O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro

Detalhes bibliográficos
Ano de defesa: 2015
Autor(a) principal: Carbonari Filho, Antonio lattes
Orientador(a): Forte, Denis lattes
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Universidade Presbiteriana Mackenzie
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
GMM
Palavras-chave em Inglês:
GMM
Área do conhecimento CNPq:
Link de acesso: http://dspace.mackenzie.br/handle/10899/23488
Resumo: Over the past few years, banks have always been present at the epicenter of the biggest financial crises. Adopting policies that reduce the occurrence of banking crises is important to ensure peace and security for its depositors and investors. Thus, policymakers adopted the capital as regulatory measure, which required banks greater control in relation to its risk assets. The capital also plays a fundamental role in the soundness and credibility of banks. Another important aspect of bank capital is its relationship with profitability and risk. With the capital increase, banks become less vulnerable to risk, ultimately reducing the occurrence of problems in a bank. Thus, the impact on profitability is positive in the profitability of banks, as it reduces their cost of funding and improve its perception in the market. Several studies relate capital to risk or profitability. The aim of this study, however, was to simultaneously analyze the impact of capital on profitability and risk in the Brazilian financial system. Four dependent variables of profitability and risk were used, and other explanatory variables such as those specific to banks, a measure of bank concentration and macroeconomic variables were also used. The study was conducted with the 50 largest banks considering the asset volume through a Generalized Method of Moments technique (GMM) between the period 2006-2014. The hypotheses relating the effect of capital on risk and profitability of banks showed positive results. Banks are benefited when they increase their capital with a positive impact on profitability variables. Furthermore, from the moment banks increase their risk, there is an adjustment in the level of capital upwards. Considering the importance of this sector for any economy, the study confirms the ability of Brazilian banks to prove themselves solid and profitable and at the same time taking the capital as an important factor of these achievements.
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spelling http://lattes.cnpq.br/0075062531510292Carbonari Filho, AntonioForte, Denishttp://lattes.cnpq.br/36821176704220522016-03-15T19:26:27Z2020-05-28T18:04:07Z2015-09-282020-05-28T18:04:07Z2015-08-05Over the past few years, banks have always been present at the epicenter of the biggest financial crises. Adopting policies that reduce the occurrence of banking crises is important to ensure peace and security for its depositors and investors. Thus, policymakers adopted the capital as regulatory measure, which required banks greater control in relation to its risk assets. The capital also plays a fundamental role in the soundness and credibility of banks. Another important aspect of bank capital is its relationship with profitability and risk. With the capital increase, banks become less vulnerable to risk, ultimately reducing the occurrence of problems in a bank. Thus, the impact on profitability is positive in the profitability of banks, as it reduces their cost of funding and improve its perception in the market. Several studies relate capital to risk or profitability. The aim of this study, however, was to simultaneously analyze the impact of capital on profitability and risk in the Brazilian financial system. Four dependent variables of profitability and risk were used, and other explanatory variables such as those specific to banks, a measure of bank concentration and macroeconomic variables were also used. The study was conducted with the 50 largest banks considering the asset volume through a Generalized Method of Moments technique (GMM) between the period 2006-2014. The hypotheses relating the effect of capital on risk and profitability of banks showed positive results. Banks are benefited when they increase their capital with a positive impact on profitability variables. Furthermore, from the moment banks increase their risk, there is an adjustment in the level of capital upwards. Considering the importance of this sector for any economy, the study confirms the ability of Brazilian banks to prove themselves solid and profitable and at the same time taking the capital as an important factor of these achievements.Ao longo dos últimos anos, os bancos sempre estiveram presentes no epicentro das maiores crises financeiras. Adotar políticas que reduzam a ocorrência de crises bancárias é importante para garantir tranquilidade e segurança para seus depositantes e investidores. Assim, os formuladores de políticas adotaram o capital como medida regulatória, o que exigiu dos bancos maior controle na relação com seus ativos de riscos. O capital também exerce papel fundamental na solidez e credibilidade dos bancos. Outro importante ponto do capital dos bancos é a sua relação com rentabilidade e risco. Com aumento de capital, os