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Fatores de Risco e o Spread Bancário no Brasil

  • Fernando G. Bignotto
  • Eduardo Augusto de Souza Rodrigues
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    This work analyzes the determinants of the banking interest rate margin in Brazil from 2001 to 2004. Based on the Ho and Saunders' (1981) theoretical model, we verify the impacts of risk factors - interest-rate risk and default risk - and administrative costs over the banking interest rate margin charged. We used panel data to the bank-level variables and we applied the methodology proposed by Chamberlain (1982) for models with non-observed individual characteristics. The main conclusions are: (i) default risk, interest-rate risk and administrative costs have positive effects over the interest rate margin; (ii) beside this factors, there are other characteristics that have a significant impact over the interest rate margin, e.g. the liquidity level of the bank, the market-share and the banking services revenues; and (iii) the Chamberlain's methodology shows considerable efficiency gains relative to the 'fixed-effects' estimation in this sample.

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    File URL: http://www.bcb.gov.br/pec/wps/port/wps110.pdf
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    Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 110.

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    Date of creation: Jul 2006
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    Handle: RePEc:bcb:wpaper:110
    Contact details of provider: Web page: http://www.bcb.gov.br/?english

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