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Há assimetria no repasse dos juros bancários de variações na taxa Selic?


  • Pedro Castro

    () (SPX Capital)

  • João Manoel Pinho de Mello

    () (Department of Economics PUC-Rio)


This paper tests and find evidence that support the view that credit interest rates respond more to increases than to decreases in the Central Bank basic interest rate (Selic). This asymmetry is robust to an event analysis, in which the availability of a dataset containing daily information is explored in order to isolate monetary policy shocks on interest rates as the cause of the assymetric response of interest rates, as a shift in the basic interest rate is akin to an increase in marginal cost and thus corresponds to a shift in the supply curve of banks. The econometric identification hypothesis is that banks (supply) react faster to monetary shocks than consumers (demand for credit). The empirical evidence of greater rigidity to Selic decreases contributes to the literature of bank behavior in credit markets and the transmission mechanism of monetary policy in Brazil.

Suggested Citation

  • Pedro Castro & João Manoel Pinho de Mello, 2010. "Há assimetria no repasse dos juros bancários de variações na taxa Selic?," Textos para discussão 580, Department of Economics PUC-Rio (Brazil).
  • Handle: RePEc:rio:texdis:580

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    References listed on IDEAS

    1. Gonzaga, Gustavo & Menezes Filho, Naercio & Terra, Cristina, 2006. "Trade liberalization and the evolution of skill earnings differentials in Brazil," Journal of International Economics, Elsevier, vol. 68(2), pages 345-367, March.
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    3. Ted Joyce, 2004. "Did Legalized Abortion Lower Crime?," Journal of Human Resources, University of Wisconsin Press, vol. 39(1).
    4. João M. P. de Mello & Alexandre Schneider, 2010. "Assessing São Paulo's Large Drop in Homicides: The Role of Demography and Policy Interventions," NBER Chapters,in: The Economics of Crime: Lessons for and from Latin America, pages 207-235 National Bureau of Economic Research, Inc.
    5. Rodrigo R. Soares & Javier A. Birchenall, 2004. "Fertility and the Value of Life," 2004 Meeting Papers 232, Society for Economic Dynamics.
    6. Ciro Biderman & JoãoMP DeMello & Alexandre Schneider, 2010. "Dry Laws and Homicides: Evidence from the São Paulo Metropolitan Area," Economic Journal, Royal Economic Society, vol. 120(543), pages 157-182, March.
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    More about this item


    Microeconomics of Banking; interest pass-through and Adverse Selection JEL Codes: L11; G21;

    JEL classification:

    • L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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