Determinantes do cr??dito banc??rio e os impactos do risco de cr??dito sobre a economia brasileira
Autor(a) principal: | |
---|---|
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/2061 |
Resumo: | Banking credit plays a key role for the economic development and, therefore, it is important to understand its dynamics and its actuation for the transmission of the monetary policy. Thus, this thesis consists of two studies that aim to understand the micro and macroeconomic behavior of bank credit, investigating the main determinants of bank credit as well as the interaction of the banking sector with other sectors of the economy. The microeconomic analysis aims to identify the major determinants of banking credit in the Brazilian economy, considering the influence of specific characteristics of the financial institutions and monetary policy in the period 2001 to 2012. This paper contributes with the literature by showing that there was no relevant impact from the macroeconomic environment on the credit supply in the analyzed period. The government has adopted a countercyclical credit policy mismatched from prevailing macroeconomic conditions. In turn, the macroeconomic analysis investigates the effects of credit risk for the financial intermediation and how this risk is transmitted to other agents in the economy. The DSGE model with financial frictions of Gertler and Karadi (2011) was modified to incorporate the risk of default given by the probability of non-payment of loans granted by the bank. This study contributes to the literature by deriving the probability of default of firms endogenously in the model, unlike most of the studies that assume it as exogenous. Moreover, as the model assumes two different interest rates for the two kinds of borrowers ("good" and "bad" payers), it allows the analysis of the impacts of the borrowers??? quality on the overall interest rate on loans. As a result, we identified a countercyclical default rate, which compensates the bank for the lost with ???bad??? payers. |
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Divino, Jos?? Angelohttp://lattes.cnpq.br/4790508103951006http://lattes.cnpq.br/1955731082326150Almeida, Fernanda Dantas2017-04-17T14:20:57Z2016-06-01ALMEIDA, Fernanda Dantas. Determinantes do cr??dito banc??rio e os impactos do risco de cr??dito sobre a economia brasileira. 2016. 95 f. Tese (Programa Strictu Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2016.https://bdtd.ucb.br:8443/jspui/handle/tede/2061Banking credit plays a key role for the economic development and, therefore, it is important to understand its dynamics and its actuation for the transmission of the monetary policy. Thus, this thesis consists of two studies that aim to understand the micro and macroeconomic behavior of bank credit, investigating the main determinants of bank credit as well as the interaction of the banking sector with other sectors of the economy. The microeconomic analysis aims to identify the major determinants of banking credit in the Brazilian economy, considering the influence of specific characteristics of the financial institutions and monetary policy in the period 2001 to 2012. This paper contributes with the literature by showing that there was no relevant impact from the macroeconomic environment on the credit supply in the analyzed period. The government has adopted a countercyclical credit policy mismatched from prevailing macroeconomic conditions. In turn, the macroeconomic analysis investigates the effects of credit risk for the financial intermediation and how this risk is transmitted to other agents in the economy. The DSGE model with financial frictions of Gertler and Karadi (2011) was modified to incorporate the risk of default given by the probability of non-payment of loans granted by the bank. This study contributes to the literature by deriving the probability of default of firms endogenously in the model, unlike most of the studies that assume it as exogenous. Moreover, as the model assumes two different interest rates for the two kinds of borrowers ("good" and "bad" payers), it allows the analysis of the impacts of the borrowers??? quality on the overall interest rate on loans. As a result, we identified a countercyclical default rate, which compensates the bank for the lost with ???bad??? payers.O cr??dito banc??rio possui um papel fundamental para o desenvolvimento econ??mico de um pa??s e, por isso, ?? muito importante compreender sua din??mica e sua atua????o na transmiss??o da pol??tica monet??ria. Por essa raz??o, esta tese ?? formada por dois estudos que visam entender o comportamento do cr??dito banc??rio de forma micro e macroecon??mica, investigando os principais aspectos que o determinam, bem como a intera????o do setor banc??rio com os demais setores da economia. A an??lise microecon??mica buscou identificar empiricamente os determinantes do cr??dito banc??rio no Brasil, sob a ??tica da oferta, de modo a averiguar o efeito das estrat??gias dos bancos e evidenciar o impacto da pol??tica monet??ria sobre a oferta de cr??dito no per??odo de 2001 a 2012. Esse estudo constatou que n??o houve impacto do ambiente econ??mico sobre a oferta de cr??dito no per??odo analisado, dado que o governo adotou uma pol??tica credit??cia antic??clica descasada das condi????es macroecon??micas vigentes. Por