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Countercyclical prudential tools in an estimated DSGE model

dc.rights.licenseAttribution-NonCommercial-NoDerivatives 4.0 Internacional*
dc.contributor.authorFrache, Serafín
dc.contributor.authorGarcía-Cicco, Javier
dc.contributor.authorPonce, Jorge
dc.date.accessioned2023-07-28T16:59:38Z
dc.date.available2023-07-28T16:59:38Z
dc.date.issued2023
dc.identifier.issn2666-1438es
dc.identifier.urihttps://hdl.handle.net/20.500.12806/1412
dc.format.mimetypeapplication/pdfes
dc.languageenges
dc.publisherElsevieres
dc.relation.ispartofLatin American Journal of Central Banking, vol. 4, n°3, 100095es
dc.rightsAbiertoes
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.titleCountercyclical prudential tools in an estimated DSGE modeles
dc.typeArtículoes
dc.contributor.filiacionFrache, Serafín. Universidad de Montevideo, Uruguay.es
dc.contributor.filiacionGarcía-Cicco, Javier. Universidad de San Andrés, Argentinaes
dc.contributor.filiacionPonce, Jorge. Banco Central del Uruguay y dECON-FCS-UdelaR, Uruguayes
dc.identifier.doihttps://doi.org/10.1016/j.latcb.2023.100095es
dc.type.versionPublicadaes
dc.description.abstractenglishWe 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.keywordBanking regulationes
dc.subject.keywordMinimum capital requirementes
dc.subject.keywordCountercyclical capital bufferes
dc.subject.keywordReserve requirement (Countercyclical or dynamic) loan loss provisiones
dc.subject.keywordEndogenous defaultes
dc.subject.keywordBasel IIIes
dc.subject.keywordDSGEes
dc.subject.keywordUruguayes

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Attribution-NonCommercial-NoDerivatives 4.0 Internacional
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internacional