Indice de basiléia e o custo de captação dos bancos brasileiros: evidências de um VAR painel

• Ano de defesa: 2012
• Autor(a) principal: Neves, Isidio Neto Maia
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Risco - Economia
• Link de acesso: http://www.repositorio.ufc.br/handle/riufc/5863

The Basel Index is considered an regulatory indicator that indicates the level of risk which banks are exposed. The rationale of this measure suggests that a higher index would indicate a financial institution less risky comparatively to another who possessed a lower index. Thus, the banks' cost of funding would be sensitized negatively by the Basel Index (hypothesis that the market perceives the Basel Index as an indicator of the solvency level of banks). On the other hand, considering that there are problems of asymmetric information in credit markets, a rise in funding costs of banks would lead to an increase in interest rates on loans, resulting in an increase in the level of risk of portfolio of assets, which in turn, would result in a negative sensitization of the Basel Index (hypothesis of deficiency in the management of capital). A panel VAR was used to evaluate the presented hypotheses. The empirical results obtained for Brazilian banks suggest the rejection of both hypotheses, indicating that the market perceives a higher rate of basel index, compared to the other, as an indicator of higher risk, and that banks have effectively managed the regulatory capital.