Macroeconomic implications of financial dollarization: the case of Uruguay
Uruguay has experienced a remarkable recovery since the 2002 crisis, supported by sound policies and favorable external conditions. With the framework put in place in 2002, Uruguay abandoned an exchange rate peg in favor of a free float, adopted a monetary regime initially based on money targets, im...
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| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Washington, DC
Internat. Monetary Fund
2008
|
| Series: | International Monetary Fund: Occasional paper
263 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Summary: | Uruguay has experienced a remarkable recovery since the 2002 crisis, supported by sound policies and favorable external conditions. With the framework put in place in 2002, Uruguay abandoned an exchange rate peg in favor of a free float, adopted a monetary regime initially based on money targets, improved financial prudential norms and supervision, and accumulated significant central bank reserves. Against this background, Uruguay now faces issues beyond those addressed to stabilize the economy. As the country pursues key post-crisis monetary and financial reforms, the analysis provided in this paper comments on the ongoing efforts to move toward a fully fledged inflation-targeting regime and develop interest rates as monetary instruments, as well as on the preparedness of the financial system to deal with shocks, and the adequacy of current central bank reserves.--Publisher's description. |
| Physical Description: | IX, 71 S. graph. Darst. |
| ISBN: | 9781589067271 |
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MARC
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| 245 | 1 | 0 | |a Macroeconomic implications of financial dollarization |b the case of Uruguay |c ed. by Marco Piñón ... |
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| 300 | |a IX, 71 S. |b graph. Darst. | ||
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| 520 | 3 | |a Uruguay has experienced a remarkable recovery since the 2002 crisis, supported by sound policies and favorable external conditions. With the framework put in place in 2002, Uruguay abandoned an exchange rate peg in favor of a free float, adopted a monetary regime initially based on money targets, improved financial prudential norms and supervision, and accumulated significant central bank reserves. Against this background, Uruguay now faces issues beyond those addressed to stabilize the economy. As the country pursues key post-crisis monetary and financial reforms, the analysis provided in this paper comments on the ongoing efforts to move toward a fully fledged inflation-targeting regime and develop interest rates as monetary instruments, as well as on the preparedness of the financial system to deal with shocks, and the adequacy of current central bank reserves.--Publisher's description. | |
| 650 | 4 | |a Bank | |
| 650 | 4 | |a Banks and banking |z Uruguay | |
| 650 | 4 | |a Dollarization |z Uruguay | |
| 650 | 4 | |a Finance |z Uruguay | |
| 650 | 4 | |a Monetary policy |z Uruguay | |
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Record in the Search Index
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| adam_text | Contents
Preface vii
Abbreviations ix
I Overview I
Marco Pinön
Monetary Policy in a Dollarized Economy 1
External Linkages Under Dollarization 2
Financial Vulnerabilities and Insurance Mechanisms 3
Part I. Monetary Policy in a Dollarized Economy
II Inflation Process in Uruguay 7
Gaston Gelos and Fernando Rossi Iriondo
Inflation Dynamics and Inflation Expectations 7
Determinants of Inflation Expectations 10
Conclusions 13
Appendix 2.1. Cointegration Tests, Bivariate Vector Error Correction
Model, and Tests of Efficiency of Inflation Forecasts 14
Bibliography 16
III Pass-Through, Dollarization, and Credibility in Uruguay 17
Alejandro Löpez-Mejia, Alessandro Rebucci, and Carolina Saizar
Background 17
Has Pass-Through Declined in Uruguay? 20
Is Monetary Policy Credibility Linked to Financial Dollarization? 22
Conclusions 24
Appendix 3.1. Measuring Credibility 25
Bibliography 25
Part 2. External Linkages Under Dollarization
IV Role of Bank Lending in the Transmission of
Macroeconomic Shocks 29
Gaston Gelos and Marco Pinön
Descriptive Evidence on the Importance of Bank Lending for
Economic Activity 30
Banks Response to Shocks: Microeconomic Evidence 30
Conclusions 33
Bibliography 33
V What Is the Degree of Competition Intensity in the
Uruguayan Banking System?
