Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2018-03-22T16:32:16Z No. of bitstreams: 1 AlexandreCardosoFernandesDissertacao2018.pdf: 2016006 bytes, checksum: 7fd24bcd2aa3b4e878f606c4ac524571 (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2018-03-22T16:32:41Z (GMT) No. of bitstreams: 1 AlexandreCardosoFernandesDissertacao2018.pdf: 2016006 bytes, checksum: 7fd24bcd2aa3b4e878f606c4ac524571 (MD5) / Made available in DSpace on 2018-03-22T16:32:41Z (GMT). No. of bitstreams: 1 AlexandreCardosoFernandesDissertacao2018.pdf: 2016006 bytes, checksum: 7fd24bcd2aa3b4e878f606c4ac524571 (MD5) Previous issue date: 2018-02-26 / The main objective of this study is to analyze the effects of macroprudential policies, adopted by Brazil after the 2008 crisis, on the granting of credit to finance vehicles for individuals. The changes in the compulsory liabilities on time deposits and demand deposits, changes in the capital requirement and changes in the Tax on Financial Transactions (IOF) and Industrialized Products Tax (IPI) rates will be studied. In the empirical part, a multiple regression will be estimated to identify the main determinants of vehicle credit for individuals in Brazil. A review will be made of the literature on the trajectory of banking regulation from Basel I to Basel III, as well as the Micro and Macroprudential regulation. / O objetivo central do trabalho, ?? analisar os efeitos das pol??ticas macroprudenciais, adotadas pelo Brasil ap??s a crise de 2008, sobre a concess??o de cr??dito para financiamento de ve??culos para pessoas f??sicas. Ser??o estudadas as altera????es nas exigibilidades de compuls??rio sobre dep??sitos a prazo e ?? vista, mudan??a na exig??ncia de capital e altera????es nas al??quotas do Imposto sobre Opera????es Financeiras (IOF) e Imposto sobre Produtos Industrializados (IPI). Na parte emp??rica, ser?? estimada uma regress??o m??ltipla para identificar os principais determinantes da concess??o de cr??dito ve??culo para pessoas f??sicas no Brasil. Ser?? feita uma revis??o da literatura sobre trajet??ria da regula????o banc??ria de Basileia I a Basileia III, bem como da regula????o Micro e Macroprudencial.

This dissertation includes three chapters discussing the importance of bank heterogeneity in monetary policy implementation using tools such as changes in the interest on reserve and the discount window on bank lending. The first two chapters focus on the implications of differences in government regulation, while the third chapter focuses on market competition. The first chapter assesses the effects of a policy reform changing the relative return of holding reserves on the reserves held by U.S. branches of foreign banks compared to conventional domestic banks, using difference-in-differences regression analysis. The second chapter studies the implications of dispersion in the relative return of holding reserves using a liquidity mismatch banking model with different sectors that can trade reserves in an over-the-counter market for federal funds. The model is used to study the effects of changes to regulation, policy rates, and other market conditions on the distribution of reserves across sectors and the federal funds rate. The third chapter documents changes in competition in the loan and deposit market over the last two decades and considers the implications for monetary policy tools using regression analysis compared to simulations of a Dynamic Stochastic General Equilibrium model.Chapter 1, titled DEPOSIT INSURANCE AND PORTFOLIO DESIGN OF BANKS, reviews the distinct response of U.S. branches of foreign banks to the monetary policy of interest on reserve balances following a policy reform in 2011. The Federal Deposit Insurance Corporation (FDIC) reform changed the relative return of holding reserves for U.S. branches of foreign banks (foreign banks for short) compared to conventional domestic banks (domestic banks for short). The data show higher excess reserves held by foreign banks following this policy change. A fixed-effects model is used to measure the effect of a change in the FDIC policy on excess reserves held by each sector. A difference-in-difference comparison suggests a difference of 0.16 in reserves to assets of domestic banks compared to foreign banks following the policy change and a more considerable gap of around 0.25 for banks with average assets holdings in the top 15 percentile. Furthermore, the event study confirms that these larger banks widely capture the impact of policy. The next chapter, Chapter 2, titled BANK PORTFOLIO CHOICE AND MONETARY POLICY TRANSMISSION IN THE FACE OF A NEW FEDERAL FUNDS MARKET, studies the implications of differences in regulation of banks for monetary policy. The chapter presents an equilibrium model in the framework of Bianchi and Bigio (2022) to include two types of bank branches instead of one; domestic banks must hold deposit insurance, while U.S. branches of foreign banks cannot. Deposit insurance allows for a more stable funding source but attaches a higher balance-sheet cost. Calibration finds consistent predictions that explain the higher excess reserves and the sequential credit supply of foreign branches. Moreover, findings suggest that foreign branches are more responsive to monetary policy tools, such as interest on reserves, because their funding source is associated with higher volatility in deposit withdrawals. The monetary policy of changes to the corridor rates in the model is the same across all banks. Still, because U.S. branches of foreign banks face different tradeoffs than U.S domestic banks, monetary policy affects each sector differently. Chapter 3, titled CHANNELS OF MONETARY POLICY WITH IMPERFECT COMPETITION IN THE BANKING SECTOR, uses a relatively new measure of market power proposed by Boone (2008) to estimate the implications of market power on the pass-through of monetary policy for two monetary policy channels. The lending channel and the deposits channel. Data suggest that market power is high in the deposit market and somewhat high in the loan market, with an incline in competition in both sectors in the last two decades preceding 2001. The paper evaluates monetary policy pass-through to deposit and lending rates given the competition across banks using a Dynamic Stochastic General Equilibrium (DSGE) model with sticky prices. The central assumption of the model is that the pass-through depends on competition across banks. It includes banks with imperfectly competitive markups for loans to firms, markdowns of deposit rates to consumers, and a monetary policy authority that can either change the federal funds rate or the spread between the federal funds rate and the rate paid on excess reserves. The model estimations align with the empirical evidence suggesting banks will compensate on loan spreads to avoid the contraction in lending caused by higher policy rates, while deposits will fluctuate less, and therefore spreads may increase when market rates increase. / Economics