outro lado, a an??lise macroecon??mica buscou investigar os efeitos do risco de cr??dito na intermedia????o financeira e como esses efeitos s??o repassados aos demais agentes da economia. Para tanto, utilizou-se o modelo DSGE com fric????es financeiras de Gertler e Karadi (2011), que foi modificado de modo a incorporar o risco de default dado pela probabilidade de n??o pagamento dos empr??stimos concedidos pelo banco. Esse estudo contribui com a literatura ao derivar a probabilidade de default das firmas endogenamente ao modelo, diferente de grande parte dos artigos que a tratam como uma medida ex??gena. Ademais, ao trazer duas taxas de juros distintas para diferentes tomadores de cr??dito, os ???bons??? e os ???maus??? pagadores, o modelo permite a an??lise de como a qualidade dos mutu??rios impacta na taxa de juros global dos empr??stimos. Como resultado, encontra-se uma taxa de default antic??clica, que funciona como uma compensa????o para o banco pelas perdas com os ???maus??? pagadores.Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-17T14:20:44Z No. of bitstreams: 1 FernandaDantasAlmeidaTese2016.pdf: 2319400 bytes, checksum: f6fb411112df029c4bb77d8f3bb375bf (MD5)Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-17T14:20:57Z (GMT) No. of bitstreams: 1 FernandaDantasAlmeidaTese2016.pdf: 2319400 bytes, checksum: f6fb411112df029c4bb77d8f3bb375bf (MD5)Made available in DSpace on 2017-04-17T14:20:57Z (GMT). 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dc.title.por.fl_str_mv |
Determinantes do cr??dito banc??rio e os impactos do risco de cr??dito sobre a economia brasileira |
title |
Determinantes do cr??dito banc??rio e os impactos do risco de cr??dito sobre a economia brasileira |
spellingShingle |
Determinantes do cr??dito banc??rio e os impactos do risco de cr??dito sobre a economia brasileira Almeida, Fernanda Dantas Determinantes Cr??dito banc??rio Pol??tica monet??ria Risco de cr??dito Desenvolvimento econ??mico ECONOMIA MONETARIA E FISCAL::POLITICA FISCAL DO BRASIL |
title_short |
Determinantes do cr??dito banc??rio e os impactos do risco de cr??dito sobre a economia brasileira |
title_full |
Determinantes do cr??dito banc??rio e os impactos do risco de cr??dito sobre a economia brasileira |
title_fullStr |
Determinantes do cr??dito banc??rio e os impactos do risco de cr??dito sobre a economia brasileira |
title_full_unstemmed |
Determinantes do cr??dito banc??rio e os impactos do risco de cr??dito sobre a economia brasileira |
title_sort |
Determinantes do cr??dito banc??rio e os impactos do risco de cr??dito sobre a economia brasileira |
author |
Almeida, Fernanda Dantas |
author_facet |
Almeida, Fernanda Dantas |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Divino, Jos?? Angelo |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/4790508103951006 |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/1955731082326150 |
dc.contributor.author.fl_str_mv |
Almeida, Fernanda Dantas |
contributor_str_mv |
Divino, Jos?? Angelo |
dc.subject.por.fl_str_mv |
Determinantes Cr??dito banc??rio Pol??tica monet??ria Risco de cr??dito Desenvolvimento econ??mico |
topic |
Determinantes Cr??dito banc??rio Pol??tica monet??ria Risco de cr??dito Desenvolvimento econ??mico ECONOMIA MONETARIA E FISCAL::POLITICA FISCAL DO BRASIL |
dc.subject.cnpq.fl_str_mv |
ECONOMIA MONETARIA E FISCAL::POLITICA FISCAL DO BRASIL |
dc.description.abstract.eng.fl_txt_mv |
Banking credit plays a key role for the economic development and, therefore, it is important to understand its dynamics and its actuation for the transmission of the monetary policy. Thus, this thesis consists of two studies that aim to understand the micro and macroeconomic behavior of bank credit, investigating the main determinants of bank credit as well as the interaction of the banking sector with other sectors of the economy. The microeconomic analysis aims to identify the major determinants of banking credit in the Brazilian economy, considering the influence of specific characteristics of the financial institutions and monetary policy in the period 2001 to 2012. This paper contributes with the literature by showing that there was no relevant impact from the macroeconomic environment on the credit supply in the analyzed period. The government has adopted a countercyclical credit policy mismatched from prevailing macroeconomic conditions. In turn, the macroeconomic analysis investigates the effects of credit risk for the financial intermediation and how this risk is transmitted to other agents in the economy. The DSGE model with financial frictions of Gertler and Karadi (2011) was modified to incorporate the risk of default given by the probability of non-payment of loans granted by the bank. This study contributes to the literature by deriving the probability of default of firms endogenously in the model, unlike most of the studies that assume it as exogenous. Moreover, as the model assumes two different interest rates for the two kinds of borrowers ("good" and "bad" payers), it allows the analysis of the impacts of the borrowers??? quality on the overall interest rate on loans. As a result, we identified a countercyclical default rate, which compensates the bank for the lost with ???bad??? payers. |
dc.description.abstract.por.fl_txt_mv |
