Resumo

MOSTAJO CASTELU, Saulo A.  e  MORALES CARRASCO, Walter. 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. Inv. y Des. [online]. 2025, vol.25, n.2, pp.87-106.  Epub 30-Dez-2025. ISSN 2518-4431.  https://doi.org/10.23881/idupbo.025.2-2e.

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’ 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’s loan book as a risky asset in a CAPM-type framework without a risk-free asset. In this setting, the “loan beta” 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.

Palavras-chave : Economic Cycle; Financial Cycle; Pro-cyclical; Counter-cyclical Buffer; Macro-prudential; Systemic Risk.

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