O processo evolutivo de Basileia: uma análise da estabilidade do sistema financeiro bancário brasileiro em termos de liquidez

• Ano de defesa: 2017
• Autor(a) principal: Bernardo Franco Tormin
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Minas Gerais; UFMG
• Palavras-chave em Português: Vetor autorregressivo com variável exógena (varx); Índice de liquidez do sistema financeiro nacional (ilsfn); Índice de basileia (ib); Acordo de basileia; Administração
• Link de acesso: http://hdl.handle.net/1843/BUOS-AZPP8G

The present research aims to evaluate if the National Financial Systems Liquidity Index (NFSLI) variation follows the Basel Index (BI) to verify if the brazilian financial bank system is consolidated in terms of liquidity given the Basel evolution process. More specific, this research evaluates the financial bank systems liquidity based on the stability financial indicators for these institutions, highlighting the NFSLI and the BI. Both NFSLI and BI present a direct relationship as an indicator for the national financial systems liquidity in accordance with its calculation formula carrying also the effects of the Basel evolution process. In this sense, this research propose an Vector Autoregressive with Exogenous Variables (VARX) model to describes the interrelationship among the variation of the financial stability indicators to the brazilian banks considered as the endogenous variables and it is also considered market exogenous variables associated with the banks financial situation.The VARX model was adjusted to fit the data in which only the Basel Accord II (BII) guidelines were considered and another VARX model was adjusted to fit the data in which was considered the BII effects and its transition to the Basel III (BIII). Therefore, this research found that the variations on BI Granger-cause variations on the NFSLI for both models, however the opposite case it is not verified also in both models. According to the results from the impulse-response function (IRF), it is shown that for both adjusted models was identified significant responses for BI given a shock in the NFSLI variation and vice-verse. In analysis of the forecast error variance decomposition (FEVD) , this research points out that only the variation of BI contributed to explain the inovations in NFSLI variation for both models. Therefore, the results indicates that the brazilian banks financial systems liquidity already was consolidated in terms of liquidity on the BII. Consequently, this research questions if the necessity of expanding the minimum capital requirements for the banks institutions is really needed according to the Basel evolution process.