| Тойм: | This dissertation extends the literature on banking competition in order to evaluate the effects of default on the loan interest rate, as well as on its rigidity and asymmetry. Two models are studied. The first one analyzes a monopolistic bank which takes into account the rate of default in the maximization of its profits when deciding the loan supply. The second model considers borrowers with consumption habits in their payoffs, which generates a kinked demand curve for loans. Numerical simulations are implemented on the second theoretical model, in order to obtain the typical shape for the loan demand. Form this, it is estimated a loan demand curve in Brazil. The main conclusions from those models are: (1) both the payment rate and the ratio credit/GDP have negative effects on the loan interest rate; (2) habits formation generates rigidity of the interest rate with respect to the marginal cost of the monopolistic bank; in particular, it is obtained rigidity of the loan interest rate with respect to the SELIC interest rate; (3) habits formation also causes asymmetry in the response of the loan demand due to variations in the interest rate.
|
|---|