本文建構一個兩國並結合銀行之 DSGE 模型，旨在瞭解銀行資本與放款利差於國際景氣傳遞過程的機制。中間財廠商必須向銀行融通資金以購買資本財。本文假設廠商償還資金時存在違約衝擊，即銀行不一定能完全回收貸放總額。銀行資本水準又會影響放款利差的高低，進而改變廠商生產決策。本文以此機制連結金融與實質部門探討當違約衝擊發生時，除了對本國的影響之外，又會如何衝擊外國經濟體系。本文發現，本國違約衝擊的確會導致兩國景氣同時步入衰退，成功地捕捉兩國之產出、投資與放款呈現下降的現象。此外，本國若採行緊縮性貨幣政策，外國經濟體系也會遭受威脅。 / The objective of this study is to investigate the international transmission mechanism of the role of banking sector. We propose a Dynamic Stochastic and General Equilibrium model of a two-country two-bank world with nominal rigidity. Bank lends funds to entrepreneurs to purchase capital. The banking capital position has influence on loan rate spreads which can affect the real economic activities. Financial impact is originated from entrepreneur defaulting on their borrowings. The calibration results show that a country-specific financial shock causes international crisis. Furthermore, a negative monetary policy shock also drives simultaneous recession across countries.

Submitted by Ronaldo Medrado Helpe (ronaldo.helpe@gmail.com) on 2018-01-05T14:28:46Z No. of bitstreams: 1 Financas_AFD-Helpe-projeto_vFinal.pdf: 1604607 bytes, checksum: 1cdf4c588e2dd515324016561da5baa4 (MD5) / Approved for entry into archive by Mayara Costa de Sousa (mayara.sousa@fgv.br) on 2018-01-10T23:17:12Z (GMT) No. of bitstreams: 1 Financas_AFD-Helpe-projeto_vFinal.pdf: 1604607 bytes, checksum: 1cdf4c588e2dd515324016561da5baa4 (MD5) / Made available in DSpace on 2018-01-11T13:40:17Z (GMT). No. of bitstreams: 1 Financas_AFD-Helpe-projeto_vFinal.pdf: 1604607 bytes, checksum: 1cdf4c588e2dd515324016561da5baa4 (MD5) Previous issue date: 2017-12-11 / A iminência da entrada em vigor das regras estabelecidas pelo acordo da Basileia III, motivado pela crise do subprime em 2009, desperta preocupação ao redor do mundo, inspirando inúmeros estudos que tentam antecipar potenciais efeitos desta regulamentação sobre a economia (BERROSPIDE e EDGE, 2010). O Brasil vive uma das piores recessões de sua história e as provisões para créditos ruins nos balanços dos bancos se avolumam, gerando um aumento do estoque de créditos tributários. Em linha com diversos estudos já realizados, este trabalho explorou efeitos decorrentes da implantação do acordo da Basileia III em relação ao capital mínimo regulatório exigido, com o diferencial de dar ênfase ao impacto da exclusão dos créditos tributários da base de capital dos bancos. O objetivo foi identificar se a restrição de capital trazida por tais deduções, no âmbito do novo acordo, poderia impactar o volume de créditos concedidos pelos bancos, impactando, portanto, o processo de recuperação econômica do Brasil. Verificou-se, através de uma pesquisa exploratória, que abordou uma amostra relevante de 38 bancos, que os avanços dos ajustes prudenciais de créditos tributários terão alto impacto sobre a base de capital das instituições financeiras. Tais deduções, geraram impactos em 28 bancos da amostra, chegando a representar mais de 100% da necessidade agregada de capital principal e 59% da necessidade agregada de capital nível 1 dos bancos analisados. Do ponto de vista de influência das deduções dos créditos tributários sobre as carteiras de crédito dos bancos, foi possível constatar que o impacto tende a ser pequeno, chegando a 1,5% de redução sobre o total da carteira de crédito dos bancos analisados. Essa conclusão, apesar de parecer incoerente à primeira vista, justifica-se pela capacidade dos bancos em atrair mais capital, em função de suas rentabilidades acima do custo de capital próprio. Essa análise nos permitiu confirmar a relevância dos créditos tributários das instituições financeiras sobre suas políticas de gestão de capital e verificar que as deduções de créditos tributários, apesar de representar restrições importantes de capital, não deverão impactar de forma relevante o crescimento das carteiras de crédito no sistema financeiro brasileiro. / The imminence of fully application of the rules established by Basel III, motivated by the subprime crisis in 2009, arouses concern around the world, motivating several papers trying to anticipate potential effects of this regulation (BERROSPIDE e EDGE, 2010). Brazil is facing one of the worst recessions in its history and the increase in provisions for bad credits, led to an increase in tax credits in the banks' balance sheets in Brazil. Aligned with several studies, this research explored the effects arising from the implementation of Basel III agreement in relation to minimum regulatory capital, with the differential of emphasizing the impact of the exclusion of tax credits from the capital base of banks. The objective was to identify if the restriction of capital brought by Tax Credits under the new agreement could impact the volume of credits granted by the banks, thus impacting the process of economic recovery in Brazil. It was verified through a relevant sample of 38 banks that tax credits will have a high impact on the banks' capital base. These deductions generated impacts on 28 sample banks, accounting for more than 100% of the aggregate principal capital requirement and 59% of the aggregate capital requirement of the banks analyzed. From the point of view of the influence of tax credit deductions on banks' credit portfolios, it was possible to verify that the impact tends to be small, reaching a reduction of 1.5% on the total loan portfolio of the banks analyzed. This conclusion, despite seeming at first glance to be inconsistent, is justified by the ability of banks to attract more capital, due to their profitability above the cost of equity. This analysis allowed us to confirm the relevance of tax credits of financial institutions on their capital management policies and to verify that deductions of tax credits, despite representing significant capital constraints, should not have a significant impact on the growth of credit portfolios in Brazil.

Despite the fact that a preponderance of past studies in corporate finance mainly focus on capital structure decision of firms, the problems of “what factors determine the capital structure choice of firms and how firms adjust their capital structure dynamically” are still riddling. Hence, the aim of this study is to investigate the determinants of capital structure and capital structure adjustment dynamics of banks. To this end, the study employed a quantitative research approach. Specifically, secondary data have been collected through document review of annual reports of selected banks for longitudinal/panel research design. Besides, primary data have been collected through a self- administered questionnaire distributed to the selected Chief Financial Officers (CFOs) for the cross-sectional survey research design of the study. As the method of data analysis, the study estimates both static and dynamic panel models using fixed effect and GMM estimators respectively. Besides, in analyzing the cross-sectional survey responses, appropriate statistical techniques for order-ranked and nominal/categorical items of the responses have been employed. Specifically, in the univariate analysis of survey responses, mean scores and percentage of categorical responses have been computed for order-ranked and nominal items respectively. Moreover, to test the significance of differences of mean scores of order-ranked and percentage of responses of nominal items conditional on bank characteristics, the study employed the nonparametric Mann-Whitney test and the likelihood ratio test respectively. As the result, the tax shield from interest tax deductibility, profitability and/or size of free cash flows, growth opportunities and regulatory pressure factors are found to be significant determinants of capital structure decisions, consistently in estimations of panel models and cross-sectional survey. In iii examining the capital structure adjustment dynamics, both the regression estimation and survey results revealed the tendency of banks in Ethiopia to set target capital structure and adjust towards it at a relatively faster speed of adjustment. Besides, both regression model estimation and survey results disclose the asymmetrical target capital structure adjustment of banks. To be specific, overleveraged or undercapitalized banks adjust more quickly than underleveraged or overcapitalized banks. Further, the speed of target capital structure adjustment is found to be heterogeneous across banks that differ in their absolute deviations from target capital structure, size, regulatory pressure for capital adequacy and ownership. Hence, by empirically examining the determinants and dynamics of capital structure of banks in Ethiopia, the study contributes to the existing body of knowledge on the subject under study, and/or it fills a gap in the existing reference literature on the subject. Most importantly, the study tries to untangle the capital structure issues of banks, especially the dynamics, in the context of the least developed financial system where there are no secondary market and oligopolistic banking sector. / Graduate School of Business Leadership (SBL) / D.B.L.