Monetaria, volume V, number 2, July-December 2017

Monetaria, volume V, number 2, July-December 2017
full Publication | PDF format | Size 3.2 MB


A Systemic Measure of Liquidity Risk
Carolina Pagliacci and Jennifer Peña


This paper analyzes systemic liquidity risk by assessing the behavior of aggregate banking variables and policies related to the management of liquid assets. The basic premise is that liquidity is not only related to the ability to meet interbank debt obligations, but also the availability of sufficient liquid assets to cover other short-term liabilities, such as those arising from commercial banks interaction with the central bank. To measure liquidity risk, we use the contingent claims approach of Merton (1974) and Gray, and Malone (2008). Data produced by the model (probability of default) explains and improves prediction of the amounts and interest rates negotiated in the interbank market. In the case of Venezuela, given the importance of fiscal expenditure in the primary creation of money, fiscally induced monetary expansion tends to reduce the likelihood of illiquidity events. Meanwhile, an increase

in reserve requirements increases the probability of default by raising banks’ short-term liabilities.


Keywords: contingent asset analysis, interbank market, systemic risk, macroprudential regulation.

JEL classification: G00, G13, G18.


How Disruptive are Fintechs?
Mario Bergara and Jorge Ponce


Will the application of technological innovation to finance disrupt financial intermediation? Which are the foreseeable effects on financial markets efficiency, competition, organization of transactions and risks? Which are the challenges and opportunities facing prudential regulation and supervision? Based on the literature on Microeconomics of Banking, Industrial Organization and Transaction Cost Economics we discuss some potential impacts of the proliferation of fintechs.


Keywords: fintech, financial intermediation, efficiency and competition in financial markets, contractual risk, market-based and intermediary-based financial transactions, prudential regulation, supervision.

JEL classification: G10, G20, L10.


Variance Decomposition of Prices in an Emerging Economy
Fernando Borraz and Joaquín Saldain


We use a one million good-level dataset of prices in Uruguay which comprises grocery stores in the capital city of Montevideo to decompose the variance of prices to identify the sources of such variability. We estimate the specific contribution of the product, chain, and individual store to the variability of prices. Estimates are carried out with the data in different periods, with time trend inflation and excluding nonhomogeneous goods to estimate robust results. We use the three-error model to decompose the price variation to find that chain specific shocks account for half of it. The importance of shocks to individual products and product categories common to all stores is the other half. Our results indicate that the importance of chains in price variation in Uruguay is halfway between that of the United States and Chile. Therefore, in an emerging economy, the price strategies of retailers are not so much different from those in the United States to compare to what previously thought.


Keywords: prices, variance decomposition, firm strategy, Uruguay.

JEL classification: E31, E52, L10.


Patterns and Drivers of Corporate Bonds in Latin America
Adrian Robles, Bennett Sutton, and Svetlana Vtyurina


This paper overviews patterns in bond issuance in local and external markets by firms in six large Latin American countries. Also, using an unbalanced panel of firm and market-level indicators for years 1995-2015, we control for variables representing several theories of capital structure to gauge the firm’s decision on the choice of issuance jurisdiction.


Keywords: capital structure, firm-level, Latin America, la6, corporate bond markets.

JEL classification: G100, F300.