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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.
| Identifer | oai:union.ndltd.org:IBICT/oai:bdtd.ucb.br:tede/2057 |
| Date | 01 June 2016 |
| Creators | Vinhado, Fernando da Silva |
| 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 | Unknown |
| 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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