La interacción entre el riesgo de liquidez y el riesgo de mercado como fuente de crisis financieras

De acuerdo con la literatura tradicional, el riesgo de liquidez individual puede generar problemas sistémicos únicamente en presencia de exposiciones crediticias entre bancos o de corridas bancarias. Este artículo muestra que este fenómeno también ocurre cuando el riesgo de liquidez individual se convierte en riesgo de mercado para el conjunto del sistema financiero (aún en ausencia de las características mencionadas anteriormente). Ello sucede cuando, en presencia de una crisis de liquidez, los bancos resuelven liquidar parte de su portafolio de inversiones en el mercado. Si la demanda por estas inversiones no es perfectamente elástica, este procedimiento conduce a una caída en el precio de mercado de las inversiones. Dado que los bancos valoran su portafolio de inversiones a precios de mercado, la caída del precio reduce el valor de los activos de todos los bancos del sistema, dejándolos en condiciones menos favorables para enfrentar futuros choques de liquidez y, por lo tanto, más expuestos a la bancarrota. El artículo presenta esta idea por intermedio de la simulación de un modelo microeconómico que intenta capturar el comportamiento del administrador de liquidez de un banco que actúa en un ambiente de incertidumbre en torno a su hoja de balance. Los resultados sugieren que este fenómeno es más crítico en tanto menos profundo sea el mercado de las inversiones.According to traditional literature, liquidity risk in individual banks can turn into a wide-system financial crisis when either interbank credit exposures or bank runs are present. This paper shows that this phenomenon can also arise when individual liquidity risk transforms into wide-system market risk (even in the absence of bank runs and interbank credit networks). This happens when banks try to sell some portion of its assets in order to overcome a liquidity shortage (individual liquidity risk). These sales depress the market price of assets if demand is not perfectly elastic. Given the fact that banks mark to market the asset book, the fall of market price reduces the value of assets of every bank in the system (wide-system market risk), leaving them less suited for future liquidity shortages and therefore more prone to bankruptcies. The paper rationalizes this idea through the simulation of a model that tries to capture the behavior of a liquidity manager that faces shocks on bank deposits and loans. The main results suggest that the extent of financial contagion depends crucially on the size of the market for assets

El valor en riesgo ajustado por liquidez en Colombia

Se utiliza la metodología de VeRL para incluir el riesgo de liquidez en las mediciones condicionales de riesgo de Mercado en Colombia, para ello se presenta y se utiliza una versión multivariada de la metodología, la cual hace uso explícito de la correlación entre las puntas y los precios de mercado de distintos instrumentos

Implementación de ChatGPT: aspectos éticos, de edición y formación para estudiantes de posgrado

In the context of the growing influence of artificial intelligence (AI), this study addresses the use of ChatGPT in improving academic writing skills and its ethical use in scientific article composition. A quantitative methodological approach was employed, involving online surveys administered to graduate students, and the data were analyzed to identify usage patterns and perceptions. The results reveal that students utilize ChatGPT in various ways, with some relying on its efficiency to correct errors, while others prefer traditional methods. Furthermore, it is evident that training in ethics and attribution is limited, highlighting the need for appropriate training programs. In this regard, the importance of recognizing individual student preferences when using ChatGPT and balancing efficiency with ethics in academic writing is emphasized. This article contributes to understanding how graduate students perceive and utilize this tool, emphasizing the necessity of increased ethical awareness and training programs to ensure responsible usage.En el contexto de la creciente influencia de la inteligencia artificial (IA), este estudio aborda el uso de ChatGPT en la mejora de habilidades de escritura académica y su uso ético en la redacción de artículos científicos. Se emplea un enfoque metodológico cuantitativo que utiliza la encuesta como técnica, aplicando cuestionarios en línea a estudiantes de posgrado. Los datos recopilados se analizaron para identificar patrones de uso y percepciones. Los resultados revelan que los estudiantes utilizan ChatGPT de diversas maneras: algunos confían en su eficiencia para corregir errores, mientras que otros prefieren métodos tradicionales. A su vez, se evidencia que la capacitación en ética y atribución es limitada, lo que destaca la necesidad de programas de formación adecuados. En este sentido, se destaca la importancia de reconocer las preferencias individuales de los estudiantes al utilizar ChatGPT y equilibrar la eficiencia con la ética en la escritura académica, para lo cual el artículo contribuye al entendimiento de cómo los estudiantes de posgrado perciben y utilizan esta herramienta, resaltando la necesidad de una mayor conciencia ética y de programas de capacitación para garantizar un uso responsable

