The document focuses on the econometric treatment of macro panels, known in literature as panel t... more The document focuses on the econometric treatment of macro panels, known in literature as panel time series. This new approach rejects the assumption of slopes’ homogeneity and handles nonstationarity. It also recognizes that the presence of cross-section dependence (CSD), i.e. some correlation structure in the error term between units due to the presence of unobservable common factors, squanders efficiency gains by operating with a panel. This led to a new set of estimators known in literature as Common Correlated Effect (CCE), which essentially consists of increasing the model to be estimated by adding the averages of the individuals in each time t, of both the dependent variable and the specific regressors of each individual. Finally, two Stata codes developed for the evaluation and treatment of the cross-section dependence are presented.
Desarrollo Economico-revista De Ciencias Sociales, 2013
espanolDos consecuencias negativas sobre el desempeno de largo plazo de la economia argentina der... more espanolDos consecuencias negativas sobre el desempeno de largo plazo de la economia argentina derivadas de su recurrente inestabilidad monetaria y financiera son la desnacionalizacion de los ahorros y la desintermediacion financiera. Un rasgo a destacar cuando se analiza la composicion de los portafolios privados es el bajo apalancamiento que estos exhiben y su alta proporcion de activos financieros externos y de activos reales no productivos. Esto es lo que aqui se denomina efecto Tobin “perverso”, para contrastar con la prediccion de que una reduccion en el rendimiento real de los activos financieros domesticos puede inducir una sustitucion de equilibrio hacia la acumulacion de capital productivo. Se presenta un modelo de portafolio con tres activos alternativos (domestico, externo y real no productivo) y, en base a la estructura de distribucion de rendimientos en el periodo 1977-2011, se intenta determinar la composicion optima de cartera. Esa composicion se compara con el portafolio observado empiricamente y se busca conciliar las diferencias detectadas postulando la existencia de costos de transaccion. Los calculos se efectuan a traves de dos metodologias alternativas, cuyas ventajas y desventajas se examinan con detalle: maximizacion directa de la utilidad esperada y maximizacion de una aproximacion de Taylor hasta el momento de orden cuatro EnglishDenationalization of savings and financial disintermediation are two negative effects of the monetary and financial instability, which has characterized the Argentine economy for the last decades. In fact, when analyzing the Argentine nonfinancial private sector portfolio, the most salient features are namely, its low leverage and the high rate of external financial assets and non-productive real assets. This led to bias assets demand towards savings options placed outside the local financial system and at the same time shrank the credit supply. Both phenomena have deleterious effects on the long term economy performance. This is what we called “perverse” Tobin effect, as opposed to the prediction that a decrease in the real yield of domestic financial assets may induce a portfolio substitution towards the accumulation of productive capital. To explain these facts, a portfolio model with three alternative assets (domestic, external and nonproductive real assets) is presented. Based upon the yield distribution structure for the 1977-2011 sample, the model is intended to determine the optimal portfolio composition. This optimal composition is then compared to the empirically observed portfolio and detected differences are intended to be brought together stating the existence of investment transaction costs in different assets. Calculations are made by means of two alternative methods (e.g., direct maximization of expected utilities and maximization of a Taylor is approach to the fourth order utility function) whose advantages and disadvantages are thoroughly examined
espanolEl objetivo del presente trabajo es encontrar una clasificacion de los bancos privados arg... more espanolEl objetivo del presente trabajo es encontrar una clasificacion de los bancos privados argentinos en base a su especializacion productiva. Para ello se utilizan tecnicas estadisticas de agrupamiento del analisis multivariado. Se construyen variables ad-hoc para clasificar a las entidades privadas en distintos grupos segun su forma principal de fondeo y la combinacion de servicios ofrecida. La tecnica aplicada permite obtener dos grupos diferenciados de bancos dentro de las entidades privadas a los que se denomina bancos mayoristas y bancos minoristas. Aplicando esta clasificacion a las tasas activas implicitas se observa que los bancos mayoristas cobran una tasa promedio significativamente mas baja que los minoristas. Ello podria asociarse tanto a menores costos de fondeo como a un menor riesgo promedio de cartera. EnglishThe aim of the present paper is to find a classification of the argentine private banks on the basis of their productive specialization. For that purpose, statistical clustering methods of multivariate analysis are used. Ad-hoc variables are constructed so as to classify the private entities in different classes acording to the main sources of financial funds and the combination of services they offer. Two different groups of private banks are detected. These are labelled wholesale banks and retail banks. Applying this classification to the analysis of the interest rates charged by banks shows that wholesale banks charge an interest rate that is on average significantly lower than that of retail banks. This might be related both to their lower costs of funding and to a lower average risk of their portfolio.
