Impacto de fatores macroeconômicos e da solvência sobre a eficiência bancária dos principais bancos brasileiros

• Ano de defesa: 2020
• Autor(a) principal: Rua, Luis Felipe Gazquez
• Orientador(a): Colombo, Jéfferson Augusto
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Eficiência bancária brasileira; Análise de fronteira estocástica (SFA); Modelo Autorregressivo Vetorial (VAR); Análise Estrutural VAR
• Palavras-chave em Inglês: Brazilian banking efficiency; Stochastic frontier analysis (SFA); Vector autoregression model (VAR); Structural Analysis VAR.
• Link de acesso: https://hdl.handle.net/10438/29867

The literature on banking efficiency has grown a lot in recent years. In Brazil, due to the changes in the macro and microeconomic scenario, which made the environment more competitive and dynamic, this was no different. In this scenario, this study aims to estimate the partial impact of shocks on macroeconomic variables (representing future expectations, country risk measure, economic activity and inflation) and microeconomic variables (bank-specific, representing solvency) on the banking efficiency of the main financial institutions in Brazil, from the first quarter of 2009 to the fourth quarter of 2019. Efficiency scores are estimated through the stochastic frontier analysis (SFA), and the analysis of their interrelation with the other variables is done through the application of Vector Autoregression Models (VAR), followed by their structural analysis. In general, the results contribute to the literature, highlighting that each financial institution is its own and that there is no convergence between the samples analyzed for the highlighted period.