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Regula????o banc??ria e a concess??o de cr??dito ve??culo no BrasilFernandes, Alexandre Cardoso 26 February 2018 (has links)
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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.
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Ensaios sobre a transmiss??o das pol??ticas monet??ria e macroprudencial na atividade banc??riaVinhado, Fernando da Silva 01 June 2016 (has links)
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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.
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Pol??tica monet??ria e dep??sitos compuls??rios em uma pequena economia abertaHaraguchi, Carlos Alberto Takashi 21 April 2016 (has links)
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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.
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