Determinants Of The Ex-Post Bank Spread In The Brazilian Market
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Data de Publicação: | 2011 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | RAM. Revista de Administração Mackenzie |
Texto Completo: | https://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801 |
Resumo: | Bank profitability is usually considered a relevant factor to provide the reliability of the financial system, reducing the risks associated to events of bankruptcy in this sector. In Brazil, however, there has been a great deal of discussion concerning the amount of earnings of financial institutions operating in the country, centered on the argument that such earnings are too large, becoming an excessive burden to the wealth-producing sector. For this reason, several studies have evaluated the structure, the evolution, and the determinants of banking spread, which is taken as the main variable responsible for the supposedly abnormal earnings. From the methodological viewpoint, these studies have concentrated in investigating the ex-ante banking spread related to operations with free resources and they have utilized macroeconomic factors as independent variables. The present study aims at identifying variables determining the ex-post banking spread, privileging explanatory variables intrinsic to the institutions, in other words, microeconomic. The extant literature on determinants of banking ex-post spread in Brazil presents a single previous paper, which presents poor results due to a problem of micronumerosity. To avoid such problem, our study utilizes data of balance sheets of banking institutions with operating credit portfolios from January 2000 to October 2009. Using a dynamic panel-data regression model, we test nine hypotheses and we find that the level of ex-post banking spread has relationships which are significant and: (i) positive with the credit portfolio risk; (ii) negative with the relative participation of the institutions in the credit market. On the other hand, we could not find statistically significant relationships between the level of ex-post banking spread and: the level of coverage of administrative expenses by revenues from services rendered; the origin of the institutions’ controlling capital, i.e. national versus foreign and state-owned versus private; the economy’s basic interest rate; the volatility of the Sao Paulo Stock Exchange stock index. |
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Determinants Of The Ex-Post Bank Spread In The Brazilian MarketDeterminantes Del Spread Bancario Ex-Post En Mercado BrasileñoDeterminantes do Spread Bancário Ex-post no Mercado BrasileiroSpread BancárioBancosLucratividade BancáriaInstituições FinanceirasBrasil.Bank profitability is usually considered a relevant factor to provide the reliability of the financial system, reducing the risks associated to events of bankruptcy in this sector. In Brazil, however, there has been a great deal of discussion concerning the amount of earnings of financial institutions operating in the country, centered on the argument that such earnings are too large, becoming an excessive burden to the wealth-producing sector. For this reason, several studies have evaluated the structure, the evolution, and the determinants of banking spread, which is taken as the main variable responsible for the supposedly abnormal earnings. From the methodological viewpoint, these studies have concentrated in investigating the ex-ante banking spread related to operations with free resources and they have utilized macroeconomic factors as independent variables. The present study aims at identifying variables determining the ex-post banking spread, privileging explanatory variables intrinsic to the institutions, in other words, microeconomic. The extant literature on determinants of banking ex-post spread in Brazil presents a single previous paper, which presents poor results due to a problem of micronumerosity. To avoid such problem, our study utilizes data of balance sheets of banking institutions with operating credit portfolios from January 2000 to October 2009. Using a dynamic panel-data regression model, we test nine hypotheses and we find that the level of ex-post banking spread has relationships which are significant and: (i) positive with the credit portfolio risk; (ii) negative with the relative participation of the institutions in the credit market. On the other hand, we could not find statistically significant relationships between the level of ex-post banking spread and: the level of coverage of administrative expenses by revenues from services rendered; the origin of the institutions’ controlling capital, i.e. national versus foreign and state-owned versus private; the economy’s basic interest rate; the volatility of the Sao Paulo Stock Exchange stock index.La rentabilidad de los bancos generalmente es considerada un factor relevante para la solidez del sistema financiero, lo que reduce el riesgo de insolvencia. En Brasil, sin embargo, ha habido discusiones en cuanto a las ganancias de los bancos, con el argumento de que serían muy altas, una carga para el sector productivo. Por lo tanto, varios estudios han evaluado la