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Tasa de usura y mecanismo de transmisión monetaria en Colombia: Comparación internacional y análisis de datos de panel
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We examine some issues in the estimation of time-series cross-section models, calling into question the conclusions of many published studies, particularly in the field of comparative political economy. We show that the generalized least squares approach of Parks produces standard errors that lead to extreme overconfidence, often underestimating variability by 50% or more. We also provide an alternative estimator of the standard errors that is correct when the error structures show complications found in this type of model. Monte Carlo analysis shows that these “panel-corrected standard errors” perform well. The utility of our approach is demonstrated via a reanalysis of one “social democratic corporatist” model.
Using bank-level data for 80 countries in the years 1988-95, this article shows that differences in interest margins and bank profitability reflect a variety of determinants: bank characteristics, macroeconomic conditions, explicit and implicit bank taxation, deposit insurance regulation, overall financial structure, and underlying legal and institutional indicators. A larger ratio of bank assets to gross domestic product and a lower market concentration ratio lead to lower margins and profits, controlling for differences in bank activity, leverage, and the macroeconomic environment. Foreign banks have higher margins and profits than domestic banks in developing countries, while the opposite holds in industrial countries. Also, there is evidence that the corporate tax burden is fully passed onto bank customers, while higher reserve requirements are not, especially in developing countries.
EGISLATION enacted in 1980 calls for the gradual phase-out of interest rate ceilings on deposits at banks and thrift institutions by 1986.1 This legislation was intended to increase the efficiency offinancial markets, which a deregulated financial environment provides, and permit small savers to earn more competitive rates on their savings. Many of these interest rate ceilings already have been removed. Some economists have suggested that the payment of higher interest rates to depositors has contributed to the high rates of interest in this country over the last fewyears. According to Arenson (1983) in the New York limes, "Economists estimate that the higher cost of bank funds probably has raised the genet-al level of interest rates by about 1½ percentage points." Bacon (1983), in the Wall Street Journal, quotes Lat~'ence Chimerine of Chase Econometrics as estimating the same effect on long-term real rates of interest. The basic argument is that the phase-out of Regulation Q has raised the interest expense of depository institu- tions; in response, these institutions have raised the interest rates they chat-ge borrowers.
The authors study the capital accumulation and welfare implications of ceilings on loan interest rates in a dynamic general equilibrium model. Binding ceilings on loan rates reduce the probability of bankruptcy. Lower bankruptcy rates result in lower bankruptcy and liquidation costs. The authors state conditions under which the resources freed by this cost-saving result increase the steady state capital stock, reduce steady state credit rationing, and raise the steady state welfare of all agents. The authors also argue that the conditions stated are likely to be satisfied in practice. Finally, their results hold even if initially there is capital over-accumulation.
Para un Banco Central (BC), es importante identificar los mecanismos por los cuales las medidas de política monetaria afectan sus objetivos finales, bien sea de crecimiento, inflación o empleo. Dichos mecanismos son llamados canales de transmisión, entendiéndolos como aquellos procesos y caminos mediante los cuales las decisiones de política de un BC afectan las variables finales mencionadas. Uno de los canales de transmisión que identifica la teoría económica es el de crédito bancario. Según ésta teoría, los incrementos (descensos) en las tasas de interés de intervención del BC, se trasladan a las tasas de mercado de igual y mayor plazo (tanto de captación como de colocación), generando un descenso (incremento) en la demanda de crédito y, como resultado, los beneficiarios reducen (aumentan) el consumo y la inversión, produciendo una caída (aumento) en la demanda agregada y en los precios2. No obstante, el razonamiento es válido si se cumplen dos supuestos: i) que no exista otra fuente de financiación alternativa que sea sustituta perfecta del crédito bancario y, ii) que dentro del balance de los bancos, no haya otro activo que sea sustituto perfecto del crédito a las empresas. En la medida que estos supuestos no se cumplan, la transmisión de las tasas de intervención del BC hacia las de mercado es menor, el canal del crédito pierde eficiencia, y se hace más difícil para un BC obtener sus objetivos de inflación a través de éste canal de transmisión. En este contexto, el presente trabajo tiene como objetivo detectar los efectos que generan los cambios en las tasas de interés de intervención del Banco de la República (BR) sobre las diferentes tasas de interés del sistema financiero: activas y pasivas3. Es importante aclarar que el alcance de este trabajo es limitado, ya que sólo pretende encontrar las relaciones que existen entre dichas tasas, sin llegar hasta al efecto final que pueda tener sobre la demanda agregada y la inflación. No obstante, las conclusiones del documento puedan servir como punto de partida para un estudio más amplio sobre el canal de crédito.
