PEdro Elosegui

This paper analyzes the relationship between the quality of the commercial credit portfolio and diversification in the financial entities of Argentina during the period 1998-2006. To this effect, a database of the financial sector (banking and non-banking) is used, which allows to consider three potential dimensions of diversification: per productive sector, per province and per client. In addition to characterizing

Loan diversification is a typical mechanism used by financial institutions to minimize their portfolio risk. However, diversification might not always be beneficial in response to the complex task of monitoring credit risks and the associated incentives. For instance, a highly diversified bank may monitor less intensely under the presumption that diversification and monitoring are substitutes of each other. At the

Pag.Web: www.bcra.gov.ar The opinions in this work are an exclusive responsibility of his authors and do not necessarily reflect the position of the Central Bank of Argentina. The Working Papers Series from BCRA is composed by papers published with the intention of stimulating the academic debate and of receiving comments. Papers cannot be referenced without the authorization of their authors.

Resumen El presente trabajo analiza los determinantes de la tasa de interes del mercado interbancario de prestamos no garantizados de corto plazo ( call ) en Argentina. Los resultados indican que la heterogeneidad de las entidades, tanto por el tamano como por origen de capital, influye en la tasa de interes concertada en la operacion. Aspectos adicionales como el vinculo entre entidades, el grado de concentracion en la oferta o la demanda, tambien afectan el costo de los recursos. La estructura de mercado resulta relevante al igual que la tasa de pases activos fijada por el BCRA. Por ultimo, la tasa reacciona positivamente cuando los bancos presentan una mayor demanda de liquidez, tanto por cuestiones estacionales como por episodios de reduccion de depositos. 1 Los autores agradecen la valiosa colaboracion de Guadalupe Dorna y Emilio Blanco. El trabajo no habria sido posible sin la colaboracion de Beatriz Biasone, Gerardo Joffe, Diego Elias, Ricardo Mare, Ricardo Martinez, Susana M...

The paper develops a Structural Model with the main macroeconomic features of the Ecuadorian economy. It models the main transmission channels of a small open and dollarized economy, highly dependent on oil production and foreign remittances. It is estimated by Bayesian methods for the period 2001-2010. The framework highlights the main risks affecting the macroeconomic performance, including the importance of international shocks. It also underscores the importance of the fiscal policies and the independent and significant role of the oil value added in the domestic economy.

This paper is part of a broader agenda and constitutes a first step to understanding, both theoretical and empirically, the constraints that several developing economies face in moving towards a cashless economy. We present a simple model of payment methods that includes the main determinants of the adoption of electronic payments in developing economies. The paper focuses in the case of Argentina. We use household data to empirically examine the factors underlying the use and adoption of credit cards in the years 2012 and 2017/18. In line with the model, the results show the importance of informality and network effects in driving such decisions. The model can be further generalized to include the use and adoption of other electronic payments mechanisms. The analysis performed in this paper is particularly useful to understand the impact of the Covid-19 shock, which has triggered the use of alternative electronic payment, challenging the widespread use of cash in the economy.

The BCRA publishes monthly an expectations survey (REM) that summaries the forecasts and projections of a group of economic analysts and consultants. The BCRA publishes only the mean, the median, and the standard deviation of the sample received. The logic for using these statistics is that all participants are to be treated equally. Under the assumption that some forecasters have better underlying models than others, one might be able to improve the accuracy of the aggregate forecast by giving greater priority to those who have historically predicted better. The BCRA does not have access to the models used to make the predictions, only the forecasts are provided. An averaging method that puts higher weights on the predictions of those forecasters who have done best in the past should be able to produce a better aggregate forecast. The problem is how to determine these weights. In this paper, we develop a Bayesian averaging method that can estimate those weights. The aggregate forec...

Financial constraints affect firms’ financial and productive decisions generating substantial macroeconomic implications in terms of investment, economic growth, inflation and income distribution. Despite its relevance, financial constraints are not directly observable. However, empirically contrastable propositions can be derived in some particular theoretical framework. We use this possibility with, basically, two objectives. First, we aim at evaluating the relative importance of alternative theoretical approaches, using a non balanced panel for Argentina build up form balance sheet information of 71 non financial publicly traded companies for the period 1990 to 2004. Financial constraints faced by firms are thus evaluated in several dimensions: including “its relevance”, differential scope (between different groups), sensitivity to the estimation method (and the underlying theoretical model), evolution through time and macroeconomic determinants. Finally, a second objective is to...

The analysis of the output gap dynamics (the difference between the observed and the non-inflationary potential output) is a widely used tool for structural models employed by central banks. In such models, the output gap is a key variable to explain the dynamics of prices and wages. However, despite its potential as a relevant variable for policy decision-making, both the potential output and the output gap are not directly observable. For this reason, it is necessary to develop a strategy that may allow to improve its estimation using alternative methodologies. This paper describes several methodologies to estimate the potential output and the output gap for the Argentine economy. In particular, a method based on a neoclassical production function is described. Likewise, the paper includes estimates of the potential output constructed through different univariate and multivariate methods such as “State-Space” (Kalman filtering), multivariate Hodrick-Prescott (HP) filter and struct...

