Determinantes da concessão de crédito livre para pessoas físicas no Brasil

Detalhes bibliográficos
Autor(a) principal: Lopes, Ivan Campello
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/19192
Resumo: This paper aims to identify, with an econometric model, the main micro and macroeconomic variables that were responsible for the process of credit concession for individuals that took place in Brazil during 2004 and 2016, using quarterly data. The variables referred to bank spread, working population, confidence index, admission salary and country’s leverage, measured by credit as a percentage of product, were statistically significant. Finally, it was developed a prediction model based on VAR and the result shows that the model presented less uncertainty than a Randon Walk model, especially the prediction for the one quarter ahead.
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spelling Lopes, Ivan CampelloEscolas::EPGEFGVGonçalves, Edson Daniel LopesMartins, Bruno SilvaChaves, Rafael Santos2017-11-29T13:31:40Z2017-11-29T13:31:40Z2017-09-22https://hdl.handle.net/10438/19192This paper aims to identify, with an econometric model, the main micro and macroeconomic variables that were responsible for the process of credit concession for individuals that took place in Brazil during 2004 and 2016, using quarterly data. The variables referred to bank spread, working population, confidence index, admission salary and country’s leverage, measured by credit as a percentage of product, were statistically significant. Finally, it was developed a prediction model based on VAR and the result shows that the model presented less uncertainty than a Randon Walk model, especially the prediction for the one quarter ahead.Este trabalho busca identificar, através de um modelo econométrico, as principais variáveis micro e macroeconômicas que foram determinantes para o processo de concessão de crédito livre para pessoas físicas ocorrido no Brasil no período de 2004 a 2016, com dados trimestrais. As variáveis referentes ao spread bancário, população ocupada, índice de confiança, salário de admissão e alavancagem total, medida pelo crédito como percentual do PIB, se mostraram estatisticamente significativas. Por fim, foi desenvolvido um modelo de previsão baseado em VAR e os resultados apresentaram incerteza inferior ao de um modelo Randon Walk, principalmente para o primeiro trimestre à frente.porCredit concessionIndividualsRegressionConcessão de créditoPessoas físicasRegressãoVAREconomiaAnálise de créditoCréditosCrédito bancárioAdministração de riscoDeterminantes da concessão de crédito livre para pessoas físicas no Brasilinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTIvan Lopes - Versão Completa Final.pdf.txtIvan Lopes - Versão Completa Final.pdf.txtExtracted texttext/plain34839https://repositorio.fgv.br/bitstreams/91e8a386-7257-4ed5-842b-15048b424f1a/downloaded37e14df7781b00de8497a77a4d8dd0MD54ORIGINALIvan Lopes - Versão Completa Final.pdfIvan Lopes - Versão Completa 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dc.title.por.fl_str_mv Determinantes da concessão de crédito livre para pessoas físicas no Brasil
title Determinantes da concessão de crédito livre para pessoas físicas no Brasil
spellingShingle Determinantes da concessão de crédito livre para pessoas físicas no Brasil
Lopes, Ivan Campello
Credit concession
Individuals
Regression
Concessão de crédito
Pessoas físicas
Regressão
VAR
Economia
Análise de crédito
Créditos
Crédito bancário
Administração de risco
title_short Determinantes da concessão de crédito livre para pessoas físicas no Brasil
title_full Determinantes da concessão de crédito livre para pessoas físicas no Brasil
title_fullStr Determinantes da concessão de crédito livre para pessoas físicas no Brasil
title_full_unstemmed Determinantes da concessão de crédito livre para pessoas físicas no Brasil
title_sort Determinantes da concessão de crédito livre para pessoas físicas no Brasil
author Lopes, Ivan Campello
author_facet Lopes, Ivan Campello
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.member.none.fl_str_mv Gonçalves, Edson Daniel Lopes
Martins, Bruno Silva
dc.contributor.author.fl_str_mv Lopes, Ivan Campello
dc.contributor.advisor1.fl_str_mv Chaves, Rafael Santos
contributor_str_mv Chaves, Rafael Santos
dc.subject.eng.fl_str_mv Credit concession
Individuals
Regression
topic Credit concession
Individuals
Regression
Concessão de crédito
Pessoas físicas
Regressão
VAR
Economia
Análise de crédito
Créditos
Crédito bancário
Administração de risco
dc.subject.por.fl_str_mv Concessão de crédito
Pessoas físicas
Regressão
VAR
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Análise de crédito
Créditos
Crédito bancário
Administração de risco
description This paper aims to identify, with an econometric model, the main micro and macroeconomic variables that were responsible for the process of credit concession for individuals that took place in Brazil during 2004 and 2016, using quarterly data. The variables referred to bank spread, working population, confidence index, admission salary and country’s leverage, measured by credit as a percentage of product, were statistically significant. Finally, it was developed a prediction model based on VAR and the result shows that the model presented less uncertainty than a Randon Walk model, especially the prediction for the one quarter ahead.
publishDate 2017
dc.date.accessioned.fl_str_mv 2017-11-29T13:31:40Z
dc.date.available.fl_str_mv 2017-11-29T13:31:40Z
dc.date.issued.fl_str_mv 2017-09-22
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
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url https://hdl.handle.net/10438/19192
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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