Usury regulation is a topic with a long history of discussion; nevertheless the debate over the merits of usury regulation continues to the present day. In the early part of the 1980s the rapid rise in nominal interest rates swung the debate in favor of the opponents of usury ceilings. During this period a quarter of the states enacted legislation which largely eliminated their usury ceilings on consumer credit. However with the return of lower interest rates in the middle part of the decade the argument for low usury ceilings gained increasing support, and as a result several states lowered their usury ceilings on some types of credit. The first formal economic model of the impact of usury ceilings was outlined by Blitz and Long [8]. Their insightful analysis has led researchers to focus on two hypotheses concerning the impact of usury ceilings on consumer credit. HYPOTHESIS 1. Usury ceilings reduce the quantity of credit obtained by high-risk borrowers
We examine some issues in the estimation of time-series cross-section models, calling into
question the conclusions of many published studies, particularly in the field of comparative
political economy. We show that the generalized least squares approach of Parks produces
standard errors that lead to extreme overconfidence, often underestimating variability by 50% or
more. We also provide an alternative estimator of the standard errors that is correct when the error
structures show complications found in this type of model. Monte Carlo analysis shows that these
"panel-corrected standard errors" perform well. The utility of our approach is demonstrated via a
reanalysis of one "social democratic corporatist" model.
We use a monthly dataset for the Colombian banking system from 2002 to 2010 to test the role of interest rate ceilings on competition in different segments of the credit market. We use maximum likelihood estimations of double hurdle probabilistic models to estimate the probability of tacit collusion around interest rate ceilings. Our results suggest that interest ceilings play an important role as a collusion device in the mortgage credit market, where the estimated probability of collusive rates is around 22%. This does not seem to be a concern for other types of credit, which have probability estimates below 5%. This collusive behavior in housing credit seems to be persistent over time, but is stronger during stress periods, increases with market concentration, and is higher for smaller banks.
This paper presents a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic. This estimator does not depend on a formal model of the structure of the heteroskedasticity. By comparing the elements of the new estimator to those of the usual covariance estimator, one obtains a direct test for heteroskedasticity, since in the absence of heteroskedasticity, the two estimators will be approximately equal, but will generally diverge otherwise. The test has an appealing least squares interpretation.
Riesgos macroeconómicos y mercados financieros -- Entidades de depósito y otros participantes en los mercados financieros -- Elementos estructurales del sistema financiero.
Interest rate restrictions are among the most pervasive forms of economic regulations. This paper explains that these restrictions can be explained as a means of primitive social insurance. Interest rate limits are Pareto improving because agents borrow when they have temporary negative income shocks -- interest rate restrictions transfer wealth to agents who have received those negative shocks and whose marginal utility of income is high. We assume that these shocks are not otherwise insurable because of problems related to asymmetric information or the difficulties inherent in writing complex contracts. The model predicts that interest rate restriction will be tighter when income inequality is high (and impermanent) and when growth rates are low. Data from U.S. states' regulations supports a connection between inequality and usury laws. The history of usury laws suggests that this social insurance mechanism is one reason why usury laws persist, but it also suggests that usury laws have had different functions across time (eg. rent-seeking, limiting agency problems within the church, limiting overcommitment of debts, and attacking commerce generally).
