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Estimación Bayesiana de un Modelo de Economía Abierta con Sector Bancario

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  • Rodríguez, Aldo

Abstract

Presentamos un modelo de una economía abierta, con bancos en competencia monopolística, dos tipos de créditos propensos a riesgo de crédito, empresariales e hipotecarios, requerimientos de capital como Basilea. Utilizamos métodos Bayesianos y datos de la economía peruana en la estimación. Encontramos que para las principales variables macro, las funciones impulso respuesta a un shock monetario y fiscal son similares a la literatura. Asimismo encontramos que la adopción de métodos IRB tanto básico como avanzado no afectarían las volatilidades de las principales variables macrofinancieras.

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  • Rodríguez, Aldo, 2020. "Estimación Bayesiana de un Modelo de Economía Abierta con Sector Bancario," Dynare Working Papers 52, CEPREMAP.
    • Handle: RePEc:cpm:dynare:052
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    More about this item

    Keywords

    Modelos DSGE; Fricciones financieras; Estimación bayesiana; Banca; Regulación fianciera;
    All these keywords.

    JEL classification:

    • E0 - Macroeconomics and Monetary Economics - - General
    • F0 - International Economics - - General
    • G0 - Financial Economics - - General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General

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