Revisiting Bank Pricing Policies in Brazil: Evidence from Loan and Deposit Markets
This paper addresses the micro and macroeconomic determinants of interest rates in the Brazilian banking market. The results suggest that banks fully adjust their loan interest rates to a change in the monetary policy rate, but we also observe a rigid short-term response for some loan product categories. The study confirms that pricing policies can vary substantially depending on the market. For example, microeconomic factors did not seem to be a major determinant of retail loan rates, but they were found to be important determinants of corporate loan or time deposit rates. As two additional results, market concentration was found to have a robust significant positive effect on loan rates and interest spreads, as well as the international risk perception of Brazil, as proxied by the EMBI Brazil.
Volume (Year): 1 (2012)
Issue (Month): 67 (December)
|Contact details of provider:|| Postal: |
Phone: (54-11) 4348-3582
Fax: (54-11) 4000-1257
Web page: http://www.bcra.gov.ar
More information through EDIRC
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.:
- Gambacorta, Leonardo & Mistrulli, Paolo Emilio, 2004. "Does bank capital affect lending behavior?," Journal of Financial Intermediation, Elsevier, vol. 13(4), pages 436-457, October.
- de Mello, Luiz & Pisu, Mauro, 2010.
"The bank lending channel of monetary transmission in Brazil: A VECM approach,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 50(1), pages 50-60, February.
- Luiz de Mello & Mauro Pisu, 2009. "The Bank Lending Channel of Monetary Transmission in Brazil: A VECM Approach," OECD Economics Department Working Papers 711, OECD Publishing.
- Agnes Belaisch, 2003. "Do Brazilian Banks Compete?," IMF Working Papers 03/113, International Monetary Fund.
- Chang, E.J. & Guerra, S.M. & Lima, E.J.A. & Tabak, B.M., 2008.
"The stability-concentration relationship in the Brazilian banking system,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 18(4), pages 388-397, October.
- Benjamin Miranda Tabak & Solange Maria Guerra & Eduardo José Araújo Lima & Eui Jung Chang, 2007. "The Stability-Concentration Relationship in the Brazilian Banking System," Working Papers Series 145, Central Bank of Brazil, Research Department.
- Takeda, Tony & Rocha, Fabiana & Nakane, Márcio I., 2005. "The Reaction of Bank Lending to Monetary Policy in Brazil," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 59(1), January.
- Melitz, Jacques & Pardue, Morris, 1973. "The Demand and Supply of Commercial Bank Loans," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 5(2), pages 669-92, May.
- Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992.
"Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 10(3), pages 271-87, July.
- Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc.
- Simon Gray, 2011. "Central Bank Balances and Reserve Requirements," IMF Working Papers 11/36, International Monetary Fund.
- F. De Graeve & O. De Jonghe & R. Vander Vennet, 2004.
"Competition, transmission and bank pricing policies: Evidence from Belgian loan and deposit markets,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
04/261, Ghent University, Faculty of Economics and Business Administration.
- De Graeve, Ferre & De Jonghe, Olivier & Vennet, Rudi Vander, 2007. "Competition, transmission and bank pricing policies: Evidence from Belgian loan and deposit markets," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 259-278, January.
- Arellano, Manuel & Bond, Stephen, 1991.
"Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations,"
Review of Economic Studies,
Wiley Blackwell, vol. 58(2), pages 277-97, April.
- Tom Doan, . "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
- Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
- Hannan, Timothy H & Berger, Allen N, 1991. "The Rigidity of Prices: Evidence from the Banking Industry," American Economic Review, American Economic Association, vol. 81(4), pages 938-45, September.
- Benjamin M. Friedman & Kenneth N. Kuttner, 1993.
"Economic Activity and the Short-term Credit Markets: An Analysis of Prices and Quantities,"
Brookings Papers on Economic Activity,
Economic Studies Program, The Brookings Institution, vol. 24(2), pages 193-284.
- Benjamin M. Friedman & Kenneth N. Kuttner, 1993. "Economic activity and the short-term credit markets: an analysis of prices and quantities," Working Paper Series, Macroeconomic Issues 93-17, Federal Reserve Bank of Chicago.
- Berger, Allen N, 1995. "The Profit-Structure Relationship in Banking--Tests of Market-Power and Efficient-Structure Hypotheses," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(2), pages 404-31, May.
- Márcio I. Nakane & Leonardo S. Alencar & Fabio Kanczuk, 2006. "Demand for Bank Services and Market Power in Brazilian Banking," Working Papers Series 107, Central Bank of Brazil, Research Department.
- Leonardo Gambacorta, 2004.
"How Do Banks Set Interest Rates?,"
NBER Working Papers
10295, National Bureau of Economic Research, Inc.
- Tony Takeda & Fabiana Rocha & Márcio Nakane, 2003. "The Reaction of Bank Lending to Monetary Policy in Brazil," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] b30, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Maudos, Joaquin & Fernandez de Guevara, Juan, 2003.
"Factors Explaining the Interest Margin in the Banking Sectors of the European Union,"
15252, University Library of Munich, Germany.
- Maudos, Joaquin & Fernandez de Guevara, Juan, 2004. "Factors explaining the interest margin in the banking sectors of the European Union," Journal of Banking & Finance, Elsevier, vol. 28(9), pages 2259-2281, September.
- Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
- José Luís Oreiro & Luiz Fernando de Paula & Fábio Hideki Ono & Guilherme Jonas Costa da Silva, 2005. "Determinantes Macroeconômicos do Spread Bancário no Brasil: Teoria e Evidência Recente," Working Papers 0009, Universidade Federal do Paraná, Department of Economics.
- Tarsila Segalla Afanasieff & Priscilla Maria Villa Lhacer & Márcio I. Nakane, 2002. "The Determinants of Bank Interest Spread in Brazil," Working Papers Series 46, Central Bank of Brazil, Research Department.
- Kleimeier, Stefanie & Sander, Harald, 2006. "Expected versus unexpected monetary policy impulses and interest rate pass-through in euro-zone retail banking markets," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1839-1870, July.
- Christiano Arrigoni Coelho & João Manoel Pinho de Mello & MArcio Gomes Pinto Garcia, 2010. "Identifying the bank lending channel in Brazil through data frequency," Textos para discussão 574, Department of Economics PUC-Rio (Brazil).
- Jeremy C. Stein & Anil K. Kashyap, 2000. "What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?," American Economic Review, American Economic Association, vol. 90(3), pages 407-428, June.
- Alegria, Carlos & Schaeck, Klaus, 2008. "On measuring concentration in banking systems," Finance Research Letters, Elsevier, vol. 5(1), pages 59-67, March.
When requesting a correction, please mention this item's handle: RePEc:bcr:ensayo:v:1:y:2012:i:67:p:35-71. 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: (Federico Grillo)
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.