Guilherme Jonas Costa da Silva () José Luís Oreiro () (Department of Economics, Universidade Federal do Paraná) Luiz Fernando de Paula () (Department of Economics, Universidade Estadual do Rio de Janeiro)
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Despite a decline in interest rates since mid-1999, bank spread in Brazil continues extremely high in international terms and in recent years has stood at around 40%. This paper analyses the determinants of bank spread in Brazil, seeking particularly to analyse the macroeconomic determinants of spread in recent times. It uses a VAR model to identify the macroeconomic variables that may directly or indirectly have been influencing spread in Brazil over the period 1994-2005. It presents evidence that interest rate levels and, to a lesser degree, the inflation rate are the main macroeconomic determinants of high bank spread in Brazil.
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Paper provided by Universidade Federal do Paraná, Department of Economics in its series Working Papers with number
0066.
Length: 29 pages Date of creation: 2007 Date of revision: Handle: RePEc:fup:wpaper:0066
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Find related papers by JEL classification: E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
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