Abstract This paper measures the impact of changes in the central bank's reference rate on bank lending rates at both the aggregate level and by loan size. Our data come from the payroll and personal loan markets in Mexico for the period comprising 2011 to 2019. We use an autoregressive model with distributed lags, which allows for the possibility of asymmetric effects. The results show, among other findings, that the pass-through is small; it is not necessarily positive; asymmetric behaviour cannot be ruled out; and, its value depends on the loan size. These results imply that the effectiveness of monetary policy is weakened, in addition to the fact that the reaction of banks to changes in the target interest rate may have distributional implications. The originality of the paper lies in the grouping of interest rates by loan size and the use of a methodology that allows us to assess the existence of asymmetries. Its main shortcoming is the lack of data regarding the characteristics of the borrowers.

Resumen Este documento mide el impacto de los cambios en la tasa de referencia del banco central sobre las tasas de préstamos bancarios tanto a nivel agregado como por tamaño de préstamo. Nuestros datos provienen de los mercados de préstamos de nómina y personales en México para el periodo que comprende de 2011 a 2019. Utilizamos un modelo autorregresivo con rezagos distribuidos, que permite la posibilidad de efectos asimétricos. Los resultados muestran, entre otros hallazgos, que el traspaso es pequeño; no es necesariamente positivo; no se puede descartar un comportamiento asimétrico; y, su valor depende del tamaño del préstamo. Estos resultados implican una reducción de la eficacia de la política monetaria, además de que la reacción de los bancos a los cambios en el tipo de interés objetivo puede tener implicaciones distributivas. La originalidad del trabajo radica en la agrupación de las tasas de interés por tamaño de préstamo y en el uso de una metodología que permite evaluar la existencia de asimetrías. Su principal limitante es la falta de información concerniente a las características socioeconómicas de los deudores.

Resumen Se analiza de manera empírica la base de datos de la Fintech estadounidense LendingClub, la empresa precursora del mercado de préstamos digitales persona a persona. Se busca contextualizar al modelo de negocio a través de su base de datos y las variables implicadas en el perfil de riesgo de los participantes. Se toman cuatro ventanas de tiempo para capturar ciclos económicos y su impacto en el perfil crediticio de los prestatarios. Para identificar los perfiles de riesgo de manera analítica, implementamos la técnica de clústeres de K-medias, definiendo un patrón de segmentación de participantes en función de la tasa de interés de los préstamos y la calificación FICO (Fair Isaac Company). Los patrones de agrupación son constantes a lo largo de los periodos estudiados y permiten determinar niveles promedio de ingreso, tipos de préstamos adquiridos y proveniencia geográfica según perfil de riesgo. Pocos estudios contemplan toda la información disponible de la operación de LendingClub (2007-20203T); por lo tanto, este estudio también identifica la transición a la madurez de este modelo de negocio. Este trabajo logra dos objetivos: demostrar la evolución de los clientes y la plataforma a través del tiempo en cuanto se refiere a los perfiles de riesgo de los participantes prestatarios, y destacar el uso de clústeres de K-medias como una herramienta apropiada para el perfilamiento frente a otras alternativas analíticas.

Abstract We empirically analyze the LendingClub dataset, the pioneer of the peer-to-peer digital lending market. We aim to contextualize the business model through its database and the variables involved in the risk profile of the participants. We consider four different periods to capture economic cycles and their impact on the credit profile of borrowers. We implement K-Means Clustering Analysis to analytically define a segmentation pattern for participants based on the interest rate of the loans and the FICO (Fair Isaac Company) score. The clusters are constant throughout the periods studied and allow to detect average income levels, issued loans destination and borrower geographic origin according to risk profile. Few studies contemplate all the information available for the LendingClub operation (2007-2020Q3), therefore, this study illustrates how this business model has transitioned to maturity. This work achieves two objectives: to demonstrate the evolution of clients and the platform over time in terms of the risk profiles of participating borrowers, and to highlight the use of K-Means Clustering as an appropriate tool for profiling against to other analytical alternatives.

