Research ArticleOpen AccessGoogle Scholar indexed
Credit Risk and Macroeconomic Interactions: Empirical Evidence from the Brazilian Banking System
- 1
- 2
Copy link · social · email
Abstract
In Brazil, the credit is characterized by excessive cost and limited supply and the main reason is the high default risk embedded in the spread. This paper concludes that the level of economic activity and the basic interest rate are factors with great influence on the default risk. Additionally, the paper also analyzes the reaction of the financial sector to structural risks, suggesting a new approach to credit risk. The assumption that credit risk is the result of an interactive process between banks and the economic environment is confirmed for the period from 2000 to 2006 in Brazil. The results also point to differences in the behavior of private and public banks.
KeywordsCredit RiskMacroeconomicsFinancial SectorCorporate Risk Management
- Banco Central do Brasil, “Juros e Spread Bancário no Brasil,” 1999. http://www.bcb.gov.br/ftp/juros-spread1.pdf
- Banco Central do Brasil, “Relatório de Economia Bancá- ria e Crédito: Avalia??o de 1 ano do Projeto Juros e Spread Bancário,” 2000. http://www.bcb.gov.br/ftp/jurospread 112000. pdf
- Banco Central do Brasil, “Relatório de Economia Bancá- ria e Crédito: Avalia??o de 2 anos do Projeto Juros e Spread Bancário,” 2001. http://www.bcb.gov.br/ftp/jurospread112001.pdf
- Banco Central do Brasil, “Relatório de Economia Bancá- ria e Crédito: Avalia??o de 3 anos do Projeto Juros e Spread Bancário,” 2002. http://www.bcb.gov.br/ftp/jurospread122002.pdf
- Banco Central do Brasil, “Relatório de Economia Bancá- ria e Crédito: Avalia??o de 4 anos do Projeto Juros e Spread Bancário,” 2003. http://www.bcb.gov.br/ftp/rel_econmia_bancaria_credito.pdf
- Banco Central do Brasil, “Relatório de Economia Bancá- ria e Crédito: Avalia??o de 5 anos do Projeto Juros e Spread Bancário,” 2004. http://www.bcb.gov.br/Pec/spread/port/economia_bancaria_e_credito.pdf
- Banco Central do Brasil, “Relatório de Economia Bancá- ria e Crédito. Brasília,” 2005. http://www.bcb.gov.br/pec/spread/port/rel_econ_ban_cred.pdf
- Banco Central do Brasil, “Relatório de Economia Bancá- ria e Crédito,” 2006. http://www.bcb.gov.br/Pec/spread/port/relatorio_economia_bancaria_credito.pdf
- M. H. Pesaran, T. Schuermann, B. J. Treutler and S. M. Weiner, “Macroeconomic Dynamics and Credit Risk: A Global Perspective,” Journal of Money, Credit and Ban- king, Vol. 38, No. 5, 2006, pp. 1211-1261.
- A. Cunningham, “Rating Methodology: Bank Credit Risk in Emerging Markets—An Analytical Framework,” 1999. http://rating.interfax.ru/data/rating/emerging%20banks%20methodology.pdf
- U. S. Census Bureau, “X-12-ARIMA: Reference Manual Version 0.3,” 2007. http://www.census.gov/srd/www/x12 a
- D. Kwiatkowski, P. C. B. Phillips, P. Schmidt and Y. Shin, “Testing the Null Hypothesis of Stationary against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?,” Journal of Econometrics, Vol. 54, No. 1-3, 1992, pp. 159-178.
- G. S. Maddala, “Introduction to Econometrics,” 3rd Edi- tion, John Wiley & Sons Ltd., Chichester, 2001.
- H. Lütkepohl, “New Introduction to Multiple Time Series Analysis,” Springer, Berlin, 2005.