Taxas de juros no Brasil: efeitos da inadimplência, rigidez e assimetria
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 maxi...
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| Format: | Dissertação |
| Language: | Portuguese |
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Universidade Católica de Brasília
2025
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| Online Access: | https://hdl.handle.net/20.500.14135/1721 |
| _version_ | 1842069051306672128 |
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| author | Oliveira, Augusto Marques de Castro |
| author2 | Maldonado, Wilfredo Fernando Leiva |
| author_facet | Maldonado, Wilfredo Fernando Leiva Oliveira, Augusto Marques de Castro |
| author_sort | Oliveira, Augusto Marques de Castro |
| collection | DSpace |
| description | 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. |
| format | Dissertação |
| id | ir-20.500.14135-1721 |
| institution | RIEP - Repositório digital do INEP |
| language | por |
| publishDate | 2025 |
| publisher | Universidade Católica de Brasília |
| record_format | dspace |
| spelling | ir-20.500.14135-17212025-05-23T14:00:55Z Taxas de juros no Brasil: efeitos da inadimplência, rigidez e assimetria Oliveira, Augusto Marques de Castro Maldonado, Wilfredo Fernando Leiva Inadimplência Taxa de juros Rigidez Assimetria Interest rate 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. Esta dissertação estende a literatura de modelos de equilíbrio em competição bancária de modo a avaliar os efeitos da inadimplência na taxa de juros dos empréstimos; assim como a sua rigidez e assimetria. Dois modelos são examinados: um no qual o banco monopolista leva em consideração a taxa de inadimplência na sua maximização de lucros ao oferecer empréstimos ao mercado e outro considera tomadores de empréstimos com hábitos no consumo, o que gera uma curva de demanda quebrada por empréstimos. São implementadas simulações numéricas na economia do segundo modelo teórico, com a finalidade de obter um formado para a curva de demanda por empréstimos. Logo utilizando dados de taxa de juros e volume de empréstimos no Brasil, a curva de demanda por empréstimos, com o formado mencionado anteriormente, é estimada para o país. As principais conclusões dos modelos são as seguintes: (1) Tanto a taxa de pagamento quanto à relação crédito/PIB afetam negativamente a taxa de juros dos empréstimos; (2) A formação de hábitos gera uma rigidez na taxa de juros em relação aos custos do banco monopolista; em particular em relação à taxa de juros SELIC; (3) A formação de hábitos, também, causa assimetria na resposta da demanda por empréstimos às variações na taxa de juros dos empréstimos. 2025-05-23T13:45:47Z 2007-05-16 Dissertação https://hdl.handle.net/20.500.14135/1721 por Acesso aberto Documento textual application/pdf Universidade Católica de Brasília Brasil |
| spellingShingle | Inadimplência Taxa de juros Rigidez Assimetria Interest rate Oliveira, Augusto Marques de Castro Taxas de juros no Brasil: efeitos da inadimplência, rigidez e assimetria |
| title | Taxas de juros no Brasil: efeitos da inadimplência, rigidez e assimetria |
| title_full | Taxas de juros no Brasil: efeitos da inadimplência, rigidez e assimetria |
| title_fullStr | Taxas de juros no Brasil: efeitos da inadimplência, rigidez e assimetria |
| title_full_unstemmed | Taxas de juros no Brasil: efeitos da inadimplência, rigidez e assimetria |
| title_short | Taxas de juros no Brasil: efeitos da inadimplência, rigidez e assimetria |
| title_sort | taxas de juros no brasil efeitos da inadimplencia rigidez e assimetria |
| topic | Inadimplência Taxa de juros Rigidez Assimetria Interest rate |
| url | https://hdl.handle.net/20.500.14135/1721 |
| work_keys_str_mv | AT oliveiraaugustomarquesdecastro taxasdejurosnobrasilefeitosdainadimplenciarigidezeassimetria |