Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Incidence of Reserve Requirements in Brazil: Do Bank Stockholders Share the Burden?

Contents:

Author Info

  • Fabia A. de Carvalho
  • Cyntia F. Azevedo

Abstract

There is consensus in the economic literature that the reserve requirements are a tax levied upon financial intermediation, yet the incidence of the tax remains controversial. In this paper, we test whether changes in reserve requirements in Brazil impact the stock returns of the financial system distinctly from the rest of the economy. We find evidence that Brazilian bank stock returns were affected by changes in reserve requirements on both time deposits and transaction accounts, which implies that the tax burden of required reserves was not fully passed through to banks' borrowers or clients. Stock returns of non-financial firms were also affected by these changes, suggesting that in some cases, reserve requirements on time deposits and transaction accounts served as a non-neutral instrument of monetary or fiscal policy in Brazil.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.bcb.gov.br/pec/wps/ingl/wps160.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 160.

as in new window
Length:
Date of creation: Feb 2008
Date of revision:
Handle: RePEc:bcb:wpaper:160

Contact details of provider:
Web page: http://www.bcb.gov.br/?english

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Bental, Benjamin & Eden, Benjamin, 2002. "Reserve requirements and output fluctuations," Journal of Monetary Economics, Elsevier, vol. 49(8), pages 1597-1620, November.
  2. Black, Fischer, 1975. "Bank funds management in an efficient market," Journal of Financial Economics, Elsevier, vol. 2(4), pages 323-339, December.
  3. Scott E. Hein & Jonathan D. Stewart, 2002. "Reserve requirements: A modern perspective," Economic Review, Federal Reserve Bank of Atlanta, issue Q4, pages 41-52.
  4. Osborne, Dale K. & Zaher, Tarek S., 1992. "Reserve requirements, bank share prices, and the uniqueeness of bank loans," Journal of Banking & Finance, Elsevier, vol. 16(4), pages 799-812, August.
  5. Mandelker, Gershon, 1974. "Risk and return: The case of merging firms," Journal of Financial Economics, Elsevier, vol. 1(4), pages 303-335, December.
  6. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
  7. Cosimano, Thomas F. & McDonald, Bill, 1998. "What's different among banks?," Journal of Monetary Economics, Elsevier, vol. 41(1), pages 57-70, February.
  8. Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September.
  9. Baltensperger, Ernst, 1982. "Reserve Requirements and Economic Stability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 14(2), pages 205-15, May.
  10. Fama, Eugene F., 1985. "What's different about banks?," Journal of Monetary Economics, Elsevier, vol. 15(1), pages 29-39, January.
  11. Fabozzi, Frank J. & Thurston, Thom B., 1986. "State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(04), pages 427-436, December.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Patrice Robitaille, 2011. "Liquidity and reserve requirements in Brazil," International Finance Discussion Papers 1021, Board of Governors of the Federal Reserve System (U.S.).
  2. Christian Glocker & Pascal Towbin, 2012. "The Macroeconomic Effects of Reserve Requirements," WIFO Working Papers 420, WIFO.
  3. Mahir Binici & Bulent Koksal, 2011. "Do Bank Stockholders Share the Burden of Required Reserve Tax? Evidence from Turkey," Working Papers 1119, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  4. Fabia Carvalho & Fabia A. de Carvalho & Silvio Michael de Azevedo Costa & Marcos Ribeiro de Castro, 2013. "Traditional and matter-of-fact financial frictions in a DSGE model for Brazil: the role of macroprudential instruments and monetary policy," EcoMod2013 5145, EcoMod.
  5. Fabia A. de Carvalho & Marcos R. Castro & Silvio M. A. Costa, 2013. "Traditional and Matter-of-fact Financial Frictions in a DSGE Model for Brazil: the role of macroprudential instruments and monetary policy," Working Papers Series 336, Central Bank of Brazil, Research Department.
  6. Bank for International Settlements, 2012. "Operationalising the selection and application of macroprudential instruments," CGFS Papers, Bank for International Settlements, number 48, July.
  7. Koray Alper & S. Tolga Tiryaki, 2011. "Zorunlu Karsiliklarin Para Politikasindaki Yeri," CBT Research Notes in Economics 1108, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:160. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Francisco Marcos Rodrigues Figueiredo).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.