Análise do Comportamento dos Bancos Brasileiros Pré e Pós-Crise Subprime

Osmani Guillén, José Vicente and Claudio de Moraes ()

No 334, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: In this article we study the deposit-taking and lending behavior of Brazilian banks before and after the subprime crisis. The distribution of both series present changes between these two periods. In addition, we implemented a vector autoregression model in order to construct the impulse response functions and variance decomposition. The results point out that the variances forecast of deposit-taking and lending are independent before the subprime crisis. However, after the crisis, we note that the variance of the lending is influenced by the funding for horizons longer than three months.

Date: 2013-11
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Related works:
Working Paper: ANÁLISE DO COMPORTAMENTO DOS BANCOSBRASILEIROS PRÉ E PÓS CRISE SUBPRIME (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:334

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