Um Exame sobre como os Bancos Ajustam seu Índice de Basileia no Brasil
Leonardo Alencar
No 251, Working Papers Series from Central Bank of Brazil, Research Department
Abstract:
This article uses a partial adjustment model to assess about how banks choose their regulatory capital levels. Among the obtained results, it was found that there exists a target level for at least half of the examined banks, and that both the target capital ratio and the adjustment speed towards this target vary considerably among banks. During our sample period, we didn’t find significant evidence that the regulatory changes from Basel I to Basel II affected the target or the adjustment speed, but our tests suggested that larger banks choose lower target capital levels. For the majority of the banks, it was found that the management of the capital ratio is mainly done through the liability side, while the adjustment speed of the liability side is lower than the one of the asset side.
Date: 2011-08
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Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:251
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