Strategic direction re-evaluation of bank ratings in Brazil

Valdir Domeneghetti () and Fabiano Lima ()
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Valdir Domeneghetti: University of São Paulo
Fabiano Lima: University of Sao Paulo

Economics Bulletin, 2019, vol. 39, issue 2, 1336-1347

Abstract: This study aims to complement, by means of a re-evaluation, previous studies on determinants of publicly traded bank ratings, operating in Brazil, from 2006 to 2017 (2nd. quarter). Within the suitable statistical practices, the ordered Logit model with unbalanced panel data was chosen to be used. The results indicated convergence with literature in large part of the variables. New qualitative variables were inserted in the re-evaluation as this research differential: Basel index, capital source, public or private nature, in which just the global capital index was significant at 1%. Conflicting signals and significances between the models with and without dummies were found in credit losses on revenue of financial intermediation and voluntary fit. For the others, results were revalidated in literature. A detail which is also observed is the alignment of bank credit rating to the Country, by the agencies, due to the resurgence of the financial economic crisis, a factor which can entail greater difficulties for banks to fit in the schedule in progress of Basel III, whose fully implementation forecast is in 2019.

Keywords: value strategic direction; Basel III lineup; bank credit risk; rating (search for similar items in EconPapers)
JEL-codes: G2 G3 (search for similar items in EconPapers)
Date: 2019-05-31
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