We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Actividad económica y colapso bancario: un modelo markoviano de cambio de régimen de las reservas bancarias.
- Authors
Aguilar Hernández, Brenda Jovana; Téllez-León, Isela Elizabeth; Venegas Martinez, Francisco
- Abstract
This paper is aimed at estimating through Monte Carlo simulation the time (stopping time) in which BBVA Bancomer and Banorte deplete their capital reserves during 2007-2010. To do this, a mean reversion model is combined with a Markov regime switching model; being the regimes expansion and contraction of capital reserves. For doing this, the relationship between the economic activity through the General Indicator of Economic Activity (IGAE, acronym in Spanish) and the bank capital reserves from January 2007 to December 2009 in the case of BBVA Bancomer, and from January 2007 to December 2010 for Banorte is analyzed. It is shown that these two regimes condition the behavior of bank capital requirements. For the periods of study, the probability of contraction is approximately 0.30 while the probability of expansion was 0.87. The obtained empirical results indicate that BBVA consumes its reserves on average every nine months and Banorte every 22 months. These results are used to provide some useful banking policy recommendations for regulators.
- Subjects
MONTE Carlo method; ECONOMIC indicators; BANK reserves; ECONOMIC activity; PROBABILITY theory; BANK capital
- Publication
Revista Nicolaita de Estudios Económicos, 2020, Vol 15, Issue 2, p59
- ISSN
1870-5464
- Publication type
Article
- DOI
10.331101/rnee.vl5i2.316