Estrutura de mercado da indústria bancária e apetite ao risco no Brasil: uma análise dos anos 2001 e 2013

• Ano de defesa: 2014
• Autor(a) principal: Ferreira, Caio Henri Guitton Tavares
• Orientador(a): Carvalho, Laura Barbosa de
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Bancos brasileiros; Estrutura de mercado; Risco bancário; Panzar e Rosse; Competição; Concentração; NPL; Z-Score; Estatística-H; Fragilidade financeira
• Palavras-chave em Inglês: Brazilian banks; Market structure; Bank risk
• Link de acesso: http://hdl.handle.net/10438/12006

This present study examined the extent to which the market structure of the Brazilian banking industry - at levels of concentration and competition - affects the risk appetite of its agents. Thus, we examined the relationship between concentration indicators (C3 and HHI), competition (H-statistic) and risk (NPL, Z-score) for the period comprehended between 2001 and 2013. The relationship between non-performing loans (NPL), concentration and competition was empirically tested using panel data models. The results indicates that bank concentration has a significant impact on the NPL, suggesting that more concentrated systems are more fragile. On the other hand, the results for competition and NPL indicates that a more competitive environment may generate a more stable financial system.