Efeitos financeiros e macroeconômicos na rentabilidade bancária: evidências para o Brasil

Abstract

This paper analyzes the profitability of 67 multiple banks with commercial portfolios or commercial banks in Brazil in the period from 2009 to 2019. We consider three measures of profitability, two of which are widely used in the literature on the topic: the Return on Equity (ROE) and the Return on Assets (ROA). The third selected profitability metric is EVA, which demonstrates the economic value added to the business and represents an important complement to ROE and ROA. Using the GMM estimator technique, described by Arellano and Bover (1995) and Blundell and Bond (1998), we estimate the coefficients of the determinants of bank profitability that include specific characteristics as well as macroeconomic and sector-specific factors, some of which were not. considered in previous studies. The selection of these new macroeconomic variables of credit, activity and interest, as well as the consideration of the 2015-2016 biennium of the Brazilian crisis, contribute to an understanding of the factors that determine the profitability of multiple banks with commercial portfolios or commercial banks in Brazil.