dueñas, Rodrigo Franco",
publisher = "Pontificia Universidad Católica del Perú",
year = "2020"
}
Long periods of financial dollarization can bring a series of distortions in the economy and make us especially susceptible to external shocks. That is why it is important to study the actions taken by the Peruvian Central Bank to control the risks of a very powerful dollar, especially on the banks’ balance sheets. The main objective of this paper is to analyze the relationship between the Peruvian Central Bank exchange rate interventions and the exchange rate credit risk of banks in the period 1996-2018 to determine if the interventions help to control and reduce this risk. As an indicator of exchange rate credit risk, we use the Non-Performing Loans Rate (default rate) in foreign currency, while foreign exchange interventions are represented by the operations carried out by the BCRP such as the purchase/sale of dollars and the purchase/sale of derivative instruments, differentiating the effects of the purchases from the effects of the sales. Furthermore, we subdivided the sample of banks between “Big Banks” and “Retail Banks” to find differentiated effects. We estimated a Dynamic Panel Data Model following Arellano and Bond’s methodology, since we have data from several individual banks over several years. We got some interesting results. First, the relationship of the exchange rate credit risk with its determinants always comes with certain lag. Then, making a distinction between the banks is important and significant: retailers suffer much more from stronger delinquency shocks. Finally, the exchange rate interventions do not seem to explain much of the exchange rate credit risk, the other macroeconomic determinants are much more decisive.
Este ítem está sujeto a una licencia Creative Commons Licencia Creative Commons