Analysis of the impact of the classification of the market risk brazilian credit

Bibliographic Details
Main Author: JoÃo Henrique Lemos Costa
Publication Date: 2009
Format: Master thesis
Language: por
Source: Biblioteca Digital de Teses e Dissertações da UFC
Download full: http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=3286
Summary: In this article, we analyze the rating impact on credit volume and the long-run equilibrium relationship between Gross Domestic Product (GDP), deposits and credit for the most relevant player in Brazilian financial system, under the monetary structural framework developed by Bernanke and Blinder (1988), which models the credit supply as a function of some idiosyncratic and macroeconomic key-variables. The results obtained from linear regressions and from an error-correction Engle and Ganger (1987) approach enables us to evidence the credit channel relevance as a monetary policy transmission instrument, emphasizing the relevance in observing the bank assets rubric. Based on the well-succeed benchmark model performance, we are able to measure the positive and significant impact of the investment grade, according to MoodyÂs agency, while intermediary rating changes do not seem to be so relevant. We also have evidences about the insignificant impact of interest rate changes on GDP growth rate.
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spelling info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisAnalysis of the impact of the classification of the market risk brazilian credit AnÃlise do impacto da classificaÃÃo de risco no mercado de crÃdito brasileiro2009-00-00Paulo RogÃrio Faustino Matos00000000084http://lattes.cnpq.br/0288522400109962FabrÃcio Carneiro Linhares45504849349http://lattes.cnpq.br/8577355400988841Andrei Gomes Simonassi00000060068http://lattes.cnpq.br/8542940399953204 00000060078JoÃo Henrique Lemos CostaUniversidade Federal do CearÃPrograma de PÃs-GraduaÃÃo em Economia - CAENUFCBRCIENCIAS SOCIAIS APLICADASIn this article, we analyze the rating impact on credit volume and the long-run equilibrium relationship between Gross Domestic Product (GDP), deposits and credit for the most relevant player in Brazilian financial system, under the monetary structural framework developed by Bernanke and Blinder (1988), which models the credit supply as a function of some idiosyncratic and macroeconomic key-variables. The results obtained from linear regressions and from an error-correction Engle and Ganger (1987) approach enables us to evidence the credit channel relevance as a monetary policy transmission instrument, emphasizing the relevance in observing the bank assets rubric. Based on the well-succeed benchmark model performance, we are able to measure the positive and significant impact of the investment grade, according to MoodyÂs agency, while intermediary rating changes do not seem to be so relevant. We also have evidences about the insignificant impact of interest rate changes on GDP growth rate.Este artigo analisa o impacto das classificaÃÃes de risco no volume de crÃdito e as relaÃÃes de longo prazo entre Produto Interno Bruto (PIB), depÃsitos e crÃdito para o mais relevante agente no mercado financeiro brasileiro, sob um arcabouÃo monetÃrio estrutural desenvolvido por Bernanke e Blinder (1988), o qual modela a oferta de crÃdito como uma funÃÃo de variÃveis idiossincrÃticas e macroeconÃmicas. Os resultados obtidos via RegressÃes Lineares e atravÃs do MÃtodo de CorreÃÃo de Erros a la Engle e Ganger (1987) permitem evidenciar a relevÃncia do canal de crÃdito como instrumento de transmissÃo da polÃtica monetÃria, enfatizando a importÃncia de se acompanhar as rubricas bancÃrias. Baseado na bem sucedida performance do modelo benchmark, Ã possÃvel mensurar o efeito significativamente positivo da obtenÃÃo do grau de investimento de acordo com a agÃncia MoodyÂs no crÃdito, enquanto mudanÃas intermediÃrias na avaliaÃÃo de risco nÃo parecem ser tÃo relevantes. HÃ tambÃm evidÃncias do efeito insignificante dos juros no crescimento do PIB.nÃo hÃhttp://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=3286application/pdfinfo:eu-repo/semantics/openAccessporreponame:Biblioteca Digital de Teses e Dissertações da UFCinstname:Universidade Federal do Cearáinstacron:UFC2019-01-21T11:16:27Zmail@mail.com -
dc.title.en.fl_str_mv Analysis of the impact of the classification of the market risk brazilian credit
dc.title.alternative.pt.fl_str_mv AnÃlise do impacto da classificaÃÃo de risco no mercado de crÃdito brasileiro
title Analysis of the impact of the classification of the market risk brazilian credit
spellingShingle Analysis of the impact of the classification of the market risk brazilian credit
JoÃo Henrique Lemos Costa
CIENCIAS SOCIAIS APLICADAS
title_short Analysis of the impact of the classification of the market risk brazilian credit
title_full Analysis of the impact of the classification of the market risk brazilian credit
title_fullStr Analysis of the impact of the classification of the market risk brazilian credit
title_full_unstemmed Analysis of the impact of the classification of the market risk brazilian credit