Desarrollo financiero y transmisión de la política monetaria

Este trabajo estima el efecto del desarrollo financiero en la transmisión de la política monetaria. Con este objetivo, el documento utiliza una base de datos que contiene indicadores de desarrollo financiero, tasas de política monetaria, tasas de interés de créditos y depósitos para 43 países para el período 2000-2019 y aplica una estrategia empírica propuesta por Brandao-Marques et al. (2020): en primer lugar, se estiman choques de política monetaria por país utilizando una aproximación a la regla de Taylor que relaciona los cambios en la tasa de política con la tasa de inflación, la brecha del producto y otras variables observables que probablemente influyan en las decisiones de política monetaria; en segundo lugar, los residuos de esta estimación (choques de política) se utilizan en una especificación de un modelo panel que relaciona las tasas activas o pasivas con, entre otros, choques de política y la interacción entre choques de política y medidas de desarrollo financiero. El coeficiente de este término de interacción capta el efecto del desarrollo financiero en la relación entre los choques de política monetaria y las tasas activas o pasivas. Los principales hallazgos del documento son dos: por un lado, el desarrollo financiero fortalece el canal de transmisión de la política monetaria a las tasas de los depósitos; es decir, cambios en la tasa de política en economías con mayor desarrollo financiero inducen cambios mayores (en la misma dirección) en las tasas de depósitos que en el caso de las economías con menor desarrollo financiero. Este resultado está particularmente impulsado por el efecto del desarrollo de las instituciones financieras en la transmisión, ya que el efecto del desarrollo de los mercados financieros resulta ser de menor magnitud. Por otro lado, los resultados obtenidos sugieren que el desarrollo financiero no fortalece la transmisión de la política monetaria a las tasas activas. Esto es consistente con un canal de crédito que se debilita ante el desarrollo financiero en un contexto donde los bancos no pueden sustituir fácilmente las fuentes de financiamiento de corto plazo. Estos resultados resaltan la relevancia del desarrollo financiero para el funcionamiento de la política monetaria y posiblemente implican la necesidad de un papel más activo de las autoridades monetarias en el fomento del desarrollo financiero.This paper estimates the effect of financial development on the transmission of monetary policy. To do so, the paper employs a panel data set containing financial development indicators, policy rates, lending rates, and deposit rates for 43 countries for the period 2000-2019 and applies the empirical strategy of Brandao Marques et al. (2020): firstly, monetary policy shocks are estimated using a Taylor-rule specification that relates changes in the policy rate to inflation, the output gap and other observables that are likely to influencemonetary policy decisions; secondly, the residuals of this estimation (policy shocks) are used in a specification that relates lending or deposit rates to, among others, policy shocks and the interaction between policy shocks and measures of financial development. The coefficient on this interaction term captures the effect of financial development on the relationship between policy shocks and lending or deposit rates. The main findings of the paper are twofold: on the one hand, financial development does strengthen the monetary policy transmission channel to deposit rates; that is, changes in the policy rate in economies with more financial development induce larger changes (in the same direction) in deposit rates than is the case in economies with less financial development. This result is particularly driven by the effect of the development of financial institutions on policy transmission – the effect of financial markets development