O cr??dito banc??rio possui um papel fundamental para o desenvolvimento econ??mico de um pa??s e, por isso, ?? muito importante compreender sua din??mica e sua atua????o na transmiss??o da pol??tica monet??ria. Por essa raz??o, esta tese ?? formada por dois estudos que visam entender o comportamento do cr??dito banc??rio de forma micro e macroecon??mica, investigando os principais aspectos que o determinam, bem como a intera????o do setor banc??rio com os demais setores da economia. A an??lise microecon??mica buscou identificar empiricamente os determinantes do cr??dito banc??rio no Brasil, sob a ??tica da oferta, de modo a averiguar o efeito das estrat??gias dos bancos e evidenciar o impacto da pol??tica monet??ria sobre a oferta de cr??dito no per??odo de 2001 a 2012. Esse estudo constatou que n??o houve impacto do ambiente econ??mico sobre a oferta de cr??dito no per??odo analisado, dado que o governo adotou uma pol??tica credit??cia antic??clica descasada das condi????es macroecon??micas vigentes. Por outro lado, a an??lise macroecon??mica buscou investigar os efeitos do risco de cr??dito na intermedia????o financeira e como esses efeitos s??o repassados aos demais agentes da economia. Para tanto, utilizou-se o modelo DSGE com fric????es financeiras de Gertler e Karadi (2011), que foi modificado de modo a incorporar o risco de default dado pela probabilidade de n??o pagamento dos empr??stimos concedidos pelo banco. Esse estudo contribui com a literatura ao derivar a probabilidade de default das firmas endogenamente ao modelo, diferente de grande parte dos artigos que a tratam como uma medida ex??gena. Ademais, ao trazer duas taxas de juros distintas para diferentes tomadores de cr??dito, os ???bons??? e os ???maus??? pagadores, o modelo permite a an??lise de como a qualidade dos mutu??rios impacta na taxa de juros global dos empr??stimos. Como resultado, encontra-se uma taxa de default antic??clica, que funciona como uma compensa????o para o banco pelas perdas com os ???maus??? pagadores. |
description |
Banking credit plays a key role for the economic development and, therefore, it is important to understand its dynamics and its actuation for the transmission of the monetary policy. Thus, this thesis consists of two studies that aim to understand the micro and macroeconomic behavior of bank credit, investigating the main determinants of bank credit as well as the interaction of the banking sector with other sectors of the economy. The microeconomic analysis aims to identify the major determinants of banking credit in the Brazilian economy, considering the influence of specific characteristics of the financial institutions and monetary policy in the period 2001 to 2012. This paper contributes with the literature by showing that there was no relevant impact from the macroeconomic environment on the credit supply in the analyzed period. The government has adopted a countercyclical credit policy mismatched from prevailing macroeconomic conditions. In turn, the macroeconomic analysis investigates the effects of credit risk for the financial intermediation and how this risk is transmitted to other agents in the economy. The DSGE model with financial frictions of Gertler and Karadi (2011) was modified to incorporate the risk of default given by the probability of non-payment of loans granted by the bank. This study contributes to the literature by deriving the probability of default of firms endogenously in the model, unlike most of the studies that assume it as exogenous. Moreover, as the model assumes two different interest rates for the two kinds of borrowers ("good" and "bad" payers), it allows the analysis of the impacts of the borrowers??? quality on the overall interest rate on loans. As a result, we identified a countercyclical default rate, which compensates the bank for the lost with ???bad??? payers. |
publishDate |
2016 |
dc.date.issued.fl_str_mv |
2016-06-01 |
dc.date.accessioned.fl_str_mv |
2017-04-17T14:20:57Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
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dc.identifier.citation.fl_str_mv |
ALMEIDA, Fernanda Dantas. Determinantes do cr??dito banc??rio e os impactos do risco de cr??dito sobre a economia brasileira. 2016. 95 f. Tese (Programa Strictu Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2016. |
dc.identifier.uri.fl_str_mv |
https://bdtd.ucb.br:8443/jspui/handle/tede/2061 |
identifier_str_mv |
ALMEIDA, Fernanda Dantas. Determinantes do cr??dito banc??rio e os impactos do risco de cr??dito sobre a economia brasileira. 2016. 95 f. Tese (Programa Strictu Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2016. |
url |
https://bdtd.ucb.br:8443/jspui/handle/tede/2061 |
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por |
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por |
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500 500 600 |
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openAccess |
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Universidade Cat??lica de Bras??lia |
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UCB |
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Brasil |
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Escola de Gest??o e Neg??cios |
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Universidade Cat??lica de Bras??lia |
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