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Previous issue date: 2017-03-09 / This paper investigates evidences of moral hazard in small and medium-sized Brazilian banks (SMB) that issued Time Deposits with Special Deposit Guarantee (DPGE), this product was created in 2008 Crisis, addressed to wholesale or institutional investors, and coverage by deposit insurance from Credit Guarantee Fund (FGC).
For this purpose, we will use a differences-in-differences estimator (DID), comparing the results between DPGE issuers (treatment group) and DPGE nonissuers (control group) considering two banking risk measures (NPL and Basel Index)
Data Collection comprehends information between June 2007 and December 2015 grouped in a panel data with significant events in the Brazilian banking market such as impact of global crisis of 2007-2008, the domestic securitization crisis and idiosyncratic events with potential contagion.
Our evidence does not suggest the occurrence of moral hazard associated with the set of banks that emit DPGE. The result is in line with recent literature findings suggesting that there is not necessarily increased risk-taking by banks with the introduction of deposit insurance guarantees, provided that it is supported by an adequate design of the deposit insurance scheme by policymakers. / Este estudo investiga a evid??ncia de risco moral nos bancos brasileiros de porte pequeno e m??dio (BPM) que captaram recursos em Dep??sitos a Prazo com Garantia Especial (DPGE). O produto foi criado durante a crise global de liquidez de 2007/2008, direcionado ao investidor de atacado ou institucional, com cobertura por seguro-dep??sito at?? R$ 20 Milh??es do Fundo Garantidor de Cr??dito (FGC).
Para tal, utilizaremos uma estima????o pelo m??todo de diferen??as em diferen??as (DD), com a compara????o dos resultados entre as institui????es emissoras de DPGE (grupo de tratamento) e n??o emissoras de DPGE (grupo de controle) considerando duas medidas de risco banc??rias (NPL e ??ndice de Basil??ia).
O per??odo compreende informa????es semestrais compreendidas entre junho de 2007 e dezembro de 2015 agrupadas em painel de dados, com captura de eventos significativos no mercado banc??rio brasileiro como o impacto da crise global de 2007/2008, crise do mercado de cess??o dom??stico e eventos idiossincr??ticos com potencial de cont??gio.
Os resultados encontrados n??o permitiram validar a evidencia de risco moral associado ao grupo de bancos emissores de DPGE.O resultado est?? em linha com achados recentes descobertas da literatura sugerindo que n??o h?? necessariamente aumento da tomada de risco pelos bancos com a introdu????o de garantias de seguro- dep??sito.
| Identifer | oai:union.ndltd.org:IBICT/oai:bdtd.ucb.br:tede/2150 |
| Date | 09 March 2017 |
| Creators | Androvandi, Gilberto Hanssen |
| Contributors | Gutierrez, Carlos Enrique Carrasco |
| 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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