turns out to be smaller in magnitude. On the other hand, financial development does not strengthen the transmission of monetary policy to lending rates. This is consistent with a credit channel which weakens in the face of financial development in a context where banks cannot easily substitute short-term funding sources. These results highlight the relevance of financial development for the functioning of monetary policy across countries, and possibly imply the necessity of a more active role of monetary authorities in fostering financial development.Enfoque Este documento analiza empíricamente el efecto del desarrollo financiero sobre la transmisión de la política monetaria hacia las tasas de interés de préstamos y depósitos bancarios. En el contexto del documento, se entiende por desarrollo financiero al incremento de un determinado conjunto de indicadores, recopilados y condensados por el Fondo Monetario Internacional (FMI) en tres dimensiones: 1) sistema financiero, 2) instituciones financieras y 3) mercados financieros. Por su parte, se entiende por transmisión de la política monetaria a la capacidad de la tasa de interés de referencia para influir en las tasas de interés de los préstamos y depósitos bancarios. Contribución La literatura ha encontrado que los canales a través de los cuales las decisiones de política sobre la tasa de interés de política monetaria se transmiten a la economía se ven afectados por factores estructurales que no suelen estar bajo el control directo de las autoridades monetarias tales como el desarrollo financiero. En ese sentido, el principal aporte de este trabajo es la estimación de los efectos del desarrollo financiero del sistema, instituciones y mercado sobre la transmisión de política monetaria a las tasas de préstamos y depósitos para un conjunto de 43 países. Para ello se emplea un procedimiento de dos etapas: en la primera se estiman choques de política monetaria a través de una regla de Taylor que relaciona los cambios en la tasa de política monetaria con la inflación, la brecha de producción y otras variables observables; en la segunda, se emplean los residuos de la primera etapa en un modelo panel que relaciona los tipos de interés de préstamo o de depósito con los choques de política y con la interacción entre dichos choques de política y las medidas de desarrollo financiero. Esto pone de manifiesto la importancia del desarrollo financiero para el funcionamiento de la política monetaria en los distintos países, y posiblemente implican la necesidad de un papel más activo de las autoridades monetarias en el fomento del desarrollo financiero. Resultados Los resultados sugieren que el nivel de desarrollo financiero de un país refuerza el canal de transmisión de la política monetaria a la tasa de los depósitos. Esto implica que las variaciones de la tasa de interés de referencia en las economías con mayor desarrollo financiero inducen mayores cambios (en la misma dirección) en las tasas de interés de los depósitos en comparación con las economías con menor desarrollo financiero. Dicho resultado responde especialmente al efecto del desarrollo de las instituciones financieras, y en menor medida al efecto del desarrollo de los mercados financieros. En cuanto al impacto del desarrollo financiero en la transmisión de la política monetaria a las tasas de interés de los préstamos, los coeficientes no son estadísticamente significativos para el índice de desarrollo financiero agregado, ni para su componente de instituciones financieras. Por su parte, las estimaciones sugieren que un mayor nivel de desarrollo de los mercados financieros refuerza el canal de transmisión de la política monetaria a los tipos de interés de los préstamos. Los resultados son coherentes con un canal de crédito que se debilita ante el desarrollo financiero en un contexto en el que los bancos no pueden sustituir fácilmente las fuentes de financiación a corto plazo

