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El canal de crédito, evidencias para Uruguay desde una perspectiva macroeconómica

Author

Listed:
  • Fernando Lorenzo
  • Alfonso Capurro
  • Guillermo Carlomagno
  • Paula Garda
  • Bibiana Lanzilotta
  • Gonzalo Zunino
Abstract
La presente investigación tiene por objetivo aportar evidencia sobre la existencia e importancia del canal del crédito en la transmisión de la política monetaria en Uruguay a partir de un análisis a nivel macroeconómico. Para que el canal del crédito se encuentre activo como canal de transmisión de la política monetaria es necesario, en primer término, que las decisiones de política monetaria sean capaces de afectar las variables de crédito bancario. Una segunda condición necesaria es que las variaciones en el crédito bancario impacten sobre las variables objetivo de la política monetaria, es decir, la inflación y nivel de actividad. El abordaje empírico para testear ambas condiciones se realizó en base a series de frecuencia mensual para el período que comprendido entre 1998:12 y 2009:12. El análisis empírico se realizó en dos etapas. La primera, se baso en el análisis de las correlaciones cruzadas entre las variables instrumento de la política monetaria y diferentes variables de crédito, así como entre las variables de crédito y las variables objetivo de la política monetaria. Los resultados parecen sugerir que en el período de estudio el canal del crédito bancario no habría jugado un rol muy relevante como canal de transmisión de la política monetaria. No obstante, dadas las serias limitaciones de este análisis es necesario profundizar el estudio a partir de otras estrategias empíricas más sofisticadas. La segunda etapa del estudio empírico, consistió en la estimación de modelos estructurales de vectores autorregresivos (SVAR), estrategia comúnmente utilizada para el análisis de la política monetaria. Siguiendo a Bernanke y Blinder (1992) se estimaron diferentes modelos de funcionamiento del sistema bancario que varían en cuanto al indicador de crédito tomado como referencia. El objetivo fue analizar eventuales diferencias en la respuesta de los diferentes tipos de crédito. A su vez, para aislar el impacto sobre la oferta de créditos (canal del crédito) del efecto derivado del shock monetario sobre la demanda de créditos (vinculado al canal tradicional de tasas), se estimaron modelos incluyendo al PIB en forma endógena y exógena, alternativamente. Los resultados encontrados sugieren que la totalidad del efecto contractivo que sobre el crédito ocasionado por una contracción monetaria se derivaría de la contracción de actividad asociada y no de una conducta de los bancos tendiente a restringir el crédito. En este sentido, esta aproximación sugiere que el canal del crédito bancario no habría representado en el período de análisis un canal relevante en la transmisión de la política monetaria, que actúe amplificando los efectos del canal tradicional de tasas.

Suggested Citation

  • Fernando Lorenzo & Alfonso Capurro & Guillermo Carlomagno & Paula Garda & Bibiana Lanzilotta & Gonzalo Zunino, 2010. "El canal de crédito, evidencias para Uruguay desde una perspectiva macroeconómica," Documentos de trabajo 2010021, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2010021
    Note: Documento elaborado en el marco de la Licitación Abreviada Nº 114/08 – Renglón 2
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    References listed on IDEAS

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