ID: 45068
Authors:
Igor Ézio Maciel Silva, Jocildo Fernandes Bezerra, Ricardo Chaves Lima.
Source:
Revista Brasileira de Finanças, v. 14, n. 3, p. 375-402, July-September, 2016. 28 page(s).
Keyword:
Bank Lending Channel , Brazil , VECM
Document type: Article (Portuguese)
Show Abstract
This study addresses the issue of the bank-lending channel in Brazil, with monthly aggregated data for the period 2004:12 to 2013:11. Using Vector Error Correction Model (VECM), the paper identifies the functions of long-term demand and supply of bank loans through exclusion restrictions and exogeneity, applied to the estimated cointegration relations. The research extends previous results (Mello and Pisu, 2010) for Brazil, showing that the supply of loans depends on the banking spread and that, for the analyzed period, the stock of bank credit contains information about the future path of inflation. In addition, it performs robustness test in relation to the results obtained in Bezerra et al. (2016) using the bank capital measure initially used in Mello and Pisu (2010) and notes that the bank capital and systemic liquidity have strong statistical significance.