estructura, evolución y los determinantes del spread bancario, la variable principal responsable por los beneficios supuestamente anormales. Estos estudios se han centrado en la investigación del spread ex-ante de las operaciones con recursos libres y utilizado factores macroeconómicos como variables independientes. Este estudio busca identificar los factores determinantes del spread ex-post, privilegiando variables explicativas específicas de las instituciones (microeconómicas). En la literatura sobre los determinantes del spread ex-post en Brasil, se identificó sólo un estudio anterior, con resultados poco representativos, debido al problema de la micronumerosidad. Utilizando los datos de los balances de enero/2000 hasta Octubre/2009 de los bancos con cartera activa de préstamos, se ponen a prueba nueve hipótesis, observándose que el nivel del spread ex-post tiene relación significativa y: (i) positiva con el riesgo de crédito de la cartera, con el grado de concentración del mercado de crédito y el nivel de actividad económica, y (ii) negativa con la participación relativa de la institución en el mercado de crédito. Por otro lado, no hubo relaciones significativas entre el spread ex-post y: el nivel de cobertura de los gastos administrativos de los ingresos por prestación de servicios; el origen del capital de control de la institución, es decir, nacional o extranjero, y de propiedad estatal o privada, la tasa básica de interés de la economía y la volatilidad del índice IBovespa.A rentabilidade dos bancos é geralmente considerada um fator relevante para garantir a solidez do sistema financeiro, reduzindo os riscos associados aos eventos de insolvência nesse setor. No Brasil, porém, tem havido discussões quanto aos lucros das instituições financeiras que atuam no país, centradas no argumento de que tais lucros seriam supostamente muito elevados, onerando demasiadamente o setor produtivo. Por isso, diversos estudos têm avaliado a estrutura, a evolução e os determinantes do spread bancário, que é considerada a principal variável responsável pelos lucros supostamente anormais. Do ponto de vista metodológico, essas pesquisas têm se concentrado em investigar o spread ex-ante das operações com recursos livres e têm utilizado fatores macroeconômicos como variáveis independentes. O presente estudo busca identificar variáveis determinantes do spread bancário ex-post, privilegiando variáveis explanatórias específicas das instituições, vale dizer, microeconômicas. Na literatura sobre determinantes do spread bancário ex-post no Brasil, foi identificado apenas um trabalho anterior, o qual apresentou resultados pouco representativos, devido a um problema de micronumerosidade. Para evitar tal problema, o presente estudo utiliza dados dos balancetes de janeiro/2000 a outubro/2009 de instituições bancárias com carteira de crédito ativa. Utilizando um modelo de regressão com dados em painel dinâmico, são testadas nove hipóteses, constatando-se que o nível de spread ex-post tem relação significativa e: (i) positiva com o risco de crédito da carteira, com o grau de concentração do mercado de crédito e com o nível de atividade da economia; (ii) negativa com a participação relativa da instituição no mercado de crédito. Por outro lado, não foram encontradas relações estatisticamente relevantes entre o spread ex-post e: o nível de cobertura das despesas administrativas pelas receitas de prestações de serviços; a origem do capital de controle da instituição, isto é, nacional versus estrangeiro e estatal versus privado; a taxa básica de juros da economia; a volatilidade do Ibovespa.Editora Mackenzie2011-11-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionEconometria - dados em painel.application/pdfapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documentapplication/vnd.openxmlformats-officedocument.wordprocessingml.documenthttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801Revista de Administração Mackenzie; Vol. 13 No. 4 (2012)Revista de Administração Mackenzie; Vol. 13 Núm. 4 (2012)Revista de Administração Mackenzie (Mackenzie Management Review); v. 13 n. 4 (2012)1678-69711518-6776reponame:RAM. Revista de Administração Mackenzieinstname:Universidade Presbiteriana Mackenzie (MACKENZIE)instacron:MACKENZIEporhttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801/3596https://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801/8143https://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801/8144https://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801/8145https://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801/8146Copyright (c) 2015 Revista de Administração Mackenzieinfo:eu-repo/semantics/openAccessDantas, José AlvesMedeiros, Otávio RibeiroCapelletto, Lúcio Rodrigues2012-08-31T12:01:21Zoai:ojs.editorarevistas.mackenzie.br:article/2801Revistahttps://editorarevistas.mackenzie.br/index.php/RAM/PUBhttps://editorarevistas.mackenzie.br/index.php/RAM/oairevista.adm@mackenzie.br1678-69711518-6776opendoar:2024-04-19T17:00:45.137014RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (MACKENZIE)false |
dc.title.none.fl_str_mv |
Determinants Of The Ex-Post Bank Spread In The Brazilian Market Determinantes Del Spread Bancario Ex-Post En Mercado Brasileño Determinantes do Spread Bancário Ex-post no Mercado Brasileiro |
