O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro
Ano de defesa: | 2015 |
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Autor(a) principal: | |
Orientador(a): | |
Banca de defesa: | |
Tipo de documento: | Dissertação |
Tipo de acesso: | Acesso aberto |
Idioma: | por |
Instituição de defesa: |
Universidade Presbiteriana Mackenzie
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Programa de Pós-Graduação: |
Não Informado pela instituição
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Departamento: |
Não Informado pela instituição
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País: |
Não Informado pela instituição
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Palavras-chave em Português: | |
Palavras-chave em Inglês: | |
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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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. Dissertação (Mestrado em Administração) - Universidade Presbiteriana Mackenzie, São Paulo, 2015.http://dspace.mackenzie.br/handle/10899/23488porUniversidade Presbiteriana MackenziecapitalrentabilidaderiscoGMMbancos brasileiroscapitalprofitabilityriskGMMbrazilian bankCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAShttp://tede.mackenzie.br/jspui/retrieve/2828/ANTONIO%20CARBONARI%20FILHOprot.pdf.jpgO impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiroinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações do Mackenzieinstname:Universidade Presbiteriana Mackenzie (MACKENZIE)instacron:MACKENZIEPerera, Luiz Carlos Jacobhttp://lattes.cnpq.br/3386375141622007Barros, Lucas Ayres Barreira de Camposhttp://lattes.cnpq.br/0198661144573382BRAdministraçãoUPMAdministração de EmpresasORIGINALANTONIO CARBONARI FILHOprot.pdfANTONIO CARBONARI FILHOprot.pdfapplication/pdf7746543https://dspace.mackenzie.br/bitstreams/d9f4ea74-1a10-4d54-a12d-5dcb4be34161/download4305b53a328fd6de18a346b630ccb4c7MD51TEXTANTONIO CARBONARI FILHOprot.pdf.txtANTONIO CARBONARI FILHOprot.pdf.txtExtracted texttext/plain192261https://dspace.mackenzie.br/bitstreams/3b97ebfd-fb00-4de0-9b6d-88e0bd2e091a/download575e91e830ba008a09280d5ff370def8MD52THUMBNAILANTONIO CARBONARI FILHOprot.pdf.jpgANTONIO CARBONARI FILHOprot.pdf.jpgGenerated Thumbnailimage/jpeg1215https://dspace.mackenzie.br/bitstreams/ebc9c078-306b-4a77-a47f-ef1f063f9011/download88fa1e9a389278c39c93c49bd063fb55MD5310899/234882022-03-14 16:17:02.065oai:dspace.mackenzie.br:10899/23488https://dspace.mackenzie.brBiblioteca Digital de Teses e Dissertaçõeshttp://tede.mackenzie.br/jspui/PRIhttps://adelpha-api.mackenzie.br/server/oai/repositorio@mackenzie.br||paola.damato@mackenzie.bropendoar:102772022-03-14T16:17:02Biblioteca Digital de Teses e Dissertações do Mackenzie - Universidade Presbiteriana Mackenzie (MACKENZIE)false |
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 |
dc.date.accessioned.fl_str_mv |
2016-03-15T19:26:27Z 2020-05-28T18:04:07Z |
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info:eu-repo/semantics/publishedVersion |
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info:eu-repo/semantics/masterThesis |
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masterThesis |
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CARBONARI FILHO, Antonio. O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro. 2015. 101 f. Dissertação (Mestrado em Administração) - Universidade Presbiteriana Mackenzie, São Paulo, 2015. |
dc.identifier.uri.fl_str_mv |
http://dspace.mackenzie.br/handle/10899/23488 |
identifier_str_mv |
CARBONARI FILHO, Antonio. O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro. 2015. 101 f. Dissertação (Mestrado em Administração) - Universidade Presbiteriana Mackenzie, São Paulo, 2015. |
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