Rafael Nivin

Estudios realizados

Bachiller en Ingeniería Económica

Universidad Nacional de Ingeniería (Perú)
2002.

Maestría en Economía (M.Sc.)

University of Illinois at Urbana-Champaign (Estados Unidos)
2010.

Doctorado en Economía

University of Illinois at Urbana-Champaign (Estados Unidos)
2018.

Areas of interest

Econometric and Statistical Methods

Macroeconomics and Monetary Economics

Financial Economics

Financial Econometrics

Keywords

financial conditions

credit growth

financial stability

monetary policy

TVP-FAVAR

Main Publications

Evaluating Growth-at-Risk as a tool for monitoring macro-financial risks in the Peruvian economy.

This paper evaluates the Growth-at-Risk methodology developed by Adrian et al. (2019) for the Peruvian economy. To do so, we first evaluate the accuracy of several techniques to estimate the density of output growth forecasts, conditional on a set of variables that characterize the current macro-financial conditions in Peru. Then, we use the model under the best conditional density estimator to evaluate the impact of the government credit-oriented program Reactiva Peru on the local macroeconomic and financial stability. Our results show that Reactiva Peru had a sizable impact in macroeconomic and financial stability, since it avoided a much deeper decrease in economy activity during the Covid-19 crisis.

Lending Rate Caps and Credit Reallocation.

We estimate the effects of lending rate caps by studying a regulation that prohibited interest rates above 83.4% in Peru, affecting 27% of loans to small firms. We find that this policy generated substantial credit reallocation with implications for financial stability. At the loan-level, banks reduce small-size loans and expand medium-size credit, favoring incumbent firms at the expense of new borrowers. At the city level, we define treatment as the percent decline in interest payments necessary to bring interest rates down to the lending rate cap in the pre-reform period. Using a difference-in-differences approach, we estimate that one standard deviation higher treatment leads to a 5 percentage points decline in interest rates with null effects on credit because banks reallocate loans away from risky borrowers towards safer clients in highly concentrated bank credit markets. The decline in interest payments and the reallocation of credit cause a reduction in the share of non-performing loans, suggesting a minor role for risk-taking incentives associated with the deterioration of banks charter value when interest rates are regulated.

Publications