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Previous issue date: 2016-06-01 / Banking credit plays a key role for the economic development and, therefore, it is important to
understand its dynamics and its actuation for the transmission of the monetary policy. Thus,
this thesis consists of two studies that aim to understand the micro and macroeconomic behavior
of bank credit, investigating the main determinants of bank credit as well as the interaction of
the banking sector with other sectors of the economy. The microeconomic analysis aims to
identify the major determinants of banking credit in the Brazilian economy, considering the
influence of specific characteristics of the financial institutions and monetary policy in the
period 2001 to 2012. This paper contributes with the literature by showing that there was no
relevant impact from the macroeconomic environment on the credit supply in the analyzed
period. The government has adopted a countercyclical credit policy mismatched from
prevailing macroeconomic conditions. In turn, the macroeconomic analysis investigates the
effects of credit risk for the financial intermediation and how this risk is transmitted to other
agents in the economy. The DSGE model with financial frictions of Gertler and Karadi (2011)
was modified to incorporate the risk of default given by the probability of non-payment of loans
granted by the bank. This study contributes to the literature by deriving the probability of default
of firms endogenously in the model, unlike most of the studies that assume it as exogenous.
Moreover, as the model assumes two different interest rates for the two kinds of borrowers
("good" and "bad" payers), it allows the analysis of the impacts of the borrowers??? quality on the
overall interest rate on loans. As a result, we identified a countercyclical default rate, which
compensates the bank for the lost with ???bad??? payers. / O cr??dito banc??rio possui um papel fundamental para o desenvolvimento econ??mico de
um pa??s e, por isso, ?? muito importante compreender sua din??mica e sua atua????o na transmiss??o
da pol??tica monet??ria. Por essa raz??o, esta tese ?? formada por dois estudos que visam entender
o comportamento do cr??dito banc??rio de forma micro e macroecon??mica, investigando os
principais aspectos que o determinam, bem como a intera????o do setor banc??rio com os demais
setores da economia. A an??lise microecon??mica buscou identificar empiricamente os
determinantes do cr??dito banc??rio no Brasil, sob a ??tica da oferta, de modo a averiguar o efeito
das estrat??gias dos bancos e evidenciar o impacto da pol??tica monet??ria sobre a oferta de cr??dito
no per??odo de 2001 a 2012. Esse estudo constatou que n??o houve impacto do ambiente
econ??mico sobre a oferta de cr??dito no per??odo analisado, dado que o governo adotou uma
pol??tica credit??cia antic??clica descasada das condi????es macroecon??micas vigentes. Por outro
lado, a an??lise macroecon??mica buscou investigar os efeitos do risco de cr??dito na
intermedia????o financeira e como esses efeitos s??o repassados aos demais agentes da economia.
Para tanto, utilizou-se o modelo DSGE com fric????es financeiras de Gertler e Karadi (2011),
que foi modificado de modo a incorporar o risco de default dado pela probabilidade de n??o
pagamento dos empr??stimos concedidos pelo banco. Esse estudo contribui com a literatura ao
derivar a probabilidade de default das firmas endogenamente ao modelo, diferente de grande
parte dos artigos que a tratam como uma medida ex??gena. Ademais, ao trazer duas taxas de
juros distintas para diferentes tomadores de cr??dito, os ???bons??? e os ???maus??? pagadores, o modelo
permite a an??lise de como a qualidade dos mutu??rios impacta na taxa de juros global dos
empr??stimos. Como resultado, encontra-se uma taxa de default antic??clica, que funciona como
uma compensa????o para o banco pelas perdas com os ???maus??? pagadores.
| Identifer | oai:union.ndltd.org:IBICT/oai:bdtd.ucb.br:tede/2061 |
| Date | 01 June 2016 |
| Creators | Almeida, Fernanda Dantas |
| Contributors | Divino, Jos?? Angelo |
| 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/doctoralThesis |
| 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, -3429419691752109715, -6229967295450475769 |
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