This paper analyzes the evolution and differential scope of restrictions to financing for the companies surveyed by the Large Companies Survey (ENGE) of the National Institute of Statistics and Census (INDEC) during the period 1995-2003. The main purpose of this study is to differentiate results not only according to the size of the company but also by activity sector and

The use of banking services in Argentina is relatively low, both in terms of historical standards and in comparison with similarly developed countries. This low bankarization level involves not only use but also availability of banking infrastructure and access to that services. However during the last decade, there has been an increase in the availability of infrastructure, especially through ATMs, concentrated in already financially developed places. The present paper analyzes a unique database with information on use and availability of regulated banking services at a local level for the 1998-2009 period. The analysis of economic determinants of use and availability of banking services indicate a significant positive correlation with population and socioeconomic indicators of the locality, department spatial extension, provincial economic activity level and business environment. These determinants depend on the ownership structure of banks (private, foreign and/or public), reflec...

In order to comply with their main objective of price stability, monetary authorities rely on analytic tools to properly assess tendencies and inflationary pressures in the economy. Therefore Central Banks are interested in analyzing and monitoring changes in cyclical fluctuations of economic variables that may potentially result in an acceleration of inflation. Indeed, they use different methodologies such as estimations of non-inflationary potential output and the output gap in order to understand prices and wages dynamics. An alternative to such variables is the consideration of different indicators that anticipate inflationary pressures. The relevant information available increases with the number of variables included in the analysis, making it more difficult in practice. The Principal Components methodology partially resolves this problem, since it simplifies and consolidates relevant information extracted from a significant number of series. This methodology resumes informati...

Interbank markets are crucial for the proper functioning of banking systems. The analysis of these markets has different dimensions: (i) the diversity of actors involved both from the demand and supply sides, (ii) the regulatory framework and (iii) the risks associated with financial operations. On the one hand, banks carry on the management of their short-term liquidity positions through this market. On the other hand, it is usually the main market where the monetary authority intervenes to carry out monetary policy. The implementation of monetary policy operates affecting banks’ liquidity positions; operations undertaken by central banks to fulfill their targets (open market operations, loans to financial institutions at different maturities, collaterals and haircuts, etc.) have their counterpart in debits or credits in accounts held by commercial banks at central banks. In Argentina, the interbank market consists of one segment where operations are guaranteed and another without ...

This paper analyzes the determinants of the interest rate of short-term unsecured loan inter-bank market (call) in Argentina. The results show that the heterogeneous nature of the entities, in terms of size and origin of ownership, impacts on the interest rate agreed. Other additional aspects, such as the linkages between entities and the degree of supply or demand concentration, also affect the cost of funding. The structure of the market and the repo rates established by the BCRA are also relevant. Finally, the interest rate reacts positively when banks have a higher demand for liquidity, due to both seasonality and episodes of reduction in deposits.

Similar to other Central Banks, the BCRA publishes monthly a REM that summaries the forecasts and projections of a group of economic analysts and consultants who volunteer to participate in the program. The BCRA publishes only the median, and the standard deviation of the sample received. The logic for using these statistics is that all participants are to be treated equally. Under the assumption that some forecasters have better underlying models than others, one might be able to improve the accuracy of the aggregate forecast by giving greater priority to those who have historically predicted better. The BCRA does not have access to the models used to make the predictions, only the forecasts are provided. An averaging method that puts higher weights on the predictions of those forecasters who have done best in the past should be able to produce a better aggregate forecast. The problem is how to determine these weights. In this paper, we develop a Bayesian averaging method that can ...

The use of macroeconomic forecasting models is a common practice in central banks for monetary policy design, for the analysis of the current economic developments and for medium and long term forecasts. Among those models, the small-scale macroeconomic models stand out. Though relatively simple, they are structured and take into account the transmission mechanisms that relate the main variables of interest: the interest rate, the exchange rate, GDP and inflation. The Small Economic Model (MEP) developed by the Central Bank of Argentina describes in a stylized and structured way the macroeconomic dynamics of a small and open country such as Argentina. This paper describes the structure of the MEP model in its two versions: an original version that is the core of the model and a second one that introduces the intervention of the monetary authority in the money and exchange rate markets. The main characteristics and limitations of the model and the estimation of parameters are depicte...

The opinions in this work are an exclusive responsibility of his authors and do not necessarily reflect the position of the Central Bank of Argentina. The Working Papers Series from BCRA is composed by papers published with the intention of stimulating the academic debate and ...

The stability of an economic policy regime depends in large measure on either its successful authoritarian imposition or on the general acceptance by society of the distributional status quo of assets and/or income. Although Argentina's Convertibility Plan ("Currency Board" system) brought price stability and growth to the country, the inability or unwillingness of the government to attain a fiscal adjustment

This paper examines the impact of privatization and foreign entry on the choices of risk of various types of banking institutions in the Argentine banking system during the period 1996-1999. Following the empirical methodology of Shrieves and Dahl (1992) and others, we estimate a simultaneous equations model of a bank's choices of capital and risk and test differences in behavior based on ownership type. Our results do not show any differences in the behavior of various institutions in terms of capital. However, we do find evidence that, following privatization and foreign entry, both existing private banks and privatized banks did increase their asset portfolio risk. These findings support the argument that private banks in Argentina faced increased competition from aggressive entry of foreign banks. Finally, we do not find evidence that foreign banks attempted to increase their risk and we find only limited evidence that foreign acquired banks exhibit higher risk. JEL G20, G21...