Shadow Banking y liquidez en Colombia
Shadow Banking y liquidez en Colombia
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Cardozo, P., Cely, J. y Murcia, A. 2014. Shadow Banking y liquidez en Colombia. ODEON. 8 (dic. 2014).
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Dec 20, 2014
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En este estudio calculamos un indicador de la actividad de shadowbanking en Colombia para el período comprendido entre enero de 2011 y marzo de 2013. Dicho indicador sugiere que esta actividad ha venido incrementándose y representa cerca del 9,9% del PIB de 2012. Adicionalmente, evaluamos el nivel de prociclicidad que puede tener la decisión de apalancamiento de un grupo de intermediarios financieros especialmente asociados a este tipo de actividad, y se encontró que dicha prociclicidad está asociada a un mayor uso de operaciones repo y de simultáneas por parte de los intermediarios financieros. Finalmente, a través de la adaptación de un modelo teórico de liquidez y apalancamiento (Tirole, 2011) planteamos bajo qué condiciones dichas decisiones de apalancamiento se tornan procíclicas.
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Referencias (VER)
Adrian, T. y Hyun Son, Shin. (2014). “Procyclical Leverage and Value-at-Risk,” Review of Financial Studies, 27 (2), pp. 373-403.
Adrian, T y Shin, H.S. (2010). “Liquidity and Leverage”, Journal of Financial Intermediation 19: 418-437.
Arestis, P; P. Demetriades y K. Luintel (2001) “Financial Development and Economic Growth: The Role of Stock Markets”, Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(1), pp 16-41, February.
Bakk-Simon, K; Borgioli, S; Girón, C; Hempell, H; Maddaloni, A; Recine, F y Simonetta, R. (2012). “Shadow Banking in the Euro Area”. European Central Bank. OcassionalPaper Series. N.o 133.
Bernanke, B y M. Gertler. (1989). “Agency costs, net worth, and business fluctuations”. American Economic Review. 79(1): 14-31.
Bernanke, B. ; M. Gertler y S. Gilchrist. (1999). “The financial accelerator in a quantitative business cycle framework,” Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, vol. 1, chapter 21, pp1341-1393 Elsevier.
Borio, C y H. Zhu. (2008). “Capital Regulation, Risk- Taking and Monetary Policy: A Missing Link in the Transmission Mechanism?”, BIS Working Papers, núm. 268.
Claessens, S; Z. Pozsar; L. Ratnovski y M. Singh. (2012). “Shadow Banking: Economicsand Policy”. imf Discussion Note. SDN/12/12.
De Soto, H. (2003). “The mystery of Capital: Why capitalisms triumphs in the West andfails every where else”. New York: Basic Books.
Deloitte. (2012). The Deloitte Shadow Banking Index.
Financial Stability Board. (2011). “Shadow Banking: Strengthening Oversight and Regulation”.
Financial Stability Board. (2012). “Shadow Banking: Strengthening Oversight and Regulation. A Policy Framework for Strenghthening Oversight and Regulation of ShadowBanking Entities”.
Financial Stability Board. (2014). “Regional Consultative Group for the Americas. Working Group on Shadow Banking”.
Gambacorta, L. (2011). “The risks of low interest rates” Ensayos sobre Política Económica, vol. 29, N.o 64. Edición Especial Riesgos en la Industria Bancaria: 14-31.
Hamman, F; R. Hernández; L. Silva & F. Tenjo. (2013). “Credit pro-cyclicality and BankBalance Sheet in Colombia”, Borradores de Economía, N.o 762. Banco de la República.
Holmström, B y J. Tirole. (2011). “Inside and Outside Liquidity” MIT Press.
International Organization of Securities Commissions. (2012). “Policy Recommendations for Money Market Funds”.
Kiyotaki,N y J. Moore. (1997). “Credit Cycles”, Journal of Political Economy, 105 (2):211-248.
Masoud, N y G. Hardaker. (2012). “The impact of financial development on economic growth: Empirical analysis of emerging market countries”, Studies in Economics and Finance, vol. 29 Iss: 3, pp. 148-173.