Informe especial de estabilidad financiera: riesgo de crédito - Segundo semestre de 2020

Monitorear el riesgo de crédito es fundamental para preservar la estabilidad del sistema financiero. El análisis que se presenta en este informe utiliza, para cada modalidad de crédito, indicadores como el de calidad por riesgo; el indicador de calidad por mora (ICM); el indicador de calidad por riesgo por operaciones; el indicador de calidad por mora por operaciones; así como la probabilidad de que un determinado crédito migre hacia una mejor o hacia una peor calificación crediticia

Informe especial de estabilidad financiera: riesgo de crédito - Primer semestre de 2021

Monitorear el riesgo de crédito es fundamental para preservar la estabilidad del sistema financiero. Este informe presenta, para cada modalidad de cartera, un análisis de las condiciones de crédito y de los principales indicadores de riesgo

Financial Stability Report - September 2015

From this edition, the Financial Stability Report will have fewer pages with some changes in its structure. The purpose of this change is to present the most relevant facts of the financial system and their implications on the financial stability. This allows displaying the analysis more concisely and clearly, as it will focus on describing the evolution of the variables that have the greatest impact on the performance of the financial system, for estimating then the effect of a possible materialization of these risks on the financial health of the institutions. The changing dynamics of the risks faced by the financial system implies that the content of the Report adopts this new structure; therefore, some analyses and series that were regularly included will not necessarily be in each issue. However, the statistical annex that accompanies the publication of the Report will continue to present the series that were traditionally included, regardless of whether or not they are part of the content of the Report. In this way we expect to contribute in a more comprehensive way to the study and analysis of the stability of the Colombian financial system. Executive Summary During the first half of 2015, the main advanced economies showed a slow recovery on their growth, while emerging economies continued with their slowdown trend. Domestic demand in the United States allowed for stabilization on its average growth for the first half of the year, while other developed economies such as the United Kingdom, the euro zone, and Japan showed a more gradual recovery. On the other hand, the Chinese economy exhibited the lowest growth rate in five years, which has resulted in lower global dynamism. This has led to a fall in prices of the main export goods of some Latin American economies, especially oil, whose price has also responded to a larger global supply. The decrease in the terms of trade of the Latin American economies has had an impact on national income, domestic demand, and growth. This scenario has been reflected in increases in sovereign risk spreads, devaluations of stock indices, and depreciation of the exchange rates of most countries in the region. For Colombia, the fall in oil prices has also led to a decline in the terms of trade, resulting in pressure on the dynamics of national income. Additionally, the lower demand for exports helped to widen the current account deficit. This affected the prospects and economic growth of the country during the first half of 2015. This economic context could have an impact on the payment capacity of debtors and on the valuation of investments, affecting the soundness of the financial system. However, the results of the analysis featured in this edition of the Report show that, facing an adverse scenario, the vulnerability of the financial system in terms of solvency and liquidity is low. The analysis of the current situation of credit institutions (CI) shows that growth of the gross loan portfolio remained relatively stable, as well as the loan portfolio quality indicators, except for microcredit, which showed a decrease in these indicators. Regarding liabilities, traditional sources of funding have lost market share versus non-traditional ones (bonds, money market operations and in the interbank market), but still represent more than 70%. Moreover, the solvency indicator remained relatively stable. As for non-banking financial institutions (NBFI), the slowdown observed during the first six months of 2015 in the real annual growth of the assets total, both in the proprietary and third party position, stands out. The analysis of the main debtors of the financial system shows that indebtedness of the private corporate sector has increased in the last year, mostly driven by an increase in the debt balance with domestic and foreign financial institutions. However, the increase in this latter source of funding has been influenced by the depreciation of the Colombian peso vis-à-vis the US dollar since mid-2014. The financial indicators reflected a favorable behavior with respect to the historical average, except for the profitability indicators; although they were below the average, they have shown improvement in the last year. By economic sector, it is noted that the firms focused on farming, mining and transportation activities recorded the highest levels of risk perception by credit institutions, and the largest increases in default levels with respect to those observed in December 2014. Meanwhile, households have shown an increase in the financial burden, mainly due to growth in the consumer loan portfolio, in which the modalities of credit card, payroll deductible loan, revolving and vehicle loan are those that have reported greater increases in risk indicators. On the side of investments that could be affected by the devaluation in the portfolio of credit institutions and non-banking financial institutions (NBFI), the largest share of public debt securities, variable-yield securities and domestic private debt securities is highlighted. The value of these portfolios fell between February and August 2015, driven by the devaluation in the market of these investments throughout the year. Furthermore, the analysis of the liquidity risk indicator (LRI) shows that all intermediaries showed adequate levels and exhibit a stable behavior. Likewise, the fragility analysis of the financial system associated with the increase in the use of non-traditional funding sources does not evidence a greater exposure to liquidity risk. Stress tests assess the impact of the possible joint materialization of credit and market risks, and reveal that neither the aggregate solvency indicator, nor the liquidity risk indicator (LRI) of the system would be below the established legal limits. The entities that result more individually affected have a low share in the total assets of the credit institutions; therefore, a risk to the financial system as a whole is not observed. José Darío Uribe Governo