Resumen: El objetivo de este trabajo es examinar el canal del crédito bancario en Colombia para el periodo 1995-2015, teniendo en cuenta las repercusiones que tuvo la crisis financiera mundial del 2007 sobre este. Para ello, se divide la muestra en dos periodos (pre y poscrisis) y se utilizan dos enfoques con el fin de obtener resultados robustos. Utilizando modelos de datos panel, se encuentra que un incremento en la tasa de interés de referencia de 1% disminuye el crédito bancario en un 2 a 3% (independientemente del enfoque usado), lo cual evidencia la existencia del canal para el periodo precrisis; asimismo, los resultados encontrados muestran que dicho canal tiene efectos heterogéneos. Por otro lado, para el periodo poscrisis, los resultados pierden significancia estadística, lo que sugiere que la crisis financiera mundial sí tuvo un efecto sobre dicho canal. Lo anterior implica que el banco central de Colombia, al momento de tomar decisiones y de formular su política monetaria, debería tener en cuenta que el efecto final sobre la economía no es el mismo al efecto observado antes del 2007. Clasificación JEL: E44, E52, E58, G01, G21.

Abstract: The objective of this article is to examine the bank lending channel in Colombia for the period 1995-2015, taking into account the repercussions that the 2007 global financial crisis had on it. To this end, the sample is divided into two periods (pre- and post-crisis) and two approaches are used in order to obtain robust results. By using panel data models, it is found that an increase in the reference interest rate of 1% decreases bank lending by 2-3% (regardless of the approach used), which shows the existence of the bank lending channel for the pre-crisis period; likewise, the results found show that this channel has heterogeneous effects on the economy. However, for the post-crisis period, the results lose statistical significance, thus suggesting that the global financial crisis did influence such a channel. These results imply that the Colombian central bank, at the time of making decisions and formulating its monetary policy, should take into account that the final effect on the economy is not the same as that observed before 2007. Clasificación JEL: E44, E52, E58, G01, G21.

Résumé: L’objectif de cet article est d’examiner le canal du crédit bancaire en Colombie pour la période 1995-2015, compte tenu des répercussions que l’ADH de crise mondiale financière 2007 sur elle. A cet effet, l’échantillon est divisé en deux périodes (avant et après la crise) et deux sont utilisés afin d’obtenir des résultats approches robustes. En utilisant des modèles de données de panel, on constate une augmentation qui dans le taux d’intérêt de référence de 1% entraîne une diminution des prêts bancaires de 2,3% (quelle que soit l’approche utilisée), ce qui montre l’existence du canal de prêt bancaire pour la pré-crise période; De même, les résultats trouvés esta montrent que le canal a des effets hétérogènes sur l’économie. Toutefois, pour la période post-crise, les résultats perdent signification statistique, ce qui suggère que la crise financière mondiale n’a pas influencé un tel canal. Ces résultats impliquent que la banque centrale colombienne, au moment de prendre des décisions et sa politique monétaire Formuler, prendre en compte que si le Effet final sur l’économie ne sont pas les mêmes que précédemment ont fait remarquer que 2007. Clasificación JEL: E44, E52, E58, G01, G21.

BACKGROUND: Official monetary data usually exclude informal financial transactions although the informal financial sector (IFS) forms a large part of the financial sector in low-income countries. AIM AND SETTING: Excluding informal financial transactions in official monetary data, however, underestimates the volume of financial transactions and incorrectly presents the cost of credit, bringing into question the accuracy of expected effects of monetary policy on economic activity. METHODS: Using IFS data for Malawi constructed from two survey data sets, indigenous knowledge and elements of Friedman's data interpolation technique, this study employs innovation accounting in a structural vector autoregressive model to compare monetary policy outcomes when IFS data are taken into account and when they are not. RESULTS: The study finds evidence that in certain instances, the formal and informal financial sectors complement each other. For example, it is observed that the rate of inflation as well as output increase following a rise in either formal financial sector (FFS) or IFS lending. Further investigation reveals that in other cases, the FFS and IFS work in conflict with each other. Demonstrating this point, the study finds that a rise in FFS interest rates is followed by a decline in FFS lending while IFS lending does not respond significantly and the response of FFS and IFS loans combined is insignificant. When IFS interest rates are raised, total loans decline significantly. CONCLUSION: The study, therefore, concludes that exclusion of IFS transactions from official monetary data has the potential to frustrate monetary policy through wrong inferences on the impact of monetary policy on economic activity.

