Efecto asimétrico de la actividad económica en la liquidez del sistema financiero boliviano
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rlde
Abstract
El documento de investigación analiza el efecto diferenciado de la actividad económica extractiva y no extractiva sobre la liquidez del sistema financiero boliviano para el periodo comprendido entre 2000 y 2019. Considerando el quiebre estructural de la liquidez a partir de 2009, según la prueba de estacionariedad de Andrews y Zivot, el análisis distingue entre regímenes de alta y baja liquidez utilizando la "Metodología de vectores autoregresivos estructurales por umbrales". Las funciones impulso-respuesta muestran que un shock positivo en la actividad económica genera incrementos diferenciados en el excedente de encaje según el tipo de actividad y régimen de liquidez. El análisis también permitió evidenciar mayor coherencia entre los movimientos esperados en el excedente de encaje y cambios de las variables asociadas a la política monetaria en el régimen de alta liquidez.
The research document analyzes the differentiated effect of extractive and non-extractive economic activity on the liquidity of the Bolivian financial system from 2000 to 2019. Considering the structural breakdown of liquidity from 2009 according to the Andrews and Zivot stationarity test, the analysis distinguishes between high and low liquidity regimes using the Structural Threshold Vector Autoregression methodology (TVAR). The impulseresponse functions show that a positive shock in economic activity generates differentiated increases in liquidity surplus according to the type of activity and liquidity regime. The analysis also revealed greater coherence between the expected movements in the liquidity surplus and changes in the variables associated with monetary policy in the highly liquid regime.
The research document analyzes the differentiated effect of extractive and non-extractive economic activity on the liquidity of the Bolivian financial system from 2000 to 2019. Considering the structural breakdown of liquidity from 2009 according to the Andrews and Zivot stationarity test, the analysis distinguishes between high and low liquidity regimes using the Structural Threshold Vector Autoregression methodology (TVAR). The impulseresponse functions show that a positive shock in economic activity generates differentiated increases in liquidity surplus according to the type of activity and liquidity regime. The analysis also revealed greater coherence between the expected movements in the liquidity surplus and changes in the variables associated with monetary policy in the highly liquid regime.
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No. 33