The document focuses on the econometric treatment of macro panels, known in literature as panel t... more The document focuses on the econometric treatment of macro panels, known in literature as panel time series. This new approach rejects the assumption of slopes’ homogeneity and handles nonstationarity. It also recognizes that the presence of cross-section dependence (CSD), i.e. some correlation structure in the error term between units due to the presence of unobservable common factors, squanders efficiency gains by operating with a panel. This led to a new set of estimators known in literature as Common Correlated Effect (CCE), which essentially consists of increasing the model to be estimated by adding the averages of the individuals in each time t, of both the dependent variable and the specific regressors of each individual. Finally, two Stata codes developed for the evaluation and treatment of the cross-section dependence are presented.
Desarrollo Economico-revista De Ciencias Sociales, 2013
espanolDos consecuencias negativas sobre el desempeno de largo plazo de la economia argentina der... more espanolDos consecuencias negativas sobre el desempeno de largo plazo de la economia argentina derivadas de su recurrente inestabilidad monetaria y financiera son la desnacionalizacion de los ahorros y la desintermediacion financiera. Un rasgo a destacar cuando se analiza la composicion de los portafolios privados es el bajo apalancamiento que estos exhiben y su alta proporcion de activos financieros externos y de activos reales no productivos. Esto es lo que aqui se denomina efecto Tobin “perverso”, para contrastar con la prediccion de que una reduccion en el rendimiento real de los activos financieros domesticos puede inducir una sustitucion de equilibrio hacia la acumulacion de capital productivo. Se presenta un modelo de portafolio con tres activos alternativos (domestico, externo y real no productivo) y, en base a la estructura de distribucion de rendimientos en el periodo 1977-2011, se intenta determinar la composicion optima de cartera. Esa composicion se compara con el portafolio observado empiricamente y se busca conciliar las diferencias detectadas postulando la existencia de costos de transaccion. Los calculos se efectuan a traves de dos metodologias alternativas, cuyas ventajas y desventajas se examinan con detalle: maximizacion directa de la utilidad esperada y maximizacion de una aproximacion de Taylor hasta el momento de orden cuatro EnglishDenationalization of savings and financial disintermediation are two negative effects of the monetary and financial instability, which has characterized the Argentine economy for the last decades. In fact, when analyzing the Argentine nonfinancial private sector portfolio, the most salient features are namely, its low leverage and the high rate of external financial assets and non-productive real assets. This led to bias assets demand towards savings options placed outside the local financial system and at the same time shrank the credit supply. Both phenomena have deleterious effects on the long term economy performance. This is what we called “perverse” Tobin effect, as opposed to the prediction that a decrease in the real yield of domestic financial assets may induce a portfolio substitution towards the accumulation of productive capital. To explain these facts, a portfolio model with three alternative assets (domestic, external and nonproductive real assets) is presented. Based upon the yield distribution structure for the 1977-2011 sample, the model is intended to determine the optimal portfolio composition. This optimal composition is then compared to the empirically observed portfolio and detected differences are intended to be brought together stating the existence of investment transaction costs in different assets. Calculations are made by means of two alternative methods (e.g., direct maximization of expected utilities and maximization of a Taylor is approach to the fourth order utility function) whose advantages and disadvantages are thoroughly examined
espanolEl objetivo del presente trabajo es encontrar una clasificacion de los bancos privados arg... more espanolEl objetivo del presente trabajo es encontrar una clasificacion de los bancos privados argentinos en base a su especializacion productiva. Para ello se utilizan tecnicas estadisticas de agrupamiento del analisis multivariado. Se construyen variables ad-hoc para clasificar a las entidades privadas en distintos grupos segun su forma principal de fondeo y la combinacion de servicios ofrecida. La tecnica aplicada permite obtener dos grupos diferenciados de bancos dentro de las entidades privadas a los que se denomina bancos mayoristas y bancos minoristas. Aplicando esta clasificacion a las tasas activas implicitas se observa que los bancos mayoristas cobran una tasa promedio significativamente mas baja que los minoristas. Ello podria asociarse tanto a menores costos de fondeo como a un menor riesgo promedio de cartera. EnglishThe aim of the present paper is to find a classification of the argentine private banks on the basis of their productive specialization. For that purpose, statistical clustering methods of multivariate analysis are used. Ad-hoc variables are constructed so as to classify the private entities in different classes acording to the main sources of financial funds and the combination of services they offer. Two different groups of private banks are detected. These are labelled wholesale banks and retail banks. Applying this classification to the analysis of the interest rates charged by banks shows that wholesale banks charge an interest rate that is on average significantly lower than that of retail banks. This might be related both to their lower costs of funding and to a lower average risk of their portfolio.
Uploads