Characterization of the Chilean financial cycle, early warning indicators and implications for macro-prudential policies

From the perspective of an emerging country – Chile – we analyze the recommendations of the Basel Committee of Banking Supervision (BCBS) regarding the design and implementation of indicators to guide countercyclical capital buffer (CCyB) policy decisions. We analyze the sensitivity of the predictiv...

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Main Authors:	Juan Francisco Martínez, Daniel Oda
Format:	Article
Language:	English
Published:	Elsevier 2021-03-01
Series:	Latin American Journal of Central Banking
Online Access:	http://www.sciencedirect.com/science/article/pii/S2666143821000041

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spelling	doaj-1583f8e9382c45a9a40f60486a4399bf2021-06-10T04:57:15ZengElsevierLatin American Journal of Central Banking2666-14382021-03-0121100024Characterization of the Chilean financial cycle, early warning indicators and implications for macro-prudential policiesJuan Francisco Martínez0Daniel Oda1Corresponding author.; Central Bank of Chile, ChileCentral Bank of Chile, ChileFrom the perspective of an emerging country – Chile – we analyze the recommendations of the Basel Committee of Banking Supervision (BCBS) regarding the design and implementation of indicators to guide countercyclical capital buffer (CCyB) policy decisions. We analyze the sensitivity of the predictive power to the calculation methodology of different early warning indicators (EWIs), including the standard credit-to-GDP gap. To meet these goals, we expand the available data of loans, using quarterly data from 1970 to 2017, which covers three financial fragility periods. Additionally, we adjust the methodologies according to the domestic financial structure and the excessive amplitude of past local episodes. Finally, we discuss some remaining challenges for the application of the CCyB in Chile.http://www.sciencedirect.com/science/article/pii/S2666143821000041
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Juan Francisco Martínez Daniel Oda
spellingShingle	Juan Francisco Martínez Daniel Oda Characterization of the Chilean financial cycle, early warning indicators and implications for macro-prudential policies Latin American Journal of Central Banking
author_facet	Juan Francisco Martínez Daniel Oda
author_sort	Juan Francisco Martínez
title	Characterization of the Chilean financial cycle, early warning indicators and implications for macro-prudential policies
title_short	Characterization of the Chilean financial cycle, early warning indicators and implications for macro-prudential policies
title_full	Characterization of the Chilean financial cycle, early warning indicators and implications for macro-prudential policies
title_fullStr	Characterization of the Chilean financial cycle, early warning indicators and implications for macro-prudential policies
title_full_unstemmed	Characterization of the Chilean financial cycle, early warning indicators and implications for macro-prudential policies
title_sort	characterization of the chilean financial cycle, early warning indicators and implications for macro-prudential policies
publisher	Elsevier
series	Latin American Journal of Central Banking
issn	2666-1438
publishDate	2021-03-01
description	From the perspective of an emerging country – Chile – we analyze the recommendations of the Basel Committee of Banking Supervision (BCBS) regarding the design and implementation of indicators to guide countercyclical capital buffer (CCyB) policy decisions. We analyze the sensitivity of the predictive power to the calculation methodology of different early warning indicators (EWIs), including the standard credit-to-GDP gap. To meet these goals, we expand the available data of loans, using quarterly data from 1970 to 2017, which covers three financial fragility periods. Additionally, we adjust the methodologies according to the domestic financial structure and the excessive amplitude of past local episodes. Finally, we discuss some remaining challenges for the application of the CCyB in Chile.
url	http://www.sciencedirect.com/science/article/pii/S2666143821000041
work_keys_str_mv	AT juanfranciscomartinez characterizationofthechileanfinancialcycleearlywarningindicatorsandimplicationsformacroprudentialpolicies AT danieloda characterizationofthechileanfinancialcycleearlywarningindicatorsandimplicationsformacroprudentialpolicies
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Characterization of the Chilean financial cycle, early warning indicators and implications for macro-prudential policies

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