Estudo sobre o canal de empréstimos bancários no Brasil no período de 2011 a 2019
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Data
2022-12-15
Autores
Castro, Godson Santos
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Editor
Universidade Estadual Paulista (Unesp)
Resumo
O objetivo geral deste trabalho é analisar a importância do canal de empréstimos bancários na transmissão da política monetária (PM) brasileira, com foco no período que compreende o segundo trimestre de 2011 até o quarto trimestre de 2019. Quanto aos objetivos específicos, este trabalho visa descrever os mecanismos de transmissão da política monetária, com um olhar mais voltado ao canal de crédito bancário; associar o contexto macroeconômico brasileiro do período e suas particularidades com o canal de empréstimos bancários do país; e, por fim, analisar como se comportou o canal de empréstimos bancários com base nos fatores do mercado de crédito, política monetária e atividade econômica. O tema da investigação se justifica pela importância do canal de empréstimos bancários para a dinâmica econômica, de maneira que essa discussão é fundamental para avançar na compreensão das relações entre PM e mercado de crédito. Portanto, uma melhor compreensão desse fenômeno possibilita diagnósticos mais precisos sobre as consequências dessa política, tornando possível formular novas políticas que incorporem as mudanças no contexto econômico e possuam maior aderência à realidade, aumentando as chances de se obter os efeitos desejados da inovação monetária. A escolha do período de análise deu-se pela disponibilidade dos dados fornecidos pelo BCB, principalmente informações sobre o crédito. Assim, a questão central da pesquisa é: considerando o contexto econômico e institucional do mercado de crédito brasileiro, como o canal de empréstimos bancários se comportou entre 2011 e 2019? Para responder esta questão lançou-se mão do método histórico, que através da pesquisa bibliográfica foi possível compreender e conceituar os canais de transmissão, a trajetória da execução da PM no Brasil desde o Plano Real, mas principalmente durante o período de análise, as transformações no mercado de crédito brasileiro e o funcionamento do canal de empréstimos bancários no país desde 2002 a partir da literatura sobre o tema. Além disso, também se utilizou do método estatístico, com base na construção do modelo de correção de erros (VEC), visando captar o funcionamento do canal de empréstimos bancários através da identificação das relações de longo prazo de demanda e oferta de crédito. Esta pesquisa está dividida da seguinte forma: no capítulo 1 apresentam-se os mecanismos de transmissão da política monetária e discute-se o funcionamento dos bancos e como eles operacionalizam as atividades de empréstimo. O capítulo 2 consiste em um breve histórico sobre a execução da PM no Brasil e as transformações do mercado de crédito no país ao longo do período analisado. Já no capítulo 3, é primeiramente feita uma revisão bibliográfica dos estudos empíricos que se debruçaram sobre o canal de empréstimos bancários do Brasil, depois são apresentados os dados e a estrutura do modelo VEC utilizado para a investigação empírica, e então ocorre a realização dos testes, a execução dos modelos e a apresentação dos resultados. Por fim, são tecidas as considerações finais.
The general objective of this work is to analyze the importance of the bank lending channel in the transmission of Brazilian monetary policy, focusing on the period comprising the second quarter of 2011 until the fourth quarter of 2019. As for the specific objectives, this work aims to describe the mechanisms of monetary policy transmission, with a focus more on the bank credit channel; associate the Brazilian macroeconomic context of the period and its particularities with the country's bank lending channel; and, finally, to analyze how the bank lending channel behaved based on credit market factors, monetary policy and economic activity. The subject of the investigation is justified by the importance of the bank loan channel for the economic dynamics, so that this discussion is fundamental to advance in the understanding of the relationships between PM and the credit market. Therefore, a better understanding of this phenomenon enables more accurate diagnoses of the consequences of this policy, making it possible to formulate new policies that incorporate changes in the economic context and have greater adherence to reality, increasing the chances of obtaining the desired effects of monetary innovation. The choice of the analysis period was due to the availability of data provided by the BCB, mainly information on credit. Thus, the central question of the research is: considering the economic and institutional context of the Brazilian credit market, how did the bank lending channel behave between 2011 and 2019? To answer this question, the historical method was used, which through bibliographical research made it possible to understand and conceptualize the transmission channels, the trajectory of PM execution in Brazil since the Real Plan, but mainly during the period of analysis, the transformations in the Brazilian credit market and the operation of the bank loan channel in the country since 2002 based on the literature on the subject. In addition, the statistical method was also used, based on the construction of the error correction model (VEC), aiming to capture the operation of the bank transfer channel through the identification of long-term relations of credit demand and supply. This research is divided as follows: Chapter 1 presents the transmission mechanisms of monetary policy and discusses the functioning of banks and how they operationalize lending activities. Chapter 2 consists of a brief history of the execution of the PM in Brazil and the transformations of the credit market in the country over the analyzed period. In chapter 3, a bibliographical review of the empirical studies that focused on the bank lending channel in Brazil is first performed, then the data and structure of the VEC model used for the empirical investigation are presented, and then the tests are carried out, the execution of the models and the presentation of the results. Finally, the final considerations are made.
The general objective of this work is to analyze the importance of the bank lending channel in the transmission of Brazilian monetary policy, focusing on the period comprising the second quarter of 2011 until the fourth quarter of 2019. As for the specific objectives, this work aims to describe the mechanisms of monetary policy transmission, with a focus more on the bank credit channel; associate the Brazilian macroeconomic context of the period and its particularities with the country's bank lending channel; and, finally, to analyze how the bank lending channel behaved based on credit market factors, monetary policy and economic activity. The subject of the investigation is justified by the importance of the bank loan channel for the economic dynamics, so that this discussion is fundamental to advance in the understanding of the relationships between PM and the credit market. Therefore, a better understanding of this phenomenon enables more accurate diagnoses of the consequences of this policy, making it possible to formulate new policies that incorporate changes in the economic context and have greater adherence to reality, increasing the chances of obtaining the desired effects of monetary innovation. The choice of the analysis period was due to the availability of data provided by the BCB, mainly information on credit. Thus, the central question of the research is: considering the economic and institutional context of the Brazilian credit market, how did the bank lending channel behave between 2011 and 2019? To answer this question, the historical method was used, which through bibliographical research made it possible to understand and conceptualize the transmission channels, the trajectory of PM execution in Brazil since the Real Plan, but mainly during the period of analysis, the transformations in the Brazilian credit market and the operation of the bank loan channel in the country since 2002 based on the literature on the subject. In addition, the statistical method was also used, based on the construction of the error correction model (VEC), aiming to capture the operation of the bank transfer channel through the identification of long-term relations of credit demand and supply. This research is divided as follows: Chapter 1 presents the transmission mechanisms of monetary policy and discusses the functioning of banks and how they operationalize lending activities. Chapter 2 consists of a brief history of the execution of the PM in Brazil and the transformations of the credit market in the country over the analyzed period. In chapter 3, a bibliographical review of the empirical studies that focused on the bank lending channel in Brazil is first performed, then the data and structure of the VEC model used for the empirical investigation are presented, and then the tests are carried out, the execution of the models and the presentation of the results. Finally, the final considerations are made.
Descrição
Palavras-chave
Economia, Transmissão da Política Monetária, Política monetária, Canal de Empréstimos Bancários, Crédito