Dep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileiros

Detalhes bibliográficos
Ano de defesa: 2017
Autor(a) principal: Androvandi, Gilberto Hanssen lattes
Orientador(a): Gutierrez, Carlos Enrique Carrasco lattes
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Universidade Cat??lica de Bras??lia
Programa de Pós-Graduação: Programa Strictu Sensu em Economia de Empresas
Departamento: Escola de Gest??o e Neg??cios
País: Brasil
Palavras-chave em Português:
Bancos - Brasil
Risco moral
Dep??sito
Área do conhecimento CNPq:
CIENCIAS SOCIAIS APLICADAS::ECONOMIA
Resumo em Inglês: This paper investigates evidences of moral hazard in small and medium-sized Brazilian banks (SMB) that issued Time Deposits with Special Deposit Guarantee (DPGE), this product was created in 2008 Crisis, addressed to wholesale or institutional investors, and coverage by deposit insurance from Credit Guarantee Fund (FGC). For this purpose, we will use a differences-in-differences estimator (DID), comparing the results between DPGE issuers (treatment group) and DPGE nonissuers (control group) considering two banking risk measures (NPL and Basel Index) Data Collection comprehends information between June 2007 and December 2015 grouped in a panel data with significant events in the Brazilian banking market such as impact of global crisis of 2007-2008, the domestic securitization crisis and idiosyncratic events with potential contagion. Our evidence does not suggest the occurrence of moral hazard associated with the set of banks that emit DPGE. The result is in line with recent literature findings suggesting that there is not necessarily increased risk-taking by banks with the introduction of deposit insurance guarantees, provided that it is supported by an adequate design of the deposit insurance scheme by policymakers.
Link de acesso: https://bdtd.ucb.br:8443/jspui/handle/tede/2150
Resumo: This paper investigates evidences of moral hazard in small and medium-sized Brazilian banks (SMB) that issued Time Deposits with Special Deposit Guarantee (DPGE), this product was created in 2008 Crisis, addressed to wholesale or institutional investors, and coverage by deposit insurance from Credit Guarantee Fund (FGC). For this purpose, we will use a differences-in-differences estimator (DID), comparing the results between DPGE issuers (treatment group) and DPGE nonissuers (control group) considering two banking risk measures (NPL and Basel Index) Data Collection comprehends information between June 2007 and December 2015 grouped in a panel data with significant events in the Brazilian banking market such as impact of global crisis of 2007-2008, the domestic securitization crisis and idiosyncratic events with potential contagion. Our evidence does not suggest the occurrence of moral hazard associated with the set of banks that emit DPGE. The result is in line with recent literature findings suggesting that there is not necessarily increased risk-taking by banks with the introduction of deposit insurance guarantees, provided that it is supported by an adequate design of the deposit insurance scheme by policymakers.
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spelling Gutierrez, Carlos Enrique Carrascohttp://lattes.cnpq.br/0881893862643600http://lattes.cnpq.br/3417915654862461Androvandi, Gilberto Hanssen2017-06-13T13:02:53Z2017-03-09ANDROVANDI, Gilberto Hanssen. Dep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileiros. 2017. 76 f. Disserta????o (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2017.https://bdtd.ucb.br:8443/jspui/handle/tede/2150This paper investigates evidences of moral hazard in small and medium-sized Brazilian banks (SMB) that issued Time Deposits with Special Deposit Guarantee (DPGE), this product was created in 2008 Crisis, addressed to wholesale or institutional investors, and coverage by deposit insurance from Credit Guarantee Fund (FGC). For this purpose, we will use a differences-in-differences estimator (DID), comparing the results between DPGE issuers (treatment group) and DPGE nonissuers (control group) considering two banking risk measures (NPL and Basel Index) Data Collection comprehends information between June 2007 and December 2015 grouped in a panel data with significant events in the Brazilian banking market such as impact of global crisis of 2007-2008, the domestic securitization crisis and idiosyncratic events with potential contagion. Our evidence does not suggest the occurrence of moral hazard associated with the set of banks that emit DPGE. The result is in line with recent literature findings suggesting that there is not necessarily increased risk-taking by banks with the introduction of deposit insurance guarantees, provided that it is supported by an adequate design of the deposit insurance scheme by policymakers.Este estudo investiga a evid??ncia de risco moral nos bancos brasileiros de porte pequeno e m??dio (BPM) que captaram recursos em Dep??sitos a Prazo com Garantia Especial (DPGE). O produto foi criado durante a crise global de liquidez de 2007/2008, direcionado ao investidor de atacado ou institucional, com cobertura por seguro-dep??sito at?? R$ 20 Milh??es do Fundo Garantidor de Cr??dito (FGC). Para tal, utilizaremos uma estima????o pelo m??todo de diferen??as em diferen??as (DD), com a compara????o dos resultados entre as institui????es emissoras de DPGE (grupo de tratamento) e n??o emissoras de DPGE (grupo de controle) considerando duas medidas de risco banc??rias (NPL e ??ndice de Basil??ia). O per??odo compreende informa????es semestrais compreendidas entre junho de 2007 e dezembro de 2015 agrupadas em painel de dados, com captura de eventos significativos no mercado banc??rio brasileiro como o impacto da crise global de 2007/2008, crise do mercado de cess??o dom??stico e eventos idiossincr??ticos com potencial de cont??gio. Os resultados encontrados n??o permitiram validar a evidencia de risco moral associado ao grupo de bancos emissores de DPGE.O resultado est?? em linha com achados recentes descobertas da literatura sugerindo que n??o h?? necessariamente aumento da tomada de risco pelos bancos com a introdu????o de garantias de seguro- dep??sito.Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-06-13T13:02:39Z No. of bitstreams: 1 GilbertoHanssenAndrovandiDissertacao2017.pdf: 1917004 bytes, checksum: 702e3ab7456ce3dd676c377dd4288b5c (MD5)Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-06-13T13:02:53Z (GMT) No. of bitstreams: 1 GilbertoHanssenAndrovandiDissertacao2017.pdf: 1917004 bytes, checksum: 702e3ab7456ce3dd676c377dd4288b5c (MD5)Made available in DSpace on 2017-06-13T13:02:53Z (GMT). No. of bitstreams: 1 GilbertoHanssenAndrovandiDissertacao2017.pdf: 1917004 bytes, checksum: 702e3ab7456ce3dd676c377dd4288b5c (MD5) Previous issue date: 2017-03-09application/pdfhttps://bdtd.ucb.br:8443/jspui/retrieve/4666/GilbertoHanssenAndrovandiDissertacao2017.pdf.jpgporUniversidade Cat??lica de Bras??liaPrograma Strictu Sensu em Economia de EmpresasUCBBrasilEscola de Gest??o e Neg??ciosBancos - BrasilRisco moralDep??sitoCIENCIAS SOCIAIS APLICADAS::ECONOMIADep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileirosinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis-1139962560771343510500500600-1917891883403718704-2504903392600098822info:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UCBinstname:Universidade Católica de Brasíliainstacron:UCBTHUMBNAILGilbertoHanssenAndrovandiDissertacao2017.pdf.jpgGilbertoHanssenAndrovandiDissertacao2017.pdf.jpgimage/jpeg3571https://bdtd.ucb.br:8443/jspui/bitstream/tede/2150/3/GilbertoHanssenAndrovandiDissertacao2017.pdf.jpg4946bdfde924304e28b16dba9faf2c12MD53ORIGINALGilbertoHanssenAndrovandiDissertacao2017.pdfGilbertoHanssenAndrovandiDissertacao2017.pdfapplication/pdf1917004https://bdtd.ucb.br:8443/jspui/bitstream/tede/2150/2/GilbertoHanssenAndrovandiDissertacao2017.pdf702e3ab7456ce3dd676c377dd4288b5cMD52LICENSElicense.txtlicense.txttext/plain; charset=utf-82048https://bdtd.ucb.br:8443/jspui/bitstream/tede/2150/1/license.txt76cd1e6bdecb11e4b12c81d5fe0f87b3MD51tede/2150oai:bdtd.ucb.br:tede/21502017-06-14 01:03:06.811Biblioteca Digital de Disserta????es da Universidade Cat??lica de Bras??lia - UCBsdi@ucb.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
dc.title.por.fl_str_mv Dep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileiros
title Dep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileiros
spellingShingle Dep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileiros
Androvandi, Gilberto Hanssen
Bancos - Brasil
Risco moral
Dep??sito
CIENCIAS SOCIAIS APLICADAS::ECONOMIA
title_short Dep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileiros
title_full Dep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileiros
title_fullStr Dep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileiros
title_full_unstemmed Dep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileiros
title_sort Dep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileiros
author Androvandi, Gilberto Hanssen
author_facet Androvandi, Gilberto Hanssen
author_role author
dc.contributor.advisor1.fl_str_mv Gutierrez, Carlos Enrique Carrasco
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/0881893862643600
dc.contributor.authorLattes.fl_str_mv http://lattes.cnpq.br/3417915654862461
dc.contributor.author.fl_str_mv Androvandi, Gilberto Hanssen
contributor_str_mv Gutierrez, Carlos Enrique Carrasco
dc.subject.por.fl_str_mv Bancos - Brasil
Risco moral
Dep??sito
topic Bancos - Brasil
Risco moral
Dep??sito
CIENCIAS SOCIAIS APLICADAS::ECONOMIA
dc.subject.cnpq.fl_str_mv CIENCIAS SOCIAIS APLICADAS::ECONOMIA
dc.description.abstract.eng.fl_txt_mv This paper investigates evidences of moral hazard in small and medium-sized Brazilian banks (SMB) that issued Time Deposits with Special Deposit Guarantee (DPGE), this product was created in 2008 Crisis, addressed to wholesale or institutional investors, and coverage by deposit insurance from Credit Guarantee Fund (FGC). For this purpose, we will use a differences-in-differences estimator (DID), comparing the results between DPGE issuers (treatment group) and DPGE nonissuers (control group) considering two banking risk measures (NPL and Basel Index) Data Collection comprehends information between June 2007 and December 2015 grouped in a panel data with significant events in the Brazilian banking market such as impact of global crisis of 2007-2008, the domestic securitization crisis and idiosyncratic events with potential contagion. Our evidence does not suggest the occurrence of moral hazard associated with the set of banks that emit DPGE. The result is in line with recent literature findings suggesting that there is not necessarily increased risk-taking by banks with the introduction of deposit insurance guarantees, provided that it is supported by an adequate design of the deposit insurance scheme by policymakers.
