Análise do Comportamento dos Bancos Brasileiros Pré e Pós-Crise Subprime
AbstractIn this article we study the deposit-taking and lending behavior of Brazilian banks before and after the subprime crisis. The distribution of both series present changes between these two periods. In addition, we implemented a vector autoregression model in order to construct the impulse response functions and variance decomposition. The results point out that the variances forecast of deposit-taking and lending are independent before the subprime crisis. However, after the crisis, we note that the variance of the lending is influenced by the funding for horizons longer than three months
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 334.
Date of creation: Nov 2013
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Web page: http://www.bcb.gov.br/?english
Other versions of this item:
- Osmani Teixeira De Carvalho Guillén & José Valentim Machado Vicente & Claudio Oliveira De Moraes, 2014. "Análise Do Comportamento Dos Bancosbrasileiros Pré E Pós Crise Subprime," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 132, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
- NEP-ALL-2013-12-29 (All new papers)
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