Primeiramente, um resumo do texto:
The increasing frequency and scope of financial crises have made global financial stability one of the major concerns of economic policy and decision makers. This has led to the understanding that financial and banking supervision has to be thought of as a systemic task, focusing on the interdependent relations among the institutions. Using network theory, we develop a dynamic model that uses a bipartite network of banks and their assets to analyze the system’s sensitivity to external shocks in individual asset classes and to evaluate the presence of features underlying the system that could lead to contagion. As a case study, we apply the model to stress test the Venezuelan banking system from 1998 to 2013. The introduced model was able to capture monthly changes in the structure of the system and the sensitivity of bank portfolios to different external shock scenarios and to identify systemic vulnerabilities and their time evolution. The model provides new tools for policy makers and supervision agencies to use for macroprudential dynamical stress testing. [Kenett, Dror Y. and Levy Carciente, Sary and Avakian, Adam and Stanley, H. Eugene and Havlin, Shlomo, Dynamical Macroprudential Stress Testing Using Network Theory (June 18, 2015). Office of Financial Research Working Paper No. 15-12. Available at SSRN: http://ssrn.com/abstract=2648467 orhttp://dx.doi.org/10.2139/ssrn.2648467]
No apêndice A.4, após uma descrição resumida da obra bolivariana na economia da Venezuela, vem o cenário.
Briefly, that scenario will negatively evolve as follows: For each U.S. dollar of oil price reduction, exports diminish nearly U.S.$1 billion (external vulnerability). This generates an important reduction in the country’s income and heavy pressure on the fiscal budget, which is highly rigid (fiscal vulnerability). The high inflation limits freedom to apply a contracyclical monetary policy if fiscal policy has to control public expenses. Inflation and the degradation of the domestic currency value deviates liquidity to consumption of durable goods (price volatility), deepening external imbalances because internal production is suppressed. When a country is under high inflation and the currency is devaluating continuously, a rational decision is to get rid of the money (liquidity) and buy things (durable goods, not perishable, of course); and If domestic production is stagnant, imports will increase (deepening external imbalances) The deterioration increases the risk premium (country risk) for new debt with major losses for bondholders. Banks balance sheets deteriorate with the reduction of security assets values, lack of deposits, and delinquency credits. [fonte: a mesma de antes]
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