title_sort Analysis of the impact of the classification of the market risk brazilian credit
author JoÃo Henrique Lemos Costa
author_facet JoÃo Henrique Lemos Costa
author_role author
dc.contributor.advisor1.fl_str_mv Paulo RogÃrio Faustino Matos
dc.contributor.advisor1ID.fl_str_mv 00000000084
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/0288522400109962
dc.contributor.referee1.fl_str_mv FabrÃcio Carneiro Linhares
dc.contributor.referee1ID.fl_str_mv 45504849349
dc.contributor.referee1Lattes.fl_str_mv http://lattes.cnpq.br/8577355400988841
dc.contributor.referee2.fl_str_mv Andrei Gomes Simonassi
dc.contributor.referee2ID.fl_str_mv 00000060068
dc.contributor.referee2Lattes.fl_str_mv http://lattes.cnpq.br/8542940399953204
dc.contributor.authorID.fl_str_mv 00000060078
dc.contributor.author.fl_str_mv JoÃo Henrique Lemos Costa
contributor_str_mv Paulo RogÃrio Faustino Matos
FabrÃcio Carneiro Linhares
Andrei Gomes Simonassi
dc.subject.cnpq.fl_str_mv CIENCIAS SOCIAIS APLICADAS
topic CIENCIAS SOCIAIS APLICADAS
dc.description.sponsorship.fl_txt_mv nÃo hÃ
dc.description.abstract.por.fl_txt_mv In this article, we analyze the rating impact on credit volume and the long-run equilibrium relationship between Gross Domestic Product (GDP), deposits and credit for the most relevant player in Brazilian financial system, under the monetary structural framework developed by Bernanke and Blinder (1988), which models the credit supply as a function of some idiosyncratic and macroeconomic key-variables. The results obtained from linear regressions and from an error-correction Engle and Ganger (1987) approach enables us to evidence the credit channel relevance as a monetary policy transmission instrument, emphasizing the relevance in observing the bank assets rubric. Based on the well-succeed benchmark model performance, we are able to measure the positive and significant impact of the investment grade, according to MoodyÂs agency, while intermediary rating changes do not seem to be so relevant. We also have evidences about the insignificant impact of interest rate changes on GDP growth rate.
Este artigo analisa o impacto das classificaÃÃes de risco no volume de crÃdito e as relaÃÃes de longo prazo entre Produto Interno Bruto (PIB), depÃsitos e crÃdito para o mais relevante agente no mercado financeiro brasileiro, sob um arcabouÃo monetÃrio estrutural desenvolvido por Bernanke e Blinder (1988), o qual modela a oferta de crÃdito como uma funÃÃo de variÃveis idiossincrÃticas e macroeconÃmicas. Os resultados obtidos via RegressÃes Lineares e atravÃs do MÃtodo de CorreÃÃo de Erros a la Engle e Ganger (1987) permitem evidenciar a relevÃncia do canal de crÃdito como instrumento de transmissÃo da polÃtica monetÃria, enfatizando a importÃncia de se acompanhar as rubricas bancÃrias. Baseado na bem sucedida performance do modelo benchmark, Ã possÃvel mensurar o efeito significativamente positivo da obtenÃÃo do grau de investimento de acordo com a agÃncia MoodyÂs no crÃdito, enquanto mudanÃas intermediÃrias na avaliaÃÃo de risco nÃo parecem ser tÃo relevantes. HÃ tambÃm evidÃncias do efeito insignificante dos juros no crescimento do PIB.
description In this article, we analyze the rating impact on credit volume and the long-run equilibrium relationship between Gross Domestic Product (GDP), deposits and credit for the most relevant player in Brazilian financial system, under the monetary structural framework developed by Bernanke and Blinder (1988), which models the credit supply as a function of some idiosyncratic and macroeconomic key-variables. The results obtained from linear regressions and from an error-correction Engle and Ganger (1987) approach enables us to evidence the credit channel relevance as a monetary policy transmission instrument, emphasizing the relevance in observing the bank assets rubric. Based on the well-succeed benchmark model performance, we are able to measure the positive and significant impact of the investment grade, according to MoodyÂs agency, while intermediary rating changes do not seem to be so relevant. We also have evidences about the insignificant impact of interest rate changes on GDP growth rate.
publishDate 2009
dc.date.issued.fl_str_mv 2009-00-00
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
status_str publishedVersion
format masterThesis
dc.identifier.uri.fl_str_mv http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=3286
url http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=3286
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal do CearÃ
dc.publisher.program.fl_str_mv Programa de PÃs-GraduaÃÃo em Economia - CAEN
dc.publisher.initials.fl_str_mv UFC
dc.publisher.country.fl_str_mv BR
publisher.none.fl_str_mv Universidade Federal do CearÃ
dc.source.none.fl_str_mv reponame:Biblioteca Digital de Teses e Dissertações da UFC
instname:Universidade Federal do Ceará
instacron:UFC
reponame_str Biblioteca Digital de Teses e Dissertações da UFC
collection Biblioteca Digital de Teses e Dissertações da UFC
instname_str Universidade Federal do Ceará
instacron_str UFC
institution UFC
repository.name.fl_str_mv -
repository.mail.fl_str_mv mail@mail.com
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