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Políticas monetaria y macroprudencial óptimas post Basilea III

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  • Rojas, Carlos

Abstract

El presente trabajo estudia la interacción entre las políticas monetaria y macroprudencial óptimas en una economía pequeña y abierta calibrada para el caso de la economía chilena frente a un choque de riesgo financiero, al estilo de Christiano y otros (2014). Con este fin, se utiliza el modelo propuesto en García-Cicco y otros (2014) modificándolo con el propósito de introducir un regulador bancario. Específicamente, el modelo evalúa el efecto en el bienestar de utilizar un requerimiento de capital cíclico como el propuesto en Basilea III, así como la relación entre este requerimiento y la tasa de interés de política monetaria en un contexto de estrés financiero. Los resultados de este ejercicio de calibración sugieren que la política monetaria no responda a fluctuaciones en el crédito bancario ante un choque de riesgo financiero debido a que esto incrementaría los costos de la estabilización macroeconómica. Con respecto a las ganancias de bienestar, la introducción del componente cíclico del requerimiento de capital propuesto en Basilea III genera ganancias significativas en comparación con el régimen de Basilea II.

Suggested Citation

  • Rojas, Carlos, 2017. "Políticas monetaria y macroprudencial óptimas post Basilea III," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 33, pages 57-94.
    • Handle: RePEc:rbp:esteco:ree-33-04
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    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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