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Determinantesdodesempe Letícia da Costa e Silva Mourão Silva Costa e da Letícia Letícia da Costa e Silva Mourão BRASILEIRAS DESEMPENHO DETERMINANTES DO DESEMPENHO DO DAS INSTITUIÇÕES BANCÁRIAS BRASILEIRAS BANCÁRIAS INSTITUIÇÕES DETERMINANTES DAS Tese no âmbito do Doutoramento em Gestão - Ciência Aplicada à Decisão orientada pelo Professor Doutor Pedro André Cerqueira e Professor Doutor Paulo Gama e apresentada a Faculdade de Economia da Universidade de Coimbra. Janeiro de 2020 1 Faculdade de Economia DETERMINANTES DO DESEMPENHO DAS INSTITUIÇÕES BANCÁRIAS BRASILEIRAS Letícia da Costa e Silva Mourão Tese no âmbito do Doutoramento em Gestão - Ciência Aplicada à Decisão orientada pelo Professor Doