A interação entre a dinâmica macroeconômica e os bancos: uma perspectiva acerca do risco de crédito

• Ano de defesa: 2007
• Autor(a) principal: Souza, Gustavo José de Guimarães e
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Programa de Pós-graduação em Economia; Economia
• Palavras-chave em Português: Risco de Crédito; Bancos; Macroeconomia; Spread; Credit Risk; Banks; Macroeconomic; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
• Link de acesso: https://app.uff.br/riuff/handle/1/17716

The credit in Brazil is characterized by its excessive cost and limited supply. The main reason is the high default risk embedded in the spread. This paper analyzes how macroeconomic factors influence the credit portfolio risk in the Brazilian financial system. This paper concludes that the level of the economic activity and the basic interest rates are factors with great influence on the default risk. Additionally, this paper also analyses the reaction of the financial sector to conjuncture risks, suggesting a new approach to the credit risk. The assumption that the risks of banks portfolios are a result of an interactive process among the banks and the economic environment is confirmed for the period of March, 2000 to July, 2006. The results also point to differences in the behavior of private and public banks.