经济不确定性和经济政策不确定性对巴西银行贷款损失准备金的影响

IF 3.3 Q1 BUSINESS, FINANCE
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引用次数: 0

摘要

本文研究了经济不确定性和经济政策不确定性对巴西银行贷款损失准备金的影响,并试图找出哪些不确定性对贷款损失准备金的影响最大。关于不确定性,可以通过专业预测者之间的分歧和基于新闻的代理变量来代理经济不确定性和经济政策不确定性。因此,作为一项创新,专业预测者之间的分歧被用来代表经济和经济政策的不确定性,为了检验稳健性,采用了基于新闻的代理变量。预期分歧分为两类:第一类侧重于与经济政策工具(即货币政策利率和基本盈余)相关的不确定性,第二类侧重于与经济结果(即通货膨胀、汇率、国内生产总值增长和公共债务)相关的不确定性。关于基于新闻的经济政策不确定性和经济不确定性的代理指标,我们采用了两个指标:第一个是经济政策不确定性指数,第二个是我们计算的与经济政策无关的经济不确定性指数。基于 125 家巴西银行的动态面板数据分析,研究结果表明经济结果的不确定性比经济政策的不确定性对银行准备金的影响更大。研究使用基于新闻的指数和代表全球金融危机后时期的子样本验证了结果。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The effects of economic uncertainty and economic policy uncertainty on banks’ loan loss provision in Brazil

This paper investigates the effects of economic uncertainty and economic policy uncertainty on banks’ loan loss provision in Brazil, and it seeks to identify which uncertainties have the greatest impact on loan loss provisions. Regarding uncertainties, it is possible to proxy economic uncertainty and economic policy uncertainty through disagreements among professional forecasters and through news-based proxies. Thus, as a novelty, disagreements among professional forecasters are used to proxy both economic and economic policy uncertainties, and for checking robustness, news-based proxies are employed. The disagreements in expectations are divided into two groups: the first focuses on uncertainties related to economic policy instruments (i.e., monetary policy interest rate and primary surplus), and the second on uncertainties related to economic outcomes (i.e., inflation, exchange rate, GDP growth, and public debt). Regarding the news-based proxies of economic policy uncertainty and economic uncertainty, two indicators were employed: the first is the Economic Policy Uncertainty index, and the second is the index of economic uncertainty unrelated to economic policy that we calculate. Based on dynamic panel data analysis for 125 Brazilian banks, the findings suggest uncertainties in economic outcomes have greater influence on banking provisions than uncertainties in economic policy. The study validates the results using news-based indexes and a subsample representing the post-global financial crisis period.

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来源期刊
CiteScore
6.20
自引率
2.60%
发文量
31
期刊介绍: Journal of Economics and Business: Studies in Corporate and Financial Behavior. The Journal publishes high quality research papers in all fields of finance and in closely related fields of economics. The Journal is interested in both theoretical and applied research with an emphasis on topics in corporate finance, financial markets and institutions, and investments. Research in real estate, insurance, monetary theory and policy, and industrial organization is also welcomed. Papers that deal with the relation between the financial structure of firms and the industrial structure of the product market are especially encouraged.
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