Gaston Gelos and Marco Pinön
Assessing the Degree of Competition 35
Conclusions
Bibliography
VI What Drives Uruguayan Sovereign Spreads? The Role of
Global Factors and Regional Spillovers 39
Gustavo Adler and Stephanie Eble
Stylized Facts -*
What Drives Sovereign Spreads? 43
Conclusions
Bibliography 47
Part 3. Financial Vulnerabilities and Insurance Mechanisms
VII Has the Uruguayan Financial System Become More Resilient to
Shocks? An Analysis Adapting the Merton Framework to a
Country Without Equity Market Data 51
Marcos Rietti Souto
Merton Framework 51
Stress Tests 52
Modified Merton Framework 53
Conclusions 56
Appendix 7.1. Estimating Risk Indicators for the Corporate and
Banking Sectors 57
Bibliography 59
VIII Optimal Level of Reserves in Financially Dollarized
Economies: The Case of Uruguay 60
Fernando M. Goncalves
Vulnerabilities and the Role of Reserves in Uruguay 60
Optimal Level of Reserves 62
Sensitivity Analysis 65
Conclusions 67
Appendix 8.1. A Model of Optimal Reserve Levels in Financially
Dollarized Economies 67
Appendix 8.2. Level of Reserves Required to Cover a 2002-Like Crisis 69
Bibliography 69
Figures
2.1. Actual and 12-Month-Ahead Expected Inflation 8
2.2. Recursive Coefficient Equation (1) (Recursive ordinary least
Squares estimates) 9
2.3. Determinants of Inflationary Expectations: Recursive Coefficients 11
2.4. Twelve-Month-Ahead Expected Inflation: Actual Versus Fitted
(Generalized method of moments-based model) 12
2.5. Recursive Estimates of Coefficient on Inflation Target (Recursive
ordinary least Squares estimates) 12
2.6. Dispersion of Inflation Forecasts 13
f
3.1. Inflation in Uruguay 18
3.2. Nominal Exchange Rate and Foreign Exchange Rate Intervention 19
3.3. A Measure of Financial Sector Development 20
3.4. Pass-Through Rolling Regression Coefficients 21
3.5. Deposit Dollarization 22
3.6. Credit Dollarization 22
3.7. A Measure of Credibility 23
3.8. Financial Dollarization and Credibility 24
3.9. Impulse Response Functions 24
4.1. Bank Lending in Uruguay 29
4.2. Correlations Between Leads and Lags of the Cyclical Components of
Credit and GDP 31
5.1. Bank Credit to the Private Sector in Selected Countries 34
5.2. Concentration Index 35
6.1. Uruguay, Latin America and Global Emerging Markets Bond Index
(EMBI) Spreads, 1996-2006 40
6.2. Country Fundamentals and External Factors, 1996-2006 41
6.3. Selected Country Spreads and Latin American Emerging Markets
Bond Index (EMBI) Spread, Pre- and Post-Uruguayan Crisis 42
6.4. Standard Poor s Credit Rating for Selected Latin American
Countries, 1996-2006 44
6.5. Uruguay and Selected Latin American Country Spreads, Pre-
and Postcrisis 45
7.1. Merton Framework 52
7.2. Liquidity Ratios After Stress Shocks 53
7.3. Capital Adequacy Ratio (Percentage of Risk-Weighted Assets) After
Stress Shocks 54
7.4. Expected Losses Given Default in the Corporate Sector 55
7.5. Banking Sector Default Probability 56
7.6. Relationship Between Assets and Asset Volatility in Uruguay 56
7.7. Default Probabilities: A Scenario Analysis 57
7A.1. Uruguay s Corporate Sector: Components of Distance to Distress 58
7A.2. Uruguay s Banking Sector Volatilities 59
8.1. Financial Account Reversal, Dollar Deposits, and Reserves in Uruguay 61
8.2. Short-Term Foreign Currency Debt and Foreign Currency
Deposits in Uruguay 61
8.3. Withdrawal of Foreign Currency Deposits in 2002 62
8.4. Benchmark Measures of Reserve Adequacy 62
8.5. Optimal Versus Actual Level of Reserves in Uruguay 65
8.6. Actual and Implied Reserves 65
8.7. Sensitivity Analysis 66
Tables
2.1. Consumer Price Index Inflation Regressions with Survey Data 8
2.2. Determinants of Inflation Expectations 10
2.3. Tests of Unbiasedness of Inflation Forecasts 14
2A.1. Johansen Cointegration Test Results 14
2A.2. Adjustment Coefficients in a Bivariate Vector Error Correction on
Actual and Expected Inflation 15
2A.3. Tests ofEfficiency of Inflation Forecasts 15