bancos tornamse menos vulneráveis a risco, o que acaba reduzindo a ocorrência de um banco vir a apresentar problemas. Desta forma, o impacto na rentabilidade se mostra positivo nos bancos, pois reduz seus custos de captação e melhora sua percepção junto ao mercado. Vários estudos relacionam capital com o risco ou com a rentabilidade. O objetivo deste trabalho, porém, foi buscar estudar simultaneamente o impacto do capital na rentabilidade e risco no sistema financeiro brasileiro com quatro variáveis dependentes de rentabilidade e de risco. Algumas variáveis explicativas tais como as que são especificas para bancos, uma medida de concentração bancária e variáveis macroeconômicas. O estudo foi realizado com os 50 maiores bancos brasileiros considerando o volume de ativo, por meio de um modelo de método generalizado dos momentos sistêmicos (GMM) entre o período de 2006 a 2014. As hipóteses levantadas relacionando o efeito do capital no risco e com a rentabilidade dos bancos, apresentaram resultados favoráveis. Os bancos são beneficiados quando aumentam seu capital com impacto positivo nas variáveis de rentabilidade. Além disso, a partir do momento em que bancos aumentam seu risco, há um ajuste no nível de capital para cima. Considerando a importância desse setor para qualquer economia, o estudo confirma a capacidade de os bancos brasileiros se mostrarem sólidos e ao mesmo tempo lucrativos, tendo o capital como um importante fator dessas conquistas.application/pdfCARBONARI FILHO, Antonio. O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro. 2015. 101 f. 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dc.title.por.fl_str_mv O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro
title O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro
spellingShingle O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro
Carbonari Filho, Antonio
capital
rentabilidade
risco
GMM
bancos brasileiros
capital
profitability
risk
GMM
brazilian bank
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS
title_short O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro
title_full O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro
title_fullStr O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro
title_full_unstemmed O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro
title_sort O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro
author Carbonari Filho, Antonio
author_facet Carbonari Filho, Antonio
author_role author
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/0075062531510292
dc.contributor.author.fl_str_mv Carbonari Filho, Antonio
dc.contributor.advisor1.fl_str_mv Forte, Denis
dc.contributor.authorLattes.fl_str_mv http://lattes.cnpq.br/3682117670422052
contributor_str_mv Forte, Denis
dc.subject.por.fl_str_mv capital
rentabilidade
risco
GMM
bancos brasileiros
topic capital
rentabilidade
risco
GMM
bancos brasileiros
capital
profitability
risk
GMM
brazilian bank
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS
dc.subject.eng.fl_str_mv capital
profitability
risk
GMM
brazilian bank
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS
description Over the past few years, banks have always been present at the epicenter of the biggest financial crises. Adopting policies that reduce the occurrence of banking crises is important to ensure peace and security for its depositors and investors. Thus, policymakers adopted the capital as regulatory measure, which required banks greater control in relation to its risk assets. The capital also plays a fundamental role in the soundness and credibility of banks. Another important aspect of bank capital is its relationship with profitability and risk. With the capital increase, banks become less vulnerable to risk, ultimately reducing the occurrence of problems in a bank. Thus, the impact on profitability is positive in the profitability of banks, as it reduces their cost of funding and improve its perception in the market. Several studies relate capital to risk or profitability. The aim of this study, however, was to simultaneously analyze the impact of capital on profitability and risk in the Brazilian financial system. Four dependent variables of profitability and risk were used, and other explanatory variables such as those specific to banks, a measure of bank concentration and macroeconomic variables were also used. The study was conducted with the 50 largest banks considering the asset volume through a Generalized Method of Moments technique (GMM) between the period 2006-2014. The hypotheses relating the effect of capital on risk and profitability of banks showed positive results. Banks are benefited when they increase their capital with a positive impact on profitability variables. Furthermore, from the moment banks increase their risk, there is an adjustment in the level of capital upwards. Considering the importance of this sector for any economy, the study confirms the ability of Brazilian banks to prove themselves solid and profitable and at the same time taking the capital as an important factor of these achievements.
publishDate 2015
dc.date.available.fl_str_mv 2015-09-28
2020-05-28T18:04:07Z
dc.date.issued.fl_str_mv 2015-08-05
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