La presente investigación tiene como objetivo examinar el efecto de la política macroprudencial en el riesgo de insolvencia de las entidades bancarias en el Perú. Las herramientas que se estudian son las provisiones dinámicas, los requerimientos de capital, los requerimientos de encaje en moneda nacional y en moneda extranjera. El periodo de estudio comprende desde el año 2011 hasta el 2019 y el análisis se realiza a través de un panel dinámico. Los resultados indican que la política macroprudencial ha sido efectiva para disminuir el riesgo de insolvencia de las entidades bancarias pero de manera parcial, ya que solo los requerimientos de capital y los requerimientos de encaje en moneda extranjera tienen significancia estadística. La no significancia de los requerimientos de encaje en moneda nacional se pueden deber a que estos se han mantenido en valores estables y que pueden ser efectivos para otros objetivos intermedios. Con respecto a las provisiones dinámicas, estas solo han estado activas durante un periodo corto de tiempo, lo cual se podría deber a que el criterio está asociado al ciclo económico y no al ciclo financiero. Asimismo, se encuentra que algunas características originan que los bancos se encuentren menos expuestos al riesgo de insolvencia, tales como el grado de capitalización, la estructura de financiamiento, el tamaño y su nivel de actividad. / The aim of this investigation is to examine the effect of macroprudential policy on the banks’ risk of insolvency in Peru. The tools included are dynamic provisions, capital requirements, and the requirements for assembling in national currency and foreign currency. The study period runs from 2011 to 2019 and the analysis is done through a dynamic panel. The results indicate that the macroprudential policy has been effective in reducing the risk of insolvency of banks, but only partially, because only capital requirements and the requirements on reserve for foreign currency have statistical significance. The non-significance of the reserve requirements in national currency may be due to the fact that they have been maintained at stable values and that they may be effective for other intermediate objectives. With regard to the dynamic provisions, they have only been active for a short period of time, which could be due to the fact that the criterion is associated with the economic cycle and not with the financial cycle. Likewise, it is found that some characteristics cause banks to be less exposed to insolvency risk, such as such as the degree of capitalization, the financing structure, the size and their level of activity. / Trabajo de investigación

Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-12T17:54:31Z No. of bitstreams: 1 FernandodaSilvaVinhadoTese2016.pdf: 4671491 bytes, checksum: 0135cb044ecbfc6e099af8cff5435e2d (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-12T17:54:50Z (GMT) No. of bitstreams: 1 FernandodaSilvaVinhadoTese2016.pdf: 4671491 bytes, checksum: 0135cb044ecbfc6e099af8cff5435e2d (MD5) / Made available in DSpace on 2017-04-12T17:54:50Z (GMT). No. of bitstreams: 1 FernandodaSilvaVinhadoTese2016.pdf: 4671491 bytes, checksum: 0135cb044ecbfc6e099af8cff5435e2d (MD5) Previous issue date: 2016-06-01 / 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 / Esta tese ?? composta por dois estudos que investigam as rela????es entre pol??tica monet??ria e macroprudencial e o setor banc??rio da economia brasileira. No primeiro cap??tulo busca-se encontrar evid??ncias emp??ricas explorando uma estrutura de dados em cross-section como fonte de inter-rela????es entre aspectos sist??micos daquelas pol??ticas e o comportamento dos bancos. A partir de estima????es VAR em painel encontram-se evid??ncias de que as pol??ticas monet??rias e macroprudenciais exercem influ??ncia sobre os n??veis de exposi????o a riscos financeiros, capital e estabilidade financeira dos bancos. Observa-se que h?? um complemento entre os instrumentos daquelas pol??ticas e a estabiliza????o da infla????o. As rela????es envolvendo m??tricas banc??rias revelam tamb??m como a forma????o de buffers de capital favorece a estabilidade financeira. Isso ratifica a import??ncia da exig??ncia de capital como instrumento para manuten????o de um sistema financeiro est??vel. No segundo cap??tulo aplica-se uma modelagem em DSGE que combina diferentes literaturas como forma de examinar como os choques de pol??tica monet??ria e macroprudencial s??o conduzidos na atividade banc??ria n??o competitiva. Os achados mostram que apesar do efeito recessivo sobre o cr??dito e produto, choques contracionistas em taxa de juros e requerimento compuls??rio, quando repassados para o custo do cr??dito banc??rio em mercado financeiro operando em concorr??ncia imperfeita, podem provocar aumento imediato no spread e lucro dos bancos, com maior forma????o de buffers de capital, o que favorece a estabilidade do sistema financeiro. Al??m da relev??ncia de um choque de exig??ncia de capital para o setor banc??rio e lado real da economia, os resultados apontam tamb??m que, em raz??o de diferentes pr??ticas adotadas nas regras de compuls??rio e/ou na magnitude da meta do ??ndice de Basil??ia, pode haver diferentes influ??ncias na transmiss??o dos choques de pol??tica monet??ria e macroprudencial. Isso mostra a rela????o e necessidade de adequada coordena????o entre as pol??ticas. Ressalta-se tamb??m que o estudo captura a efic??cia da pol??tica macroprudencial, via requerimento compuls??rio ou exig??ncia de capital, como instrumentos complementares ?? taxa de juros de pol??tica no processo de estabilidade monet??ria.

Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-20T11:14:42Z No. of bitstreams: 1 CarlosAlbertoTakashiHaraguchiDissertacao2016.pdf: 2164879 bytes, checksum: 14e93c20b925917bc67518001c696adf (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-20T11:15:24Z (GMT) No. of bitstreams: 1 CarlosAlbertoTakashiHaraguchiDissertacao2016.pdf: 2164879 bytes, checksum: 14e93c20b925917bc67518001c696adf (MD5) / Made available in DSpace on 2017-04-20T11:15:24Z (GMT). No. of bitstreams: 1 CarlosAlbertoTakashiHaraguchiDissertacao2016.pdf: 2164879 bytes, checksum: 14e93c20b925917bc67518001c696adf (MD5) Previous issue date: 2016-04-21 / This work evaluates the effects of shocks on a small open economy using a DSGE model with financial frictions and a macroprudential measure of reserve requirements with monetary authority. According to this approach, the exchange rate role as a channel of transmission for shocks was analyzed as well as alternatives Taylor rules and reserve requirements policies the monetary authority could implement. Simulations indicated exchange rate plays an active role in situations of domestic or external monetary policy and technological progress shocks, but the intensity depends on the degree of openness of the economy. The choice between PPI or CPI measures of inflation as a target in the Taylor rule resulted in a slight better performance for PPI regarding stability. When it comes to including real exchange rate in the rule, the differences were more significant, indicating that, in order to reach a common inflation target, the necessary interest rate shock and the ensuing fall of output would be smaller as well as the convergence to equilibrium would be faster. However, the cost was a more volatile inflation rate. The absence of reserve requirements with monetary authority was more appropriate in case of external shocks, since it caused lower volatility in output and domestic prices. A reserve requirements policy, on the other side, helped to stabilize output after a internal monetary policy shock. / Este trabalho avalia os efeitos de choques sobre uma pequena economia aberta (PEA) utilizando um modelo din??mico estoc??stico de equil??brio geral (DSGE, em ingl??s) com fric????es financeiras e uma pol??tica macroprudencial de exig??ncia de dep??sitos compuls??rios por parte da autoridade monet??ria. A partir dessa modelagem, foram analisados o papel do c??mbio como canal de propaga????o de choques e alternativas de regras de Taylor e pol??ticas de compuls??rios que a autoridade monet??ria poderia implementar. As simula????es indicaram que o c??mbio tem um papel ativo na transmiss??o de choques de pol??tica monet??ria dom??stica, de produtividade e de pol??tica monet??ria externa, mas a intensidade depende do grau de abertura da economia. A escolha entre as medidas de infla????o dom??stica (PPI) ou ao consumidor (CPI) para a regra de Taylor resultou num desempenho ligeiramente melhor para a PPI no que se refere ?? estabilidade. Em se tratando da inclus??o da taxa real de c??mbio na regra, as diferen??as foram bem mais significativas indicando que, para atingir uma mesma meta de infla????o, o choque necess??rio na taxa de juros e a consequente queda no produto seriam menores, al??m de uma converg??ncia ao equil??brio mais r??pida. O custo, por??m, foi uma trajet??ria mais vol??til da taxa de infla????o. A aus??ncia de exigibilidade de dep??sitos compuls??rios na autoridade monet??ria se mostrou mais indicada em situa????es de choques externos por provocar menor oscila????o no produto e nos pre??os dom??sticos. Uma pol??tica de compuls??rios, por outro lado, auxiliou a estabilizar o produto ap??s um choque de pol??tica monet??ria interna.

Este trabalho faz uso de um modelo DSGE com fricções financeiras para analisar as consequências da existência de uma modalidade subsidiada de crédito para a recuperação da economia frente a choques. Os resultados indicam que o crédito subsidiado auxilia a mitigar os efeitos de choques que incidem especificamente sobre o mercado de crédito, como é o caso de choques financeiros ou de política macroprudencial. As respostas das principais variáveis da economia a esses choques se tornam menos intensas e duradouras. Para o caso de choque de política monetária, entretanto, a presença do crédito subsidiado não altera de forma significativa as respostas de variáveis reais, como consumo e investimento. / This paper uses a DSGE model with financial frictions to analyze the consequences of the existence of a subsidized credit line for the recovery of the economy against shocks. The results indicate that the subsidized credit helps to mitigate the effects of shocks that are specifically related to the credit market, as in the case of financial shocks or macroprudential policy shocks. The responses of the main variables of the economy to these shocks become shorter and less intense. In the case of monetary policy shock, however, the presence of subsidized credit does not change significantly the responses of real variables, such as consumption and investment.

Este trabalho faz uso de um modelo DSGE com fricções financeiras para analisar as consequências da existência de uma modalidade subsidiada de crédito para a recuperação da economia frente a choques. Os resultados indicam que o crédito subsidiado auxilia a mitigar os efeitos de choques que incidem especificamente sobre o mercado de crédito, como é o caso de choques financeiros ou de política macroprudencial. As respostas das principais variáveis da economia a esses choques se tornam menos intensas e duradouras. Para o caso de choque de política monetária, entretanto, a presença do crédito subsidiado não altera de forma significativa as respostas de variáveis reais, como consumo e investimento. / This paper uses a DSGE model with financial frictions to analyze the consequences of the existence of a subsidized credit line for the recovery of the economy against shocks. The results indicate that the subsidized credit helps to mitigate the effects of shocks that are specifically related to the credit market, as in the case of financial shocks or macroprudential policy shocks. The responses of the main variables of the economy to these shocks become shorter and less intense. In the case of monetary policy shock, however, the presence of subsidized credit does not change significantly the responses of real variables, such as consumption and investment.

Submitted by Marcelo Sarkis Donelian (mdonelian@hotmail.com) on 2013-02-26T21:58:08Z No. of bitstreams: 1 Impacto das medidas macroprudenciais no Brasil _ O caso da concessão de financiamento de veículos para pessoas físicas entre 2001 e 2012 Marcelo Sarkis Donelian.pdf: 322688 bytes, checksum: f14bd704232f67409698d76d2a72c56e (MD5) / Approved for entry into archive by Eliene Soares da Silva (eliene.silva@fgv.br) on 2013-02-26T21:59:05Z (GMT) No. of bitstreams: 1 Impacto das medidas macroprudenciais no Brasil _ O caso da concessão de financiamento de veículos para pessoas físicas entre 2001 e 2012 Marcelo Sarkis Donelian.pdf: 322688 bytes, checksum: f14bd704232f67409698d76d2a72c56e (MD5) / Made available in DSpace on 2013-02-26T22:00:43Z (GMT). No. of bitstreams: 1 Impacto das medidas macroprudenciais no Brasil _ O caso da concessão de financiamento de veículos para pessoas físicas entre 2001 e 2012 Marcelo Sarkis Donelian.pdf: 322688 bytes, checksum: f14bd704232f67409698d76d2a72c56e (MD5) Previous issue date: 2013-03-02 / The aim of this study is analyze the impact of macro-prudential tools in Brazil after the 2008 crisis on private credit. More specifically, the empirical study evaluates the effects of reserve requirements on sight deposits and time deposits and the capital requirement on auto loans for individuals / Este trabalho tem como objetivo analisar o impacto das medidas macroprudenciais no Brasil após a crise de 2008 sobre o crédito privado. Mais especificamente, o estudo empírico realizado avalia os efeitos do recolhimento compulsório sobre depósitos a vista e a prazo e do requerimento de capital sobre as operações de crédito para aquisição de veículos para pessoas físicas.

Submitted by Mauricio Barbosa Alves (mauricio.alves.b@gmail.com) on 2018-06-14T15:35:01Z No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) / Approved for entry into archive by Katia Menezes de Souza (katia.menezes@fgv.br) on 2018-06-14T15:46:59Z (GMT) No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) / Approved for entry into archive by Isabele Garcia (isabele.garcia@fgv.br) on 2018-06-15T18:00:51Z (GMT) No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) / Made available in DSpace on 2018-06-15T18:00:51Z (GMT). No. of bitstreams: 1 TESE_ABNT.pdf: 680246 bytes, checksum: 3006f82e898ec471fed50308aacb286a (MD5) Previous issue date: 2018-05-29 / We study the long-run impact of the adoption of macroprudential tools. We derive a dynamic general equilibrium model featuring endogenous TFP change and allowing banks to choose their balance sheet structure endogenously. Banks choose vulnerable balance sheet structure depending on perceptions about fundamental risk. The design of prudential tools matters because it changes the riskiness of assets in a particular way, possibly increasing banking ability to fund projects. This introduces a novel channel to explain economic growth: risk mitigation.We then use the model to show numerically that there is a non-linear relationship between long-run growth and macroprudential policy intensity for several prudential rules considered in the related literature. We derive a welfare function and show that a welfare-maximizing regulator faces a growth-risk trade-off: welfare is maximized when growth is below its maximum value for each policy design we consider. / Estudamos os impactos de longo prazo da adoção de ferramentas macroprudenciais. Derivamos um modelo de equilíbrio geral dinamico no qual há mudança endógena da PTF e permitindo que os bancos escolham sua estrutura de balanço endogenamente. Os bancos escolhem uma estrutura de balanço vulnerável dependendo das percepções sobre risco fundamental. O desenho de ferramentas prudenciais é importante porque altera o grau de risco dos ativos de uma determinada maneira, possivelmente aumentando a capacidade bancária de financiar projetos. Isso introduz um novo canal para explicar o crescimento econômico: a mitigação de riscos. Em seguida, usamos o modelo para mostrar numericamente que existe uma relação não linear entre o crescimento de longo prazo e a intensidade da política macroprudencial para várias regras prudenciais consideradas na literatura relacionada. Obtemos uma função de bem-estar e mostramos que um regulador que maximiza o bem-estar enfrenta um tradeoff de risco de crescimento: o bem-estar é maximizado quando o crescimento está abaixo de seu valor máximo para cada desenho de política que consideramos.

Este trabajo de investigación se enfoca en encontrar la relación existente entre la acción de política de desdolarización del Banco Central de Reserva del Perú y el ratio de dolarización de los créditos hipotecarios en el mercado financiero peruano como mecanismo de Política Monetaria. Para ello, se estima mediante metodologías de cointegración empíricas como regresiones lineales y modelos de corrección de errores, con la finalidad de demostrar la existencia de una relación entre la política implementada por el BCRP y el ratio de dolarización de créditos hipotecarios. Los resultados encontrados para el período entre Julio del 2010 a Diciembre del 2019 demuestran que existe una relación negativa de la política frente al ratio de dolarización de los créditos hipotecarios; es decir, el programa de desdolarización del BCRP si tuvo un efecto significativo sobre la dolarización de los créditos hipotecarios en el periodo asignado. Además se evidencia que existe una relación sostenida de equilibrio de largo plazo entre las variables de estudio. / This research focuses on finding the relationship between the de-dollarization policy action of the Central Reserve Bank of Peru and the dollarization of mortgage loans in the Peruvian financial market like mechanism of Monetary politics. For this, it is estimated using empirical cointegration methodologies such as linear regressions and error correction models, in order to demonstrate the existence of a relationship between the policy implemented by the BCRP and the ratio of dollarization of mortgage loans. The results found for the period between July 2010 to December 2019 show that there is a negative relationship between the policy and the dollarization ratio of the mortgage loans; in other words, the BCRP's de-dollarization program did have a significant effect on the dollarization of mortgage loans in the assigned period. Also, it is evident that there is a sustained long-term equilibrium relationship between the used variables. / Trabajo de investigación