Ensaios sobre a transmiss??o das pol??ticas monet??ria e macroprudencial na atividade banc??ria

• Autor(a) principal: Vinhado, Fernando da Silva
• Data de Publicação: 2016
• Tipo de documento: Tese
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da UCB
• Texto Completo: https://bdtd.ucb.br:8443/jspui/handle/tede/2057
• topic: Pol??tica monet??ria; Pol??tica macroprudencial; Economia brasileira; VAR em painel; Bancos; DSGE; ECONOMIA MONETARIA E FISCAL::POLITICA FISCAL DO BRASIL

This thesis consists of two studies investigating the relationship between monetary and macroprudential policy and the banking sector of the Brazilian economy. The first chapter seeks to find empirical evidence exploring a data structure in cross-section as a source of interrelations between systemic aspects of those policies and the behavior of banks. From estimations panel VAR there is evidence that monetary and macroprudential policies influence on the levels of exposure to financial risks, capital and financial stability of banks. It is observed that there is a complement between the instruments of those policies and the stabilization of inflation. Relationships involving banking metrics also reveal how the formation of capital buffers favors financial stability. This confirms the importance of the capital requirement as a tool to maintain a stable financial system. In the second section applies a DSGE modeling that combines different literatures as a way to examine how monetary and macroprudential policy shocks are conducted in noncompetitive banking. The findings show that despite the recessionary effect on credit and product, contractionary shock in interest rate and reserve requirement when pass through to the cost of bank credit in financial markets operating in imperfect competition, may cause an immediate increase in the spread and earnings of banks with increased formation of capital buffers, which favors the stability of the financial system. Further the relevance of a capital requirement of shock to the banking sector and real economy, the results also indicate that, due to different practices in reserve requeriments rules and / or the magnitude of the capital requeriment ratio, there may be different influences in the transmission of monetary and macroprudential policy shocks. This shows the relationship and the need for suitable coordination between policies. It is also noted that the study captures the effectiveness of macroprudential policy, for reserve requirement or capital requiremen