Reporte Estabilidad Financiera - Primer Semestre de 2020

In the face of the multiple shocks currently experienced by the domestic economy (resulting from the drop in oil prices and the appearance of a global pandemic), the Colombian financial system is in a position of sound solvency and adequate liquidity. At the same time, credit quality has been recovering and the exposure of credit institutions to firms with currency mismatches has declined relative to previous episodes of sudden drops in oil prices. These trends are reflected in the recent fading of red and blue tonalities in the performance and credit risk segments of the risk heatmaps in Graphs A and B.1 Naturally, the sudden, unanticipated change in macroeconomic conditions has caused the appearance of vulnerabilities for short-term financial stability. These vulnerabilities require close and continuous monitoring on the part of economic authorities. The main vulnerability is the response of credit and credit risk to a potential, temporarily extreme macroeconomic situation in the context of: (i) recently increased exposure of some banks to household sector, and (ii) reductions in net interest income that have led to a decline in the profitability of the banking business in the recent past. Furthermore, as a consequence of greater uncertainty and risk aversion, occasional problems may arise in the distribution of liquidity between agents and financial markets. With regards to local markets, spikes have been registered in the volatility of public and private fixed income securities in recent weeks that are consistent with the behavior of the international markets and have had a significant impact on the liquidity of those instruments (red portions in the most recent past of some market risk items on the map in Graph A). In order to adopt a forward-looking approach to those vulnerabilities, this Report presents a stress test that evaluates the resilience of credit institutions in the event of a hypothetical scenario thatseeks to simulate an extreme version of current macroeconomic conditions. The scenario assumes a hypothetical negative growth that is temporarily strong but recovers going into the middle of the coming year and has extreme effects on credit quality. The results suggest that credit institutions have the ability to withstand a significant deterioration in economic conditions in the short term. Even though there could be a strong impact on credit, liquidity, and profitability under the scenario being considered, aggregate capital ratios would probably remain at above their regulatory limits over the horizon of a year. In this context, the recent measures taken by both Banco de la República and the Office of the Financial Superintendent of Colombia that are intended to help preserve the financial stability of the Colombian economy become highly relevant. In compliance with its constitutional objectives and in coordination with the financial system’s security network, Banco de la República will continue to closely monitor the outlook for financial stability at this juncture and will make the decisions that are necessary to ensure the proper functioning of the economy, facilitate the flow of sufficient credit and liquidity resources, and further the smooth functioning of the payment system. Juan José Echavarría Governo

