O impacto do capital dos bancos na rentabilidade e risco no sistema financeiro brasileiro
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Tipo
Dissertação
Data de publicação
2015-08-05
Periódico
Citações (Scopus)
Autores
Carbonari Filho, Antonio
Orientador
Forte, Denis
Título da Revista
ISSN da Revista
Título de Volume
Membros da banca
Perera, Luiz Carlos Jacob
Barros, Lucas Ayres Barreira de Campos
Barros, Lucas Ayres Barreira de Campos
Programa
Administração de Empresas
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.
Descrição
Palavras-chave
capital , rentabilidade , risco , GMM , bancos brasileiros , capital , profitability , risk , GMM , brazilian bank
Assuntos Scopus
Citação
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.