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Investigación económica
versión impresa ISSN 0185-1667
Inv. Econ vol.62 no.245 Ciudad de México jul./sep. 2003
Artículos
Determinantes de la demanda de crédito. Una estimación con un modelo mensual de series de tiempo para Venezuela
The Determinants of Credit Demand: an Estimation for Venezuela Using a Monthly Time Series Model
* Escuela de Economía de la Universidad Central de Venezuela y Centro de Estudios Latinoamericanos de la Universidad de Oxford, Inglaterra. E-mail: leonardo.vera@st-antonys.oxford.ac.uk
El mercado de crédito en Venezuela ha venido acusando un proceso progresivo de contracción durante más de una década sin que exista aún una explicación rigurosa de ese comportamiento. Este trabajo sugiere que es posible ubicar las causas en los determinantes de la demanda de crédito y para tal fin presenta una estimación utilizando series macroeconómicas mensuales en el lapso comprendido entre 1986 y 2000. La estimación se hace con base a un modelo teórico que tiene como punto de partida la restricción de financiamiento de las firmas. Asumiendo, en la tradición post-keynesiana, que los bancos son fijadores de precios en el mercado de crédito, es posible identificar la demanda del mercado. La metodología y las pruebas de cointegración indican, sin ambigüedad, que existe una relación de equilibrio de largo plazo entre el stock de crédito real, el índice de actividad económica, la tasa de interés (nominal), el margen precio-costo, y el tipo de cambio real con signos además acordes a la teoría. La dinámica de corto plazo derivada de un modelo de vectores de corrección de error corrobora los resultados obtenidos en la relación de largo plazo. Así mismo, no hay evidencias de endogenidad, ni en la tasa de interés, como tampoco en el índice de actividad económica, indicando que es posible suponer que el mercado es dominado por el lado de la demanda. El crédito en términos reales al sector privado responde positivamente al ritmo de actividad económica, al flujo de caja de las empresas, y al tipo de cambio real efectivo, pero mantiene una relación inversa con la tasa de interés.
For more than a decade, the credit market in Venezuela has been witnessing a progressive process of contraction without there being any rigorous explanation for this behaviour. This paper suggests that it is possible to identify the causes in the determinants operating in the demand for credit, and to illustrate this presents an estimation using monthly macro-economic series relating to the period 1986-2000. The estimation is made on the basis of a theoretical model that starts with the restriction of company financing. Assuming, in the post-Keynesian tradition, that the banks are the price fixers in the credit market, it is possible to identify market demand. The methodology and proof of co-integration indicate unambiguously that there is a long-term equilibrium relationship between real credit stock, the index of economic activity, the (nominal) interest rate, the price-cost margin and the real exchange rate, in addition to other signs consistent with the theory. The short-term dynamic derived from a Model of Error Correction Vectors, corroborates the results obtained in the long-term relationship. By the same token, there is no evidence of endogeneity, either in the interest rate or in the index of economic activity, and this indicates that it is possible to suppose that the market is dominated by the demand side. Credit in real terms supplied to the private sector, responds positively to the rhythm of economic activity, to the cash flow of the companies, and to the effective real exchange rate, but maintains an inverse relationship to the interest rate.
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Recibido: Septiembre de 2002; Aprobado: Marzo de 2003
Este es un artículo publicado en acceso abierto bajo una licencia Creative Commons
