Determinantes do spread bancário ex-post no Brasil : uma análise de fatores micro e macroeconômicos

Abstract

The objective of this dissertation was to identify the major determinants of the ex-post banking spread in the Brazilian economy. Specific characteristics of the financial institutions, macroeconomic features of the economy, and microeconomic elements of the banking sector were all considered in the empirical analysis. The theoretical model was derived from Angbazo (1997), who extended the pioneer work by Ho and Saunders (1981). The model was empirically estimated using panel data techniques. The sample covered 64 commercial banks in the period from the first quarter of 2001 to the second quarter of 2012. The main results indicate that microeconomic variables, such as administrative expenses, revenue from services, and coverage index, play an important role as determinants of the ex-post banking spread. With respect to the macroeconomic environment, the positive effect coming from the Gross Domestic Product suggests that banking spreads are higher in scenarios of economic stability. Last but not least, the Herfindahl-Hirschaman index reveals that higher ex-post banking spread is supported by more concentrated banking system.