Countercyclical prudential tools in an estimated DSGE model

Frache, Serafín; García-Cicco, Javier; Ponce, Jorge

dc.rights.license	Attribution-NonCommercial-NoDerivatives 4.0 Internacional	*
dc.contributor.author	Frache, Serafín
dc.contributor.author	García-Cicco, Javier
dc.contributor.author	Ponce, Jorge
dc.date.accessioned	2023-07-28T16:59:38Z
dc.date.available	2023-07-28T16:59:38Z
dc.date.issued	2023
dc.identifier.issn	2666-1438	es
dc.identifier.uri	https://hdl.handle.net/20.500.12806/1412
dc.format.mimetype	application/pdf	es
dc.language	eng	es
dc.publisher	Elsevier	es
dc.relation.ispartof	Latin American Journal of Central Banking, vol. 4, n°3, 100095	es
dc.rights	Abierto	es
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	*
dc.title	Countercyclical prudential tools in an estimated DSGE model	es
dc.type	Artículo	es
dc.contributor.filiacion	Frache, Serafín. Universidad de Montevideo, Uruguay.	es
dc.contributor.filiacion	García-Cicco, Javier. Universidad de San Andrés, Argentina	es
dc.contributor.filiacion	Ponce, Jorge. Banco Central del Uruguay y dECON-FCS-UdelaR, Uruguay	es
dc.identifier.doi	https://doi.org/10.1016/j.latcb.2023.100095	es
dc.type.version	Publicada	es
dc.description.abstractenglish	We developed a dynamic stochastic general equilibrium (DSGE) model for a small, open economy with a banking sector and endogenous default to assess two macroprudential tools: countercyclical capital buffers (CCB) and dynamic provisions (DP). The model is estimated with data for Uruguay, where dynamic provisioning has existed since the early 2000s. Both tools force banks to build buffers, but DP seem to outperform the CCB in smoothing the cycle. We also find that the source of the shock affecting the financial system matters in assessing the relative performance of both tools. Given a positive external shock, the credit-to-GDP ratio decreases, which should discourage its use as an indicator variable to activate countercyclical regulation.	es
dc.subject.keyword	Banking regulation	es
dc.subject.keyword	Minimum capital requirement	es
dc.subject.keyword	Countercyclical capital buffer	es
dc.subject.keyword	Reserve requirement (Countercyclical or dynamic) loan loss provision	es
dc.subject.keyword	Endogenous default	es
dc.subject.keyword	Basel III	es
dc.subject.keyword	DSGE	es
dc.subject.keyword	Uruguay	es