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Há assimetria no repasse dos juros bancários de variações na taxa Selic?

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Author Info

  • Pedro Castro

    ()
    (SPX Capital)

  • João Manoel Pinho de Mello

    ()
    (Department of Economics PUC-Rio)

Abstract

This paper tests and find evidence that support the view that credit interest rates respond more to increases than to decreases in the Central Bank basic interest rate (Selic). This asymmetry is robust to an event analysis, in which the availability of a dataset containing daily information is explored in order to isolate monetary policy shocks on interest rates as the cause of the assymetric response of interest rates, as a shift in the basic interest rate is akin to an increase in marginal cost and thus corresponds to a shift in the supply curve of banks. The econometric identification hypothesis is that banks (supply) react faster to monetary shocks than consumers (demand for credit). The empirical evidence of greater rigidity to Selic decreases contributes to the literature of bank behavior in credit markets and the transmission mechanism of monetary policy in Brazil.

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Bibliographic Info

Paper provided by Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 580.

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Length: 23p
Date of creation: Sep 2010
Date of revision:
Handle: RePEc:rio:texdis:580

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Keywords: Microeconomics of Banking; interest pass-through and Adverse Selection JEL Codes: L11; G21;

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