El rol de los requerimientos de capital en el mercado interbancario

Demian Macedo, Audrone Virbickaite

Resumen


En este trabajo analizamos la capacidad de los requerimientos mínimos de capital para restaurar la provisión de liquidez en el mercado interbancario bajo un contexto de riesgo moral. En particular, estudiamos la efectividad de este tipo de regulación cuando las necesidades de liquidez pueden ser originadas por un shock de depósitos -contracción en la oferta de depósitos- o un shock de caja -incremento en préstamos calificados como dudosos-. La metodología aplicada en este trabajo se basa en el modelo de Macedo & Troster (2019), el cual es una útil herramienta para analizar el comportamiento de la industria bancaria. Aquí extendemos dicho trabajo introduciendo capital regulatorio y estudiamos la asignación de liquidez del mercado interbancario ante diferentes shocks de liquidez. La conclusión evidencia que los requerimientos de capital son una herramienta útil para disminuir el riesgo moral en la industria bancaria y, de esta manera, restablecer el comercio interbancario. Además, mostramos que este tipo de regulación es más efectiva para tratar un shock de caja que un shock de depósito. Nuestro análisis es relevante para el logro de la estabilidad financiera, ya que permite entender como los requerimientos de capital operan en el mercado interbancario.

Palabras clave


Riesgo de liquidez; Requerimientos de Capital; Estabilidad Financiera

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Referencias


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DOI: https://doi.org/10.23878/empr.v12i46.143