Pozsar, Z y Singh, M. (2011). “The Non-Bank Nexus and the Shadow Banking System”. IMF.
Pozsar, Z; Adrian,T; Ashcraft, A y Boesky, H. (2012). “Shadow Banking”. Federal Reserve Bank of New York. Staff Reports.
Pozsar, Z; Adrian, T; Ashcraft, A y Boesky, H. (2013). “Shadow Banking” Federal Reserve Bank of New York. Economic Policy Review.
Tirole, J.(2011). “Illiquidity and all its friends” Journal of Economic Literature. 49(2):287-325.
Adrian, T y Shin, H.S. (2010). “Liquidity and Leverage”, Journal of Financial Intermediation 19: 418-437.
Arestis, P; P. Demetriades y K. Luintel (2001) “Financial Development and Economic Growth: The Role of Stock Markets”, Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(1), pp 16-41, February.
Bakk-Simon, K; Borgioli, S; Girón, C; Hempell, H; Maddaloni, A; Recine, F y Simonetta, R. (2012). “Shadow Banking in the Euro Area”. European Central Bank. OcassionalPaper Series. N.o 133.
Bernanke, B y M. Gertler. (1989). “Agency costs, net worth, and business fluctuations”. American Economic Review. 79(1): 14-31.
Bernanke, B. ; M. Gertler y S. Gilchrist. (1999). “The financial accelerator in a quantitative business cycle framework,” Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, vol. 1, chapter 21, pp1341-1393 Elsevier.
Borio, C y H. Zhu. (2008). “Capital Regulation, Risk- Taking and Monetary Policy: A Missing Link in the Transmission Mechanism?”, BIS Working Papers, núm. 268.
Claessens, S; Z. Pozsar; L. Ratnovski y M. Singh. (2012). “Shadow Banking: Economicsand Policy”. imf Discussion Note. SDN/12/12.
De Soto, H. (2003). “The mystery of Capital: Why capitalisms triumphs in the West andfails every where else”. New York: Basic Books.
Deloitte. (2012). The Deloitte Shadow Banking Index.
Financial Stability Board. (2011). “Shadow Banking: Strengthening Oversight and Regulation”.
Financial Stability Board. (2012). “Shadow Banking: Strengthening Oversight and Regulation. A Policy Framework for Strenghthening Oversight and Regulation of ShadowBanking Entities”.
Financial Stability Board. (2014). “Regional Consultative Group for the Americas. Working Group on Shadow Banking”.
Gambacorta, L. (2011). “The risks of low interest rates” Ensayos sobre Política Económica, vol. 29, N.o 64. Edición Especial Riesgos en la Industria Bancaria: 14-31.
Hamman, F; R. Hernández; L. Silva & F. Tenjo. (2013). “Credit pro-cyclicality and BankBalance Sheet in Colombia”, Borradores de Economía, N.o 762. Banco de la República.
Holmström, B y J. Tirole. (2011). “Inside and Outside Liquidity” MIT Press.
International Organization of Securities Commissions. (2012). “Policy Recommendations for Money Market Funds”.
Kiyotaki,N y J. Moore. (1997). “Credit Cycles”, Journal of Political Economy, 105 (2):211-248.
Masoud, N y G. Hardaker. (2012). “The impact of financial development on economic growth: Empirical analysis of emerging market countries”, Studies in Economics and Finance, vol. 29 Iss: 3, pp. 148-173.
Pozsar, Z y Singh, M. (2011). “The Non-Bank Nexus and the Shadow Banking System”. IMF.
Pozsar, Z; Adrian,T; Ashcraft, A y Boesky, H. (2012). “Shadow Banking”. Federal Reserve Bank of New York. Staff Reports.
Pozsar, Z; Adrian, T; Ashcraft, A y Boesky, H. (2013). “Shadow Banking” Federal Reserve Bank of New York. Economic Policy Review.
Tirole, J.(2011). “Illiquidity and all its friends” Journal of Economic Literature. 49(2):287-325.