IDEAS home Printed from https://ideas.repec.org/p/bdr/temest/040.html
   My bibliography  Save this paper

Una aproximación para analizar la estabilidad financiera por medio de un DSGE

Author

Listed:
  • David Pérez-Reyna

Abstract

En este trabajo se presenta un modelo de equilibrio general dinámico y estocástico para analizar la estabilidad financiera de una economía cerrada y sin gobierno. El modelo se basa en el propuesto por Leao y Leao (2007), adicionando un incumplimiento endógeno del pago de la deuda por parte de los hogares y un requerimiento de provisiones para los bancos. Así se permite analizar el impacto que tienen cambios en algunas medidas de política monetaria y regulatorias sobre la estabilidad financiera. Los resultados sugieren que una política monetaria contraccionista puede tener implicaciones positivas en términos de estabilidad financiera.

Suggested Citation

  • David Pérez-Reyna, 2009. "Una aproximación para analizar la estabilidad financiera por medio de un DSGE," Temas de Estabilidad Financiera 040, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:temest:040
    DOI: 10.32468/tef.40
    as

    Download full text from publisher

    File URL: https://doi.org/10.32468/tef.40
    Download Restriction: no
    File URL: https://libkey.io/10.32468/tef.40?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Akram, Q. Farooq & Eitrheim, Øyvind, 2008. "Flexible inflation targeting and financial stability: Is it enough to stabilize inflation and output?," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1242-1254, July.
    2. Dairo Estrada & Angela González Arbelaéz & Javier Gutiérrez Rueda, 2008. "The Effects of Diversification on Banks’ Expected Returns," Borradores de Economia 524, Banco de la Republica de Colombia.
    3. Charles Goodhart & Pojanart Sunirand & Dimitrios Tsomocos, 2006. "A model to analyse financial fragility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 27(1), pages 107-142, January.
    4. Gunnar Bårdsen & Kjersti-Gro Lindquist & Dimitrios P. Tsomocos, 2012. "Evaluation of Macroeconomic Models for Financial Stability Analysis," Chapters, in: The Challenge of Financial Stability, chapter 3, pages 32-58, Edward Elgar Publishing.
    5. Harald Uhlig, 1995. "A toolkit for analyzing nonlinear dynamic stochastic models easily," Discussion Paper / Institute for Empirical Macroeconomics 101, Federal Reserve Bank of Minneapolis.
    6. Allen, William A. & Wood, Geoffrey, 2006. "Defining and achieving financial stability," Journal of Financial Stability, Elsevier, vol. 2(2), pages 152-172, June.
    7. Charles Goodhart & Pojanart Sunirand & Dimitrios Tsomocos, 2006. "A Time Series Analysis of Financial Fragility in the UK Banking System," Annals of Finance, Springer, vol. 2(1), pages 1-21, January.
    8. Leao, Emanuel R. & Leao, Pedro R., 2007. "Modelling the central bank repo rate in a dynamic general equilibrium framework," Economic Modelling, Elsevier, vol. 24(4), pages 571-610, July.
    9. Dairo Estrada & Angela González Arbeláez & Javier Gutierréz Rueda, 2008. "The Effects of Diversification on Banks´ Expected Returns," Borradores de Economia 4991, Banco de la Republica.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gunnar Bårdsen & Kjersti-Gro Lindquist & Dimitrios P. Tsomocos, 2012. "Evaluation of Macroeconomic Models for Financial Stability Analysis," Chapters, in: The Challenge of Financial Stability, chapter 3, pages 32-58, Edward Elgar Publishing.
    2. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2007. "New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability," NBER Working Papers 13607, National Bureau of Economic Research, Inc.
    3. Oriol Aspachs & Charles Goodhart & Dimitrios Tsomocos & Lea Zicchino, 2007. "Towards a measure of financial fragility," Annals of Finance, Springer, vol. 3(1), pages 37-74, January.
    4. Swamy, Vighneswara, 2013. "Banking System Resilience and Financial Stability," MPRA Paper 47512, University Library of Munich, Germany.
    5. Frederik J.C. Beyers & Allan De Freitas & Kojo A. Essel‐Mensah & Reyno Seymore & Dimitrios P. Tsomocos, 2022. "A computable general equilibrium model as a banking sector regulatory tool in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 90(1), pages 93-120, March.
    6. Agustín Saade & Daniel Osorio & Dairo Estrada, 2007. "An equilibrium approach to financial stability analysis: the Colombian case," Annals of Finance, Springer, vol. 3(1), pages 75-105, January.
    7. Q. Akram & Gunnar Bårdsen & Kjersti-Gro Lindquist, 2007. "Pursuing financial stability under an inflation-targeting regime," Annals of Finance, Springer, vol. 3(1), pages 131-153, January.
    8. Goodhart, C.A.E. & Sunirand, P. & Tsomocos, D.P., 2011. "The optimal monetary instrument for prudential purposes," Journal of Financial Stability, Elsevier, vol. 7(2), pages 70-77, June.
    9. Claudio Borio & Mathias Drehmann, 2011. "Toward an Operational Framework for Financial Stability: “Fuzzy” Measurement and Its Consequences," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 4, pages 063-123, Central Bank of Chile.
    10. Mizuho Kida, 2008. "A macro stress testing model with feedback effects," Reserve Bank of New Zealand Discussion Paper Series DP2008/08, Reserve Bank of New Zealand.
    11. Akram, Q. Farooq & Eitrheim, Øyvind, 2008. "Flexible inflation targeting and financial stability: Is it enough to stabilize inflation and output?," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1242-1254, July.
    12. Granville, Brigitte & Mallick, Sushanta, 2009. "Monetary and financial stability in the euro area: Pro-cyclicality versus trade-off," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 662-674, October.
    13. Sorge, Marco & Virolainen, Kimmo, 2006. "A comparative analysis of macro stress-testing methodologies with application to Finland," Journal of Financial Stability, Elsevier, vol. 2(2), pages 113-151, June.
    14. Apostolakis, George & Papadopoulos, Athanasios P., 2014. "Financial stress spillovers in advanced economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 128-149.
    15. Dale F. Gray & Carlos J. García & Leonardo Luna & Jorge E. Restrepo, 2011. "Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 6, pages 159-197, Central Bank of Chile.
    16. Mr. C. A. E. Goodhart & Miguel A. Segoviano & Boris Hofmann, 2006. "Default, Credit Growth, and Asset Prices," IMF Working Papers 2006/223, International Monetary Fund.
    17. C. Goodhart & M. Peiris & D. Tsomocos & A. Vardoulakis, 2010. "On dividend restrictions and the collapse of the interbank market," Annals of Finance, Springer, vol. 6(4), pages 455-473, October.
    18. Dairo Estrada & Daniel Osorio, 2006. "A Market Risk Approach to Liquidity Risk and Financial Contagion," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 24(50), pages 242-271, June.
    19. Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
    20. Juan Francisco Martínez S. & Dimitrios P. Tsomocos, 2019. "Liquidity and default in an exchange economy," Chapters, in: Financial Regulation and Stability, chapter 7, pages 201-223, Edward Elgar Publishing.

    More about this item

    Keywords

    Modelo DSGE; Estabilidad Financiera; Política monetaria; Regulación; Sistema financiero colombiano.;
    All these keywords.

    JEL classification:

    • D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdr:temest:040. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Clorith Angélica Bahos-Olivera (email available below). General contact details of provider: https://edirc.repec.org/data/brcgvco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.