Fatores de Risco e o Spread Bancário no Brasil
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.
When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:110. 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: (Francisco Marcos Rodrigues Figueiredo)
If references are entirely missing, you can add them using this form.