Financial Stability Report - Second Semester of 2020

The Colombian financial system has not suffered major structural disruptions during these months of deep economic contraction and has continued to carry out its basic functions as usual, thus facilitating the economy's response to extreme conditions. This is the result of the soundness of financial institutions at the beginning of the crisis, which was reflected in high liquidity and capital adequacy indicators as well as in the timely response of various authorities. Banco de la República lowered its policy interest rates 250 points to 1.75%, the lowest level since the creation of the new independent bank in 1991, and provided ample temporary and permanent liquidity in both pesos and foreign currency. The Office of the Financial Superintendent of Colombia, in turn, adopted prudential measures to facilitate changes in the conditions for loans in effect and temporary rules for rating and loan-loss provisions. Finally, the national government expanded the transfers as well as the guaranteed credit programs for the economy. The supply of real credit (i.e. discounting inflation) in the economy is 4% higher today than it was 12 months ago with especially marked growth in the housing (5.6%) and commercial (4.7%) loan portfolios (2.3% in consumer and -0.1% in microloans), but there have been significant changes over time. During the first few months of the quarantine, firms increased their demands for liquidity sharply while consumers reduced theirs. Since then, the growth of credit to firms has tended to slow down, while consumer and housing credit has grown. The financial system has responded satisfactorily to the changes in the respective demands of each group or sector and loans may grow at high rates in 2021 if GDP grows at rates close to 4.6% as the technical staff at the Bank expects; but the forecasts are highly uncertain. After the strict quarantine implemented by authorities in Colombia, the turmoil seen in March and early April, which was evident in the sudden reddening of macroeconomic variables on the risk heatmap in Graph A,[1] and the drop in crude oil and coal prices (note the high volatility registered in market risk for the region on Graph A) the local financial markets stabilized relatively quickly. Banco de la República’s credible and sustained policy response played a decisive role in this stabilization in terms of liquidity provision through a sharp expansion of repo operations (and changes in amounts, terms, counterparties, and eligible instruments), the purchases of public and private debt, and the reduction in bank reserve requirements. In this respect, there is now abundant aggregate liquidity and significant improvements in the liquidity position of investment funds. In this context, the main vulnerability factor for financial stability in the short term is still the high degree of uncertainty surrounding loan quality. First, the future trajectory of the number of people infected and deceased by the virus and the possible need for additional health measures is uncertain. For that reason, there is also uncertainty about the path for economic recovery in the short and medium term. Second, the degree to which the current shock will be reflected in loan quality once the risk materializes in banks’ financial statements is uncertain. For the time being, the credit risk heatmap (Graph B) indicates that non-performing and risky loans have not shown major deterioration, but past experience indicates that periods of sharp economic slowdown eventually tend to coincide with rises in non-performing loans: the calculations included in this report suggest that the impact of the recession on credit quality could be significant in the short term. This is particularly worrying since the profitability of credit establishments has been declining in recent months, and this could affect their ability to provide credit to the real sector of the economy. In order to adopt a forward-looking approach to this vulnerability, this Report presents several stress tests that evaluate the resilience of the liquidity and capital adequacy of credit institutions and investment funds in the event of a hypothetical scenario that seeks to simulate an extreme version of current macroeconomic conditions. The results suggest that even though there could be strong impacts on the credit institutions’ volume of credit and profitability under such scenarios, aggregate indicators of total and core capital adequacy will probably remain at levels that are above the regulatory limits over the horizon of a year. At the same time, the exercises highlight the high capacity of the system's liquidity to face adverse scenarios. In compliance with its constitutional objectives and in coordination with the financial system's security network, Banco de la República will continue to closely monitor the outlook for financial stability at this juncture and will make the decisions that are necessary to ensure the proper functioning of the economy, facilitate the flow of sufficient credit and liquidity resources, and further the smooth operation of the payment systems. Juan José Echavarría Governo

Reporte de Estabilidad Financiera - I semestre 2021

En virtud del mandato otorgado por la Constitución Política de Colombia y de acuerdo con lo reglamentado por la Ley 31 de 1992, el Banco de la República tiene la responsabilidad de velar por la estabilidad de los precios. El adecuado cumplimiento de esta tarea depende crucialmente del mantenimiento de la estabilidad financiera. La estabilidad financiera se entiende como una condición general en la cual el sistema financiero (establecimientos, mercados e infraestructuras): 1. Evalúa y administra los riesgos financieros de una manera que facilita el desempeño de la economía y la asignación eficiente de los recursos; 2. está en capacidad de absorber, disipar y mitigar de manera autónoma la materialización de los riesgos que pueda surgir como resultado de eventos adversos. Este Reporte de Estabilidad Financiera cumple el objetivo de presentar la apreciación del Banco de la República sobre el desempeño reciente de los establecimientos de crédito y sus deudores, así como sobre los principales riesgos y vulnerabilidades que podrían tener algún efecto sobre la estabilidad financiera de la economía colombiana. Con este objetivo se pretende informar a los participantes en los mercados financieros y al público, además de promover el debate público sobre las tendencias y los riesgos que atañen al sistema financiero. Los resultados aquí presentados sirven también a la autoridad monetaria como base para la toma de decisiones que permitan promover la estabilidad financiera en el contexto general de los objetivos de estabilidad de precios y estabilidad macroeconómica. Este Reporte se complementa con el Reporte de Sistemas de Pago publicado anualmente por el Banco de la República, en el cual se divulga la labor de seguimiento a las infraestructuras financieras de la economía colombiana.Recuadro 1. Caracterización del ciclo del crédito de mediano plazo en Colombia. Autores: Wilmar Cabrera - Camilo Gómez - Daniela Rodríguez-NovoaRecuadro 2. Indicadores alternativos para medir las tasas históricas de creación y destrucción de empresas en Colombia. Autores: Julián David Castañeda - Felipe Clavijo Ramírez - Camilo Eduardo Sánche