dc.description.abstract.por.fl_txt_mv Este estudo investiga a evid??ncia de risco moral nos bancos brasileiros de porte pequeno e m??dio (BPM) que captaram recursos em Dep??sitos a Prazo com Garantia Especial (DPGE). O produto foi criado durante a crise global de liquidez de 2007/2008, direcionado ao investidor de atacado ou institucional, com cobertura por seguro-dep??sito at?? R$ 20 Milh??es do Fundo Garantidor de Cr??dito (FGC). Para tal, utilizaremos uma estima????o pelo m??todo de diferen??as em diferen??as (DD), com a compara????o dos resultados entre as institui????es emissoras de DPGE (grupo de tratamento) e n??o emissoras de DPGE (grupo de controle) considerando duas medidas de risco banc??rias (NPL e ??ndice de Basil??ia). O per??odo compreende informa????es semestrais compreendidas entre junho de 2007 e dezembro de 2015 agrupadas em painel de dados, com captura de eventos significativos no mercado banc??rio brasileiro como o impacto da crise global de 2007/2008, crise do mercado de cess??o dom??stico e eventos idiossincr??ticos com potencial de cont??gio. Os resultados encontrados n??o permitiram validar a evidencia de risco moral associado ao grupo de bancos emissores de DPGE.O resultado est?? em linha com achados recentes descobertas da literatura sugerindo que n??o h?? necessariamente aumento da tomada de risco pelos bancos com a introdu????o de garantias de seguro- dep??sito.
description This paper investigates evidences of moral hazard in small and medium-sized Brazilian banks (SMB) that issued Time Deposits with Special Deposit Guarantee (DPGE), this product was created in 2008 Crisis, addressed to wholesale or institutional investors, and coverage by deposit insurance from Credit Guarantee Fund (FGC). For this purpose, we will use a differences-in-differences estimator (DID), comparing the results between DPGE issuers (treatment group) and DPGE nonissuers (control group) considering two banking risk measures (NPL and Basel Index) Data Collection comprehends information between June 2007 and December 2015 grouped in a panel data with significant events in the Brazilian banking market such as impact of global crisis of 2007-2008, the domestic securitization crisis and idiosyncratic events with potential contagion. Our evidence does not suggest the occurrence of moral hazard associated with the set of banks that emit DPGE. The result is in line with recent literature findings suggesting that there is not necessarily increased risk-taking by banks with the introduction of deposit insurance guarantees, provided that it is supported by an adequate design of the deposit insurance scheme by policymakers.
publishDate 2017
dc.date.accessioned.fl_str_mv 2017-06-13T13:02:53Z
dc.date.issued.fl_str_mv 2017-03-09
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
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dc.identifier.citation.fl_str_mv ANDROVANDI, Gilberto Hanssen. Dep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileiros. 2017. 76 f. Disserta????o (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2017.
dc.identifier.uri.fl_str_mv https://bdtd.ucb.br:8443/jspui/handle/tede/2150
identifier_str_mv ANDROVANDI, Gilberto Hanssen. Dep??sitos a prazo com garantia especial e o risco moral: evid??ncias nos bancos brasileiros. 2017. 76 f. Disserta????o (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2017.
url https://bdtd.ucb.br:8443/jspui/handle/tede/2150
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language por
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dc.relation.cnpq.fl_str_mv -2504903392600098822
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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dc.publisher.none.fl_str_mv Universidade Cat??lica de Bras??lia
dc.publisher.program.fl_str_mv Programa Strictu Sensu em Economia de Empresas
dc.publisher.initials.fl_str_mv UCB
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Escola de Gest??o e Neg??cios
publisher.none.fl_str_mv Universidade Cat??lica de Bras??lia
dc.source.none.fl_str_mv reponame:Biblioteca Digital de Teses e Dissertações da UCB
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