Estudo da percepção de risco por parte dos depositantes de bancos: o caso do mercado brasileiro de 1999 a 2006 / A study of the perceptions of depositors regarding bank risk : the Brazilian market case from 1999 to 2006

AUTOR(ES)
DATA DE PUBLICAÇÃO

2007

RESUMO

Safe banking system is an important factor to economic and financial stability, which is the reason why it is necessary to develop tools to diminish the probability of crisis. In this context safety nets and risk-based capital requirements have been created. Since the 1990s, there have been growing discussions on a complementary mechanism to enhance the soundness of the financial system, called market discipline: the influence investors may exert on banks, encouraging them to behave in a manner consistent with their solvency. The New Basel Capital Accord includes market discipline as its third pillar, ratifying its relevance. Empirical literature on investors’ ability to discipline banks concentrates on three markets: depositors, bondholders and interbank lending market. The main goal of this dissertation is to empirically examine whether uninsured depositors respond to bank risk. This original investigation with Brazilian data is the main contribution of this work. The sample consists of data from 54 commercial banks, from 1999 to 2006. The hypothesis of the existence of discipline is tested through the estimation of econometric models which relate interest rates and change in deposits to measurements of bank risk, concerning capital adequacy, asset quality, management, earnings and liquidity. Several methods are applied to estimate the parameters of the empirical models: ordinary least squares, random effects, fixed effects and system generalized method of moments (System GMM). Diagnostic tests indicate the latter as the most appropriate one, due to the need to control for endogeneity of the explanatory variables. The data provide a few evidences favorable to the hypotheses of the presence of depositor discipline. There is an association between risk increase, measured by proxies of capital adequacy and management quality, and a negative variation of deposits. On the other hand, the negative and significant sign of the coefficient of the liquidity indicator does not allow an unequivocal confirmation that discipline is at work. There is also a relation between higher interest rates and risk increases, measured by one indicator of the quality of assets. However, a negative and significant relationship between interest rate and the size of the bank is found, which could mean that depositors conceive policies to protect larger banks. Additionally, there are indications that private bank depositors exert enhanced discipline, while those who invest their funds in public bank are more concerned about the size of the bank. The combination of these results suggests the need to create an environment in Brazil, where depositor discipline could be expanded. It is critical to eliminate any vestige of beliefs in too big to fail policies as well as on the rescue of public banks. It is also important to improve disclosure policies on banks financial conditions.

ASSUNTO(S)

banking crisis finance banks crise bancária finanças bancos

ACESSO AO ARTIGO

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