This paper provides a survey on studies that analyze the macroeconomic effects of intellectual property rights (IPR). The first part of this paper introduces different patent policy instruments and reviews their effects on R&D and economic growth. This part also discusses the distortionary effects and distributional consequences of IPR protection as well as empirical evidence on the effects of patent rights. Then, the second part considers the international aspects of IPR protection. In summary, this paper draws the following conclusions from the literature. Firstly, different patent policy instruments have different effects on R&D and growth. Secondly, there is empirical evidence supporting a positive relationship between IPR protection and innovation, but the evidence is stronger for developed countries than for developing countries. Thirdly, the optimal level of IPR protection should tradeoff the social benefits of enhanced innovation against the social costs of multiple distortions and income inequality. Finally, in an open economy, achieving the globally optimal level of protection requires an international coordination (rather than the harmonization) of IPR protection.
We investigate the causes and consequences of financial regulation by studying the political economy of U.S. state usury laws in the 19th century. We find evidence that usury laws were binding and enforced and that lending activity was affected by rate ceilings. Exploiting the heterogeneity across states and time in regulation, enforcement, and market conditions, we find that regulation tightens when it is less costly and when it coexists with other economic and political restrictions that exclude certain groups. Furthermore, the same determinants of financial regulation that favor one group (and restrict others) are associated with higher (lower) future economic growth rates. The evidence suggests regulation is the outcome of private interests using the coercive power of the state to extract rents from other groups, highlighting the endogeneity of financial development and growth.
Few pieces of economic regulation are ubiquitous as usury limits. Similarly, few economic principles are as widely accepted as the belief that interference with freely contracted prices leads to market distortions, and many studies of financial markets find that usury limits negatively affect credit availability. This study shows that when no regulatory authority monitors and stands ready to punish violators of the usury limit when intermediaries and borrowers form long-term relationships, banks and borrowers regularly contract for interest rates in excess of the usury ceiling. Time series analysis reveals limited effects on credit availability when market rates exceed the usury ceiling. Cross-sectional analysis of individual loan contracts also shows that the positive effect of a long-term relationship offsets the negative effect of the usury limit on credit availability.
ARCh 1986 markcd thc cud of the phas out of interest rate ceilings on deposits, otherwise known as Regulation Q The handwriting on the wall became evident for Regulation 0, when the Monetary Contn'oi Act (MUA) of 1980 established the Depository Institu- tions Den'egulation Committee ID DC), whose main duty was to phase out the regulation over a period of six year's. The purpose of this article is to review léderal policy on deposit interest rate ceilings over the 53 year's since they first were imposed. The article describes the objectives of Congress in establishing ceiling rates on deposits, examines their effects on the I'mnancial sys- tem and economic activity, and, finally, assesses the effect that phasing them out has had ~n tile coniposi- tion of deposit liabilities. This analysis focuses on three distinct periods dirt' - ing which Regulation 0, was administer-ed under dif- ferent objectives. In the first period, 1933 through 1965, the ceilings constrained the interest r'ates paid by most commercial banks for only a few short intervals. During most of the second penod, 1966 through 1979, ceiling m'ates effectively constrained the t'ates paid by commercial banks and thrifts on at least some catego- ries of their deposit liabilities. During the third period, 1980 through 1986, the DIDC gradually phased out Regulation (1 once again allowing market forces to determine deposit interest rates. C '~ -\ // —
This paper develops a simple neoclassical model of the business cycle in which the condition of borrowers' balance sheets is a source of output dynamics. The mechanism is that higher borrower net worth reduces the agency costs of financing real capital investments. Business upturns improve net worth, lower agency costs, and increase investment, which amplifies the upturn; vice versa, for downturns. Shocks that affect net worth (as in a debt-deflation) can initiate fluctuations. Copyright 1989 by American Economic Association.
We test whether a nonbinding price ceiling may serve as a focal point for tacit collusion, using data from the credit card market during the 1980's. Our empirical model can distinguish instances when firms match a binding ceiling from instances when firms tacitly collude at a nonbinding ceiling. The results suggest that tacit collusion at nonbinding state-level ceilings was prevalent during the early 1980's, but that national integration of the market reduced the sustainability of tacit collusion by the end of the decade. The results highlight a perverse effect of price regulation. (JEL L0, L12, L5).
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