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Abstract(s)
Em várias economias desenvolvidas, medidas de política monetária expansionista levaram as taxas de juros da política monetária a níveis historicamente baixos após a crise de 2007/2008. A persistência ao longo do tempo de tal situação levantou a questão de quais são as implicações para o setor financeiro em termos de rentabilidade bancária, pois pode haver consequências para a capacidade dos bancos de conceder empréstimos e para a própria transmissão da política monetária. Desta forma, este estudo tem como objetivo analisar se as reduções na taxa de juros da política monetária levam a reduções na rentabilidade dos bancos e se essa relação é linear com o nível da taxa de juro. Abordamos esta questão com dados de bancos europeus e japoneses no período pós-crise, entre 2010 e 2018, considerando duas medidas para a rentabilidade dos bancos: margens líquidas de juros e retorno sobre os ativos médios. A estimação corrige problemas de endogeneidade seguindo o método generalizado de momentos (GMM) para dados em painel dinâmicos. Os resultados indicam que a rentabilidade bancária aumenta com a diminuição da taxa de juro da política monetária até um certo valor dessa taxa, relativamente baixo. A partir desse mesmo valor, esta relação inverte-se e as variáveis passam a aumentar em simultâneo.
In several developed economies, expansionary monetary policy has driven monetary policy interest rates to historically low levels after the 2007/2008 crisis. The persistence throughout time of such a situation has raised the question of what the implications are for the financial sector in terms of bank profitability, as there might be consequences for banks’ ability to lend and the transmission of monetary policy itself. Therefore, this study aims to analyse whether decreases in the monetary policy rate lead to decreases in bank profitability, and whether this relationship is linear with the level of the policy rate. We approach this issue by analysing European and Japanese banks in the post-crisis period, from 2010 to 2018, considering two measures for bank profitability: net interest margins and return on average assets. The estimation corrects for endogeneity by following a generalised method of moments (GMM) approach for dynamic panel data. The results indicate that bank profitability increases with the decrease of the monetary policy rate up to a certain, low value for that rate. Beyond that same value, this relationship is inverted, and the variables start increasing simultaneously.
In several developed economies, expansionary monetary policy has driven monetary policy interest rates to historically low levels after the 2007/2008 crisis. The persistence throughout time of such a situation has raised the question of what the implications are for the financial sector in terms of bank profitability, as there might be consequences for banks’ ability to lend and the transmission of monetary policy itself. Therefore, this study aims to analyse whether decreases in the monetary policy rate lead to decreases in bank profitability, and whether this relationship is linear with the level of the policy rate. We approach this issue by analysing European and Japanese banks in the post-crisis period, from 2010 to 2018, considering two measures for bank profitability: net interest margins and return on average assets. The estimation corrects for endogeneity by following a generalised method of moments (GMM) approach for dynamic panel data. The results indicate that bank profitability increases with the decrease of the monetary policy rate up to a certain, low value for that rate. Beyond that same value, this relationship is inverted, and the variables start increasing simultaneously.
Description
Keywords
Rentabilidade bancária Taxas de juro Política monetária Margem líquida Bank profitability Interest rates Monetary policy Net interest margins