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O Nível da Taxa Básica de Juros e o Spread Bancário no Brasil: Uma Análise de Dados em Painel

Listed author(s):
  • Félix António Manhiça
  • Caroline Teixeira Jorge
Registered author(s):

    O objetivo do presente trabalho é analisar o impacto das variáveis macroeconômicas, em especial a taxa básica de juros da economia, sobre a margem de juros (spreads) praticados pelos bancos no Brasil entre o primeiro trimestre de 2000 e o terceiro de 2010. Para tanto o estudo adotou o modelo de comportamento da firma bancária desenvolvido por Ho e Saunders (1981) e uma abordagem econométrica de dados em painel, o system-GMM, com informações de 140 bancos comerciais. O objetivo foi testar se o spread bancário, depois de corrigido pelas diferenças idiossincráticas de cada banco, reagiu aos fatores de risco macroeconômicos. Por meio da análise empírica focalizada nas variáveis macroeconômicas, concluiu-se que existe forte relação entre o nível da taxa básica de juros e o spread. Dentre as variáveis macroeconômicas, a taxa de desemprego e o risco medido pelo EMBI também se mostraram importantes na determinação do spread bancário. A volatilidade dos juros, no entanto, não apresentou resultados significativos. This study aims to analyze the impact of macroeconomic variables, especially the prime rate of the economy, on the interest margin (spread) charged by Brazilian banks from 2000 to 2010. To achieve this goal, the study adopted the behavior model of the banking firm developed by Ho and Saunders (1981), as well as, an econometric method, the system-GMM, based on panel data from 140 commercial banks. The objective was to test whether the loan spread, after corrected through idiosyncratic differences between the banks, reacted to macroeconomic risk factors. Through empirical analysis focused on macroeconomic variables it was concluded that the spread responds to the level of the benchmark interest rates. Within the macroeconomic variables, the unemployment rate and the risk measured by the EMBI were also important in determining the loan spread. The volatility of interest rates, however, showed no significant results.

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    Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1710.

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    Length: 55 pages
    Date of creation: Feb 2012
    Handle: RePEc:ipe:ipetds:1710
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