Um estudo sobre o mercado interbancário no Brasil e a gestão de ativos e passivos

• Ano de defesa: 2018
• Autor(a) principal: Farias, Francisco Helano de Oliveira
• Orientador(a): Silva Filho, Osvaldo Candido da
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Católica de Brasília
• Programa de Pós-Graduação: Programa Stricto Sensu em Economia de Empresas
• Departamento: Escola de Gestão e Negócios
• País: Brasil
• Palavras-chave em Português: Liquidez; Eficiência; Mercado interbancário
• Palavras-chave em Inglês: Interbank Market; Efficiency; Liquidity
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
• Resumo em Inglês: This work comprises two studies in finance. In the first, we use a theoretical model that considers liquidity transfers carried out between banks in the interbank market, through loans or asset sales, given a competitive scenario. In this context, the role of the Central Bank as supervisor and lender of last resort is inserted, since banks with more liquidity can exercise market power, making banks less liquid to capture resources at higher rates or even have to sell their assets. Due to data constraints for empirical application of the model, we use stylized facts from historical evidence that suggest the validity of the model assumptions. Thus, we conclude that the performance of the Central Bank as supervisor and lender of last resort, minimizes the effects of banks' market power by providing liquidity to the system. In the second, we evaluate the management of banks' assets and liabilities with a differentiated approach. Using Merton's model (1974) and a copula-based methodology, we obtained the probability distribution of the differences between the assets and liabilities of the banks. As the focus of the study, we worked with quarterly balance sheet data from the agencies of the four largest banks in the country, concentrated in capitals. The results demonstrate differences in the pattern of resource management, in which certain categories of banks have greater stability and availability of liquidity over time.
• Link de acesso: https://bdtd.ucb.br:8443/jspui/handle/tede/2540

This work comprises two studies in finance. In the first, we use a theoretical model that considers liquidity transfers carried out between banks in the interbank market, through loans or asset sales, given a competitive scenario. In this context, the role of the Central Bank as supervisor and lender of last resort is inserted, since banks with more liquidity can exercise market power, making banks less liquid to capture resources at higher rates or even have to sell their assets. Due to data constraints for empirical application of the model, we use stylized facts from historical evidence that suggest the validity of the model assumptions. Thus, we conclude that the performance of the Central Bank as supervisor and lender of last resort, minimizes the effects of banks' market power by providing liquidity to the system. In the second, we evaluate the management of banks' assets and liabilities with a differentiated approach. Using Merton's model (1974) and a copula-based methodology, we obtained the probability distribution of the differences between the assets and liabilities of the banks. As the focus of the study, we worked with quarterly balance sheet data from the agencies of the four largest banks in the country, concentrated in capitals. The results demonstrate differences in the pattern of resource management, in which certain categories of banks have greater stability and availability of liquidity over time.