3.1. Short- and Long-Run Exchange Rate Pass-Through, Selected Countries 21
4.1. Financing Structure of Firnis in Uruguay, 2004 30
4.2. Selected Indicators of Uruguayan Banks by Type, 2006 31
4.3. Differential Response of Local Currency Loan Growth to
Monetary Policy Shocks by Bank Characteristic 32
4.4. Differential Response of Foreign Currency Loan Growth to
Foreign Shocks 33
5.1. Panzar and Rosse s H Statistic 36
5.2. Results from Revenue Estimations 36
6.1. Sovereign Spread Correlation, Pre- and Postcrisis 43
6.2. Pairwise Granger Causality Tests 44
6.3. Unit Root Test: Augmented Dickey-Fuller (ADF) 46
6.4. Variance Decomposition 47
7.1. 2006 Financial Sector Assessment Program: Stress Tests Assumption 53
7.2. Total Government Assistance to Banks 55
8.1. Variable Parameters 63
8.2. Fixed Parameters 63
8.3. Implicit Parameters 67
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| id | DE-604.BV035276442 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:30:14Z |
| institution | BVB |
| isbn | 9781589067271 |
| language | English |
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| spelling | Macroeconomic implications of financial dollarization the case of Uruguay ed. by Marco Piñón ... Washington, DC Internat. Monetary Fund 2008 IX, 71 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier International Monetary Fund: Occasional paper 263 Uruguay has experienced a remarkable recovery since the 2002 crisis, supported by sound policies and favorable external conditions. With the framework put in place in 2002, Uruguay abandoned an exchange rate peg in favor of a free float, adopted a monetary regime initially based on money targets, improved financial prudential norms and supervision, and accumulated significant central bank reserves. Against this background, Uruguay now faces issues beyond those addressed to stabilize the economy. As the country pursues key post-crisis monetary and financial reforms, the analysis provided in this paper comments on the ongoing efforts to move toward a fully fledged inflation-targeting regime and develop interest rates as monetary instruments, as well as on the preparedness of the financial system to deal with shocks, and the adequacy of current central bank reserves.--Publisher's description. Bank Banks and banking Uruguay Dollarization Uruguay Finance Uruguay Monetary policy Uruguay Piñón, Marco Sonstige oth International Monetary Fund: Occasional paper 263 (DE-604)BV002597241 263 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017081728&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Macroeconomic implications of financial dollarization the case of Uruguay International Monetary Fund: Occasional paper Bank Banks and banking Uruguay Dollarization Uruguay Finance Uruguay Monetary policy Uruguay |
| title | Macroeconomic implications of financial dollarization the case of Uruguay |
| title_auth | Macroeconomic implications of financial dollarization the case of Uruguay |
| title_exact_search | Macroeconomic implications of financial dollarization the case of Uruguay |
| title_full | Macroeconomic implications of financial dollarization the case of Uruguay ed. by Marco Piñón ... |
| title_fullStr | Macroeconomic implications of financial dollarization the case of Uruguay ed. by Marco Piñón ... |
| title_full_unstemmed | Macroeconomic implications of financial dollarization the case of Uruguay ed. by Marco Piñón ... |
| title_short | Macroeconomic implications of financial dollarization |
| title_sort | macroeconomic implications of financial dollarization the case of uruguay |
| title_sub | the case of Uruguay |
| topic | Bank Banks and banking Uruguay Dollarization Uruguay Finance Uruguay Monetary policy Uruguay |
| topic_facet | Bank Banks and banking Uruguay Dollarization Uruguay Finance Uruguay Monetary policy Uruguay |
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