Alex Nery Caetité
Doctorate – Deposits channel of monetary policy, bank credit constrains and flight to quality in corporate bank loans
Advisor: Prof. Dr. Almir Ferreira de Sousa
Comission: Profs. Drs. José Roberto Ferreira Savoia, Wadico Waldir Bucchi and Fabio Gallo Garcia
The aim of this thesis is to test the hypothesis that changes in monetary policy affect the amount of bank deposits in a high interest rate environment, considering the impacts that different levels of bank concentration on deposits observed among counties may have on these effects. As a secondary objective, it is tested the hypothesis that monetary policy actions intensify credit constrains situations due to the impacts on banks' capacity to issue new loans, considering a theoretical assumption that High-Agency-Cost (HAC) borrowers are most affected in this process. Three databases were used: database on deposits and credit operations are from statistical subsystems of the Cosif, called “Estatística Bancária Mensal por Município (ESTBAN)”; banks' accounting database come from the monthly analytical balance sheets (Cosif 4010); and database on balances of active corporate loan portfolios were obtained from the Central Bank Credit Information System (SCR). The analysis period is from September 1999 to December 2018. In the process of data analysis were used the follows econometrics techniques to identification of equation parameters: linear regression models in panel data, linear data models in panel with multiple levels of fixed effects (High Dimension Fixed Effects Model) and Systemic Generalized Method of Moments (GMM-Sys). The results reveal that facing monetary policy actions, such as the Selic rate increase, the banks in Brazil increase their deposit spreads and, as a consequence, observe the reduction in their funding sources (time deposits and saving) due to deposit outflows. In the face of shrinking banks’ funding sources, they decrease lending, i.e., tighten credit constrains, and the High-Agency-Cost companies are the most affected in this process. In addition, there are evidences that intensity of these effects varying with the deposit concentration levels observed, being more intense in regions with high concentration levels and/or to those banks that raise deposits in regions with higher concentration levels.
*Abstract provided by the author