En este documento se analiza la transmisión de la política monetaria a las tasas de interés de mercado del sistema financiero utilizando diferentes herramientas estadísticas. La relación existente entre la tasa de política y las tasas de interés de colocación es positiva y significativa, y se presenta una transmisión completa para las diferentes modalidades de crédito después de 8 meses. La transmisión de la tasa de interés de referencia a las tasas de crédito difiere según las distintas modalidades de préstamo. Se observa una mayor transmisión y más rápida a las tasas comerciales que a las ofrecidas a los hogares. En particular, la transmisión a las tasas de crédito preferencial es más rápida y completa. En cuanto a las tasas de tarjetas de crédito e hipotecarias, la transmisión es más débil debido a su naturaleza, regulación (tasa límite) y rigideces de las mismas.

This paper studies monetary policy transmission using several statistical tools. We find that the relationships between the policy interest rate and the financial system's interest rates are positive and statistically significant, and transmission is complete eight months after policy shocks occur. The speed of transmission varies according to the type of interest rates. Transmission is faster for interest rates on loans provided to households, and is particularly rapid and complete for rates on preferential commercial loans. Transmission is slower for credit card and mortgage rates, due to regulatory issues (interest rate ceilings).

The increased surge of microfinance institutions should help cash starve entrepreneurs to unleash their productivity and raise their income. However, the high real interest rates they charge limit their impact. Using a cross section-time series panel data of microfinance institutions operating in Mexico, we find that the funding cost and the efficiency of microfinance institutions explain the lending interest rate that these financial firms charge. A change in any of these two determinants has a greater impact on the rate of interest charged by the biggest microfinance institutions.

Los préstamos que ofrecen las instituciones de microfinanzas deberían ayudar a que muchos empresarios pudieran elevar sus ingresos. Sin embargo, las altas tasas de interés que cobran merma tal impacto. Ante ello, la política pública debería buscar los mecanismos idóneos para reducir dichas tasas. Haciendo uso de un panel de datos encontramos que los dos principales determinantes de la tasa activa de interés son el costo de fondeo y la eficiencia con que operan dichas instituciones en el país. Una alteración de estos factores tiene mayor incidencia sobre la tasa de interés que cobran las instituciones más grandes.

Este artigo investiga como variações nas taxas de juros afetam a probabilidade de default (PD) em um modelo de equilíbrio geral com mercados incompletos e exigência de colateral. Teoricamente, a PD possui relação positiva com taxa de juro real do empréstimo e negativa com a taxa de juro real da economia. Empiricamente, essas relações são confirmadas por meio da estimação do modelo de risco proporcional de Cox para uma grande amostra de empréstimos colateralizados. Dentre as variáveis de controle, há características do indivíduo, do contrato e da economia como um todo. Intuitivamente, uma taxa de juro real básica mais baixa implica menor retorno das operações de tesouraria, levando os bancos a ampliarem suas carteiras de crédito, emprestando para indivíduos mais arriscados.

This paper investigates how changes in interest rates affect the probability of default (PD) in a general equilibrium model with incomplete markets and collateral requirement. Theoretically, the PD has a positive relationship with the loan real interest rate and negative with the economy real interest rate. Empirically, those relationships are confirmed by the estimation of the Cox proportional hazard model for a large sample of collateralized loans. Among the control variables, there are characteristics of the individuals, contracts, and economy as a whole. Intuitively, a lower real interest rate reduces earnings from financial operations, leading the banks to increase their credit portfolios by lending for riskier individuals.

La crisis financiera reciente ha advertido la necesidad de un mejor entendimiento del mecanismo de transmisión de la política monetaria. El principal avance en esta dirección destaca la participación del sistema financiero en esta transmisión. En particular, se ha enfatizado en la manera como las acciones de política tienen efecto sobre las percepciones de riesgo y actitudes de los bancos y otras instituciones financieras, las cuales implican un cambio en la oferta de crédito. Con este marco analítico y con base en la evidencia para Colombia, este documento encuentra una relación significativa entre bajos niveles de tasas de interés y toma de riesgo por parte de los bancos. Tasas de interés bajas aumentan la probabilidad de suspender los pagos de los créditos nuevos y reducen la de los créditos vigentes. Más aún, este canal de transmisión depende de las características de los bancos, de los créditos y de los deudores, así como de las condiciones macroeconómicas.

The recent financial crisis has brought to the forefront the need for a better understanding of the transmission mechanisms of monetary policy. The main step forward on this issue has drawn on work aimed at stressing the role of the financial sector in this transmission. Particular emphasis has been placed on how policy actions impact risk perceptions and attitudes of banks and other financial institutions, leading to shifts in the supply of credit. Along these lines, and based on evidence from Colombia, this paper finds a significant link between low interest rates and banks’ risk-taking based on evidence from Colombia. Lower interest rates raise the probability of default on new loans, but reduce that on outstanding loans. Furthermore, this channel of policy transmission depends on some bank, loan and borrower characteristics, as well as on macroeconomic conditions, such as the growth rate of the economy.

A recente crise financeira tem chamado a atenção sobre a necessidade de uma melhor compreensão do mecanismo de transmissão da política monetária. O principal avanço neste sentido salienta a participação do sistema financeiro nesta transmissão. Em particular, faz-se ênfase na maneira como as ações da política têm efeito nas percepções de risco e as atitudes dos bancos e outras instituições financeiras, as quais supõem uma mudança na oferta de crédito. Com este marco analítico e com base na evidência da Colômbia, este documento encontra uma relação significativa entre baixas taxas de juros e toma de risco por parte dos bancos. As baixas taxas de juros incrementam a probabilidade de suspender os pagamentos dos créditos novos e reduzem a dos créditos vigentes. Ainda mais, este canal de transmissão depende das características dos bancos, dos créditos e dos endividados, assim como das condições macroeconômicas.

The Zimbabwean economic and political malaise has been going on for longer than a decade and has deteriorated unabated. Runaway hyperinflation reaching unthinkable proportions, an almost hundred percent unemployment rate and a shattered currency with literally no external value or esteem characterise this demise. Fiscal profligacy funded by an ever increasing fiscal deficit has played its part in this socio-economic tragedy. This state of affairs would not have been possible if the Reserve Bank of Zimbabwe had fulfilled its role as protector of the nation's currency. Sadly, the Bank slavishly accommodated the government's request for printing more money and did not render any sign of independence from government as a respected central bank should have done. As in many other cases of hyperinflation, this weakness provided the basis from which the evolving tragedy gained momentum. The gigantic proportions of the continuous socio-economic and political tragedy predict an even bleaker future for the country if not attended to in a decisive way. No instant political or economic solution exists for this appalling situation, but economic restoration has to start with certain basic steps of economic reform. This paper suggests official dollarisation as an alternative exchange rate regime with which to clear up the economic disorder that currently characterises the economic scene. The paper explains the term "dollarisation", its features and the underlying rationale of the regime as a super-fixed exchange rate system for Zimbabwe. Thereafter the possible advantages and disadvantages that Zimbabwe can obtain from the system are highlighted, accompanied by a brief discussion on randisation as a possible alternative solution. Especially important among the advantages is the fact that dollarisation will help to restore the lost credibility of the Zimbabwean policy-makers since it will now be imported externally from an anchor country and its currency. This will not only substantially decrease the inflation and interest rates, but it will also contribute to promoting saving, investment, economic growth and employment. It will, furthermore, stabilise the dysfunctional Zimbabwean credit system, enhance long term lending contracts and correct the misallocation of resources caused by hyperinflation. These benefits must be balanced by certain costs of dollarisation, especially the loss of seigniorage income, the loss of monetary autonomy and national pride, as well as the loss of the lender-of-last-resort-function of the central bank. However, in the case of Zimbabwe these costs are found to be thoroughly overshadowed by the benefits derived from dollarisation. In addition, the Zimbabwean situation and the current stance of its economy actually fit the prerequisites for a country that should seriously contemplate dollarisation. Although dollarisation is supported as a possible solution for Zimbabwe, randisation may also work but will have to be considered with care. South Africa is indeed the biggest trading partner of Zimbabwe and also has deep financial ties with the latter. Nevertheless, the volatility in the exchange rate of the rand and the possibility of loan default on South African loans to Zimbabwe are risks in need of contemplation. Another, but less credible policy alternative for Zimbabwe, is to adopt a currency board arrangement where the exchange rate of the Zimdollar is not only firmly fixed to the South African rand, but also fully (100 per cent) covered by rand reserves as a back-up measure of credibility. Yet, under the current circumstances dollarisation presents itself as a more likely system with which to obtain rapid and trustworthy results. Although dollarisation on its own will certainly help, it will not pose a "quick-fix" for the Zimbabwean demise. Dollarisation can not compensate for corruption, disruptions in the social structure and a lack of transparency in the political and economic system. Furthermore, it can not compensate for a lack of human prudence in decision-making, a lack of protection of property rights and the absence of a rule of law. The latter aspects require fundamental and credible reforms on the political and juridical front, without which no economic rescue package will have any success whatsoever.

Die ekonomiese en politieke verval van Zimbabwe duur reeds langer as 'n dekade en versleg toenemend. Weghol-hiperinflasie van ondenkbare afmetings, 'n werkloosheidskoers van bykans honderd persent en 'n verpletterde geldeenheid met letterlik geen eksterne waarde of aansien nie, kenmerk hierdie verval. Die katastrofiese afmetings van die volhardende sosio-ekonomiese en politieke tragedie dui op 'n nog bleker toekomsprentjie vir die land indien die huidige politieke onderhandeling nie beslissend aangepak word nie. Daar bestaan geen kits politieke of ekonomiese oplossing vir hierdie weersinwekkende situasie nie, maar ekonomiese herstel moet immers met sekere basiese ekonomiese hervorming stappe begin. Hierdie artikel stel dollarisering voor as 'n alternatiewe wisselkoers stelsel waarmee die ekonomiese wanorde wat tans die ekonomiese toneel kenmerk, opgeruim kan word. Dit verduidelik die term "dollarisering", die eienskappe daarvan sowel as die onderliggende rasionaal van die regime as 'n supervaste wisselkoersstelsel vir Zimbabwe. Daarna word die moontlike voor- en nadele van so 'n stelsel vir Zimbabwe uitgelig, gepaardgaande met 'n bespreking van randarisering as 'n moontlike alternatiewe oplossing. Dollarisering word as 'n moontlike oplossing vir Zimbabwe aanbeveel, maar randarisering kan ook met versigtigheid oorweeg word. Hoewel dollarisering op sigself sal help, sal dit nie 'n kitsoplossing vir die Zimbabwiese verval bied nie. Dit sal nie die huidige ramp oplos tensy dit deur ander wydlopende en geloofwaardige politieke en ekonomiese hervormings vergesel word nie.

En este artículo, un algoritmo cataloga las bonanzas de entradas de capital tanto a economías emergentes como a economías avanzadas desde 1980 a 2007 para 181 países y desde 1960 a 2007 para un subconjunto de 66 economías de todas las regiones. Factores globales como los precios de los productos básicos, las tasas de interés internacional y el crecimiento de las economías más grandes del mundo tienen un efecto sistemático en el ciclo global de flujos de capital. Las bonanzas no son una bendición para las economías avanzadas ni para los mercados emergentes. En el caso de estas últimas, las bonanzas de entradas de capital están relacionadas con una mayor probabilidad de crisis económicas. En los países en desarrollo las bonanzas están asociadas a políticas fiscales procíclicas y a intentos por controlar o evitar una apreciación de la tasa de cambio, que muy probablemente contribuyen a la vulnerabilidad económica. En el caso de las economías avanzadas, los resultados no son tan claros. Las bonanzas se relacionan con resultados macroeconómicos más volátiles en cuanto al crecimiento del PIB, la inflación y las cuentas externas; además, las bonanzas van seguidas de un período de crecimiento económico más lento y de una disminución sostenida en el precio de las acciones y de la vivienda.

This paper offers an encompassing approach with an algorithm cataloging capital inflow bonanzas in both advanced and emerging economies during 1980-2007 for 181 countries and 1960-2007 for a subset of 66 economies from all regions. In line with earlier studies, global factors, such as commodity prices, international interest rates, and growth in the world's largest economies, have a systematic effect on the global capital flow cycle. Bonanzas are no blessing for advanced or emerging market economies. In the case of the latter, capital inflow bonanzas are associated with a higher likelihood of economic crises (debt defaults, banking, inflation and currency crashes). Bonanzas in developing countries are associated with procyclical fiscal policies and attempts to curb or avoid an exchange rate appreciation—very likely contributing to economic vulnerability. For the advanced economies, the results are not as stark, but bonanzas are associated with more volatile macroeconomic outcomes for GDP growth, inflation, and the external accounts, lower growth and sustained declines in equity and housing prices follow at the end of the inflow episode.

Este artigo oferece um enfoque no qual um algoritmo cataloga as bonanças de entradas de capital tanto às economias emergentes como às economias avançadas entre 1980-2007 em 181 países e entre 1960-2007 para um subconjunto de 66 economias de todas as regiões. Fatores globais tais como preços dos produtos básicos, taxas de juros internacional e o crescimento das maiores economias do mundo têm um efeito sistemático no ciclo global de fluxos de capital. As bonanças não são uma bênção para economias avançadas nem para mercados emergentes. No caso destas últimas, as bonanças de entradas de capital estão relacionadas com uma maior probabilidade de crises econômicas. As bonanças nos países em desenvolvimento estão associadas a políticas fiscais procíclicas e com tentativas de controlar ou evitar uma apreciação da taxa de câmbio, que muito provavelmente contribui à vulnerabilidade econômica. No caso das economias avançadas, os resultados não são tão claros. As bonanças relacionam-se com resultados macroeconômicos mais voláteis em termos de crescimento do PIB, a inflação e as contas externas, seguidas de um período de crescimento econômico mais lento e de uma diminuição sustentada no preço das ações e da moradia.

In this paper we find empirical evidence of bank lending channel for Colombia and Argentina. For Argentina, we do not find evidence that changes in the interbank interest rate affect the growth rate of total loans directly. However, the interbank interest rate affects the loan supply through its interactions with capitalization and liquidity. For Colombia, there is direct bank lending channel, which is reinforced through interactions with capitalization and liquidity. Also, using a panel data of more than 3,300 firms, we provide additional support to the existence of a bank lending channel for Colombia

Este artículo presenta evidencia empírica sobre la existencia de canal de crédito bancario para Argentina y Colombia. Para Argentina no encontramos evidencia de que cambios en la tasa de interés interbancaria afecten la tasa de crecimiento del crédito directamente. Su efecto es indirecto, a través de sus interacciones con las relaciones de capitalización y liquidez. Para Colombia existe un canal de crédito bancario directo, el cual es reforzado a través de interacciones con las relaciones de capitalización y solvencia. Adicionalmente, usando datos de panel para más de 3.300 firmas, reportamos evidencia adicional que soporta la hipótesis de la existencia de un canal de crédito bancario para Colombia