Análise do Comportamento dos Bancos Brasileiros Pré e Pós-Crise Subprime
In this article we study the deposit-taking and lending behavior of Brazilian banks before and after the subprime crisis. The distribution of both series present changes between these two periods. In addition, we implemented a vector autoregression model in order to construct the impulse response functions and variance decomposition. The results point out that the variances forecast of deposit-taking and lending are independent before the subprime crisis. However, after the crisis, we note that the variance of the lending is influenced by the funding for horizons longer than three months
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.:
- Viral V. Acharya & Hyun Song Shin & Tanju Yorulmazer, 2009.
"Crisis Resolution and Bank Liquidity,"
NBER Working Papers
15567, National Bureau of Economic Research, Inc.
- Pesaran, M. H. & Shin, Y., 1997.
"Generalised Impulse Response Analysis in Linear Multivariate Models,"
Cambridge Working Papers in Economics
9710, Faculty of Economics, University of Cambridge.
- Pesaran, H. Hashem & Shin, Yongcheol, 1998. "Generalized impulse response analysis in linear multivariate models," Economics Letters, Elsevier, vol. 58(1), pages 17-29, January.
- Diamond, Douglas W & Dybvig, Philip H, 1983.
"Bank Runs, Deposit Insurance, and Liquidity,"
Journal of Political Economy,
University of Chicago Press, vol. 91(3), pages 401-419, June.
- Shin, Hyun Song, 2008.
"Risk and liquidity in a system context,"
Journal of Financial Intermediation,
Elsevier, vol. 17(3), pages 315-329, July.
- Christopher A. Sims, 1980.
"Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered,"
NBER Working Papers
0430, National Bureau of Economic Research, Inc.
- Sims, Christopher A, 1980. "Comparison of Interwar and Postwar Business Cycles: Monetarism Reconsidered," American Economic Review, American Economic Association, vol. 70(2), pages 250-257, May.
- Claudio Borio, 2010.
"Ten propositions about liquidity crises,"
CESifo Economic Studies,
CESifo, vol. 56(1), pages 70-95, March.
- Bryant, John, 1980. "A model of reserves, bank runs, and deposit insurance," Journal of Banking & Finance, Elsevier, vol. 4(4), pages 335-344, December.
- João A. C. Santos, 2000. "Bank capital regulation in contemporary banking theory: a review of the literature," BIS Working Papers 90, Bank for International Settlements.
When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:334. 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.