Determinantes macroeconômicos e o papel das expectativas: uma análise do spread bancário no Brasil (2003-2011)

Abstract

Economic theory recognize the central role of expectations on decision making in an environment without perfect foresight. The relatively long literature on the determinants of banking spread in Brazil has considered this issue only superficially, not including direct measures of market expectations of macroeconomic variables. These variables, that may affect the bank's strategies in the process of the profitability optimization, are routinely disseminated by the Central monetary and banking regulatory agency and market participants. We include these macroeconomic measures in a dynamic empirical model of bank specific bank spreads following Maudos and Solis (2009), using quarterly data from 2003 to 2011. The sample includes the period after the recent world economic crisis. The results support the hypothesis posed here that expactational macroeconomic variables, such as expected inflation and future interest rates, are relevant in determining the banking spread in Brazil, even conditional to current observed values.