title |
Determinants Of The Ex-Post Bank Spread In The Brazilian Market |
spellingShingle |
Determinants Of The Ex-Post Bank Spread In The Brazilian Market Dantas, José Alves Spread Bancário Bancos Lucratividade Bancária Instituições Financeiras Brasil. |
title_short |
Determinants Of The Ex-Post Bank Spread In The Brazilian Market |
title_full |
Determinants Of The Ex-Post Bank Spread In The Brazilian Market |
title_fullStr |
Determinants Of The Ex-Post Bank Spread In The Brazilian Market |
title_full_unstemmed |
Determinants Of The Ex-Post Bank Spread In The Brazilian Market |
title_sort |
Determinants Of The Ex-Post Bank Spread In The Brazilian Market |
author |
Dantas, José Alves |
author_facet |
Dantas, José Alves Medeiros, Otávio Ribeiro Capelletto, Lúcio Rodrigues |
author_role |
author |
author2 |
Medeiros, Otávio Ribeiro Capelletto, Lúcio Rodrigues |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Dantas, José Alves Medeiros, Otávio Ribeiro Capelletto, Lúcio Rodrigues |
dc.subject.por.fl_str_mv |
Spread Bancário Bancos Lucratividade Bancária Instituições Financeiras Brasil. |
topic |
Spread Bancário Bancos Lucratividade Bancária Instituições Financeiras Brasil. |
description |
Bank profitability is usually considered a relevant factor to provide the reliability of the financial system, reducing the risks associated to events of bankruptcy in this sector. In Brazil, however, there has been a great deal of discussion concerning the amount of earnings of financial institutions operating in the country, centered on the argument that such earnings are too large, becoming an excessive burden to the wealth-producing sector. For this reason, several studies have evaluated the structure, the evolution, and the determinants of banking spread, which is taken as the main variable responsible for the supposedly abnormal earnings. From the methodological viewpoint, these studies have concentrated in investigating the ex-ante banking spread related to operations with free resources and they have utilized macroeconomic factors as independent variables. The present study aims at identifying variables determining the ex-post banking spread, privileging explanatory variables intrinsic to the institutions, in other words, microeconomic. The extant literature on determinants of banking ex-post spread in Brazil presents a single previous paper, which presents poor results due to a problem of micronumerosity. To avoid such problem, our study utilizes data of balance sheets of banking institutions with operating credit portfolios from January 2000 to October 2009. Using a dynamic panel-data regression model, we test nine hypotheses and we find that the level of ex-post banking spread has relationships which are significant and: (i) positive with the credit portfolio risk; (ii) negative with the relative participation of the institutions in the credit market. On the other hand, we could not find statistically significant relationships between the level of ex-post banking spread and: the level of coverage of administrative expenses by revenues from services rendered; the origin of the institutions’ controlling capital, i.e. national versus foreign and state-owned versus private; the economy’s basic interest rate; the volatility of the Sao Paulo Stock Exchange stock index. |
publishDate |
2011 |
dc.date.none.fl_str_mv |
2011-11-10 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Econometria - dados em painel. |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801 |
url |
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801/3596 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801/8143 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801/8144 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801/8145 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/2801/8146 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2015 Revista de Administração Mackenzie info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2015 Revista de Administração Mackenzie |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document application/vnd.openxmlformats-officedocument.wordprocessingml.document |
dc.publisher.none.fl_str_mv |
Editora Mackenzie |
publisher.none.fl_str_mv |
Editora Mackenzie |
dc.source.none.fl_str_mv |
Revista de Administração Mackenzie; Vol. 13 No. 4 (2012) Revista de Administração Mackenzie; Vol. 13 Núm. 4 (2012) Revista de Administração Mackenzie (Mackenzie Management Review); v. 13 n. 4 (2012) 1678-6971 1518-6776 reponame:RAM. Revista de Administração Mackenzie instname:Universidade Presbiteriana Mackenzie (MACKENZIE) instacron:MACKENZIE |
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Universidade Presbiteriana Mackenzie (MACKENZIE) |
instacron_str |
MACKENZIE |
institution |
MACKENZIE |
reponame_str |
RAM. Revista de Administração Mackenzie |
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RAM. Revista de Administração Mackenzie |
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RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (MACKENZIE) |
repository.mail.fl_str_mv |
revista.adm@mackenzie.br |
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