<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>2518-4431</journal-id>
<journal-title><![CDATA[Investigación & Desarrollo]]></journal-title>
<abbrev-journal-title><![CDATA[Inv. y Des.]]></abbrev-journal-title>
<issn>2518-4431</issn>
<publisher>
<publisher-name><![CDATA[UNIVERSIDAD PRIVADA BOLIVIANA]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S2518-44312025000200087</article-id>
<article-id pub-id-type="doi">10.23881/idupbo.025.2-2e</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Heterogeneidad de cartera y riesgo sistémico: micro-fundamentación para el diseño del colchón de capital anti-cíclico y la política macro-prudencial en la banca boliviana]]></article-title>
<article-title xml:lang="en"><![CDATA[Portfolio heterogeneity and systemic risk: micro-foundations for the design of the conter-cyclical capital buffer and macro-prudential policy in the bolivian banking system]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Mostajo Castelú]]></surname>
<given-names><![CDATA[Saulo A.]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Morales Carrasco]]></surname>
<given-names><![CDATA[Walter]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad Privada Boliviana (UPB)  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Bolivia</country>
</aff>
<aff id="Af2">
<institution><![CDATA[,Universidad Católica Boliviana  ]]></institution>
<addr-line><![CDATA[Santa Cruz ]]></addr-line>
<country>Bolivia</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>00</month>
<year>2025</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>00</month>
<year>2025</year>
</pub-date>
<volume>25</volume>
<numero>2</numero>
<fpage>87</fpage>
<lpage>106</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.bo/scielo.php?script=sci_arttext&amp;pid=S2518-44312025000200087&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.bo/scielo.php?script=sci_abstract&amp;pid=S2518-44312025000200087&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.bo/scielo.php?script=sci_pdf&amp;pid=S2518-44312025000200087&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen: Este artículo examina cómo la heterogeneidad de las carteras de crédito condiciona la acumulación de riesgo sistémico y la posible aplicación del colchón de capital anticíclico (CCA) en una economía emergente. Usando la banca boliviana como estudio de caso, mostramos que un CCA uniforme, basado en la brecha crédito/PIB, no refleja la sensibilidad diferencial de los bancos al ciclo y puede inducir riesgo moral, sesgos competitivos y menor efectividad macroprudencial. Proponemos una micro-fundamentación de la política macro-prudencial, modelando la cartera de cada banco como un activo riesgoso en un marco tipo CAPM sin activo libre de riesgo. En este enfoque, el &#8220;beta de cartera&#8221; respecto al crecimiento del PIB resume el riesgo sistemático asumido y la propensión de cada entidad a amplificar o amortiguar el ciclo. Con datos trimestrales de 16 bancos, estimamos betas contemporáneos y rezagados y los relacionamos con el modelo de negocio, la composición y la calidad de cartera. El ciclo financiero retrasa al real en torno a cuatro trimestres y la prociclicidad resulta heterogénea: los bancos universales quedan cerca de beta uno, los bancos orientados a PyME muestran betas superiores a dos y microfinancieras exhiben sensibilidades cíclicas mucho menores. Estos resultados respaldan un CCA proporcional y segmentado, donde la activación y calibración se anclan en los betas de cartera y en los modelos de negocio, mejorando la coherencia entre toma de riesgo micro y objetivos macro-prudenciales.]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract: This paper examines how loan portfolio heterogeneity shapes the build-up of systemic risk and the design of the countercyclical capital buffer (CCyB) in an emerging, bank-based economy. Using Bolivia as a case study, we show that a uniform CCyB calibrated on the credit-to-GDP gap fails to reflect banks&#8217; differentiated sensitivity to the cycle and may induce moral hazard, competitive distortions and weaker macroprudential effectiveness. We propose a micro-foundation for macroprudential policy by modelling each bank&#8217;s loan book as a risky asset in a CAPM-type framework without a risk-free asset. In this setting, the &#8220;loan beta&#8221; with respect to real GDP growth summarizes the systematic risk taken by each institution and its propensity to amplify or dampen the business cycle. Using quarterly data for 16 banks, we estimate contemporaneous and lagged betas and relate them to business models, portfolio composition and asset quality. The financial cycle lags the real cycle by around four quarters and pro-cyclicality is heterogeneous: universal banks cluster around a beta of one, the SME-oriented banks display betas above two, and microfinance institutions show much lower or even cyclical sensitivities. These results support a proportional, segmented CCyB design, where activation and calibration are anchored in portfolio betas and business models rather than applied uniformly across institutions, thereby strengthening the link between micro-level risk-taking and macroprudential objectives. The framework is tractable and can be generalized to other concentrated banking systems.]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[Ciclo Económico]]></kwd>
<kwd lng="es"><![CDATA[Ciclo Financiero]]></kwd>
<kwd lng="es"><![CDATA[Pro-cíclico]]></kwd>
<kwd lng="es"><![CDATA[Colchón Anti-cíclico]]></kwd>
<kwd lng="es"><![CDATA[Macro-prudencial]]></kwd>
<kwd lng="es"><![CDATA[Riesgo Sistémico]]></kwd>
<kwd lng="en"><![CDATA[Economic Cycle]]></kwd>
<kwd lng="en"><![CDATA[Financial Cycle]]></kwd>
<kwd lng="en"><![CDATA[Pro-cyclical]]></kwd>
<kwd lng="en"><![CDATA[Counter-cyclical Buffer]]></kwd>
<kwd lng="en"><![CDATA[Macro-prudential]]></kwd>
<kwd lng="en"><![CDATA[Systemic Risk]]></kwd>
</kwd-group>
</article-meta>
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