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Previous issue date: 2016-03-29 / This paper adapts the model presented in the article developed by Jacques (2008)
which consists of a theoretical analysis of the impact of changes in the volume of
allocated capital provided by the Basel agreements on volumes of loans, deposits and
risk-free assets. This work appropriates part of the theoretical tools presented by
Jacques and refines it to study how variations in the percentage of the volume of loans
to be secured by equity influence interest rates charged by banks in an oligopolistic
market with differentiated products.
Throughout the study we make an empirical analysis of the Brazilian economy data on
the theoretical model and test it, evaluating specifically if changes in capital allocation
rules affect interest rates charged by the banks.
Indeed, the results obtained from the empirical analysis suggests that capital allocation
rules exert active influence on high-risk public bank interest rates. The empirical
analysis suggests that banks reprice interest rates when the publication of regulatory
changes happens. / O presente trabalho apresenta uma evolu????o de um artigo desenvolvido por Jacques
(2008) que consiste numa an??lise te??rica do impacto de varia????es no volume de
capital alocado, previsto pelos acordos de Basileia, sobre os volumes de empr??stimos,
dep??sitos e aplica????es em ativos livres de risco. Essa disserta????o apropria-se de parte
do ferramental te??rico apresentado por Jacques e desenvolve um modelo que o
aprimora, para estudar de que forma varia????es no percentual do volume de
empr??stimos a ser garantido por capital pr??prio influenciam as taxas de juros cobradas
pelos bancos, em um mercado oligopol??stico com competi????o de produtos
diferenciados.
Ao longo do estudo efetua-se uma an??lise emp??rica de dados da economia brasileira
a partir do modelo te??rico e testa-se, em especial, se mudan??as nas regras de
aloca????o de capital influenciam as taxas de juros cobradas pelos bancos.
Com efeito, os resultados obtidos a partir da an??lise emp??rica sugerem que normas
de aloca????o de capital exercem influ??ncia ativa sobre taxas de juros de alto risco de
bancos p??blicos. A an??lise emp??rica sugere ainda que os bancos reprecificam suas
taxas de juros quando da publica????o de mudan??as normativas.
| Identifer | oai:union.ndltd.org:IBICT/oai:bdtd.ucb.br:tede/2152 |
| Date | 29 March 2016 |
| Creators | Campos, Guilherme Oliveira |
| Contributors | Maldonado, Wilfredo Fernando Leiva |
| Publisher | Universidade Cat??lica de Bras??lia, Programa Strictu Sensu em Economia de Empresas, UCB, Brasil, Escola de Gest??o e Neg??cios |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Format | application/pdf |
| Source | reponame:Biblioteca Digital de Teses e Dissertações da UCB, instname:Universidade Católica de Brasília, instacron:UCB |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | -1139962560771343510, 500, 500, 600, -1917891883403718704, -2504903392600098822 |
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