Índice de riesgo sistémico macrofinanciero de la banca privada ecuatoriana para el periodo 2006 - 2021.

Abstract

Actually, the stability of the economy of the countries must be analyzed considering the risks to which it is exposed, since in this way we can foresee both macro and microeconomic scenarios that could generate economic-financial crises. This study proposes the creation of a Systemic Macrofinancial Risk Indicator for the period from January 2006 to December 2021, using Conditional Dynamic Correlation Model (DCC-MGARCH) between risk sub-indicators of the real and private banking sectors, created from the liquidity, solvency, market, operational and macroeconomic risk dimensions. obtained from principal component analysis; and a traffic light of systemic banking risk. The results showed that Ecuador in 2009, 2016 and 2020 presented a high level of macrofinancial systemic risk and, in periods of recession, the value of the macrofinancial systemic risk indicator increases. Additionally, there are private banks that since 2015 have maintained a high level of macrofinancial systemic risk, which are: Banco Pichincha, Produbanco, Banco Internacional, Banco Solidario, Banco de Loja, Citibank, Banco Comercial de Manabí, Delbank and Banco del Litoral.