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Um Exame sobre como os Bancos Ajustam seu Índice de Basileia no Brasil

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  • Leonardo S. Alencar

Abstract

This article uses a partial adjustment model to assess about how banks choose their regulatory capital levels. Among the obtained results, it was found that there exists a target level for at least half of the examined banks, and that both the target capital ratio and the adjustment speed towards this target vary considerably among banks. During our sample period, we didn’t find significant evidence that the regulatory changes from Basel I to Basel II affected the target or the adjustment speed, but our tests suggested that larger banks choose lower target capital levels. For the majority of the banks, it was found that the management of the capital ratio is mainly done through the liability side, while the adjustment speed of the liability side is lower than the one of the asset side.

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File URL: http://www.bcb.gov.br/pec/wps/port/TD251.pdf
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Bibliographic Info

Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 251.

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Date of creation: Aug 2011
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Handle: RePEc:bcb:wpaper:251

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Web page: http://www.bcb.gov.br/?english

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Cited by:
  1. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
  2. Waldyr Areosa & Marta Areosa, 2012. "Information (in) Chains: information transmission through production chains," Working Papers Series 286, Central Bank of Brazil, Research Department.
  3. Angelo Marsiglia Fasolo, 2012. "A Note on Particle Filters Applied to DSGE Models," Working Papers Series 281, Central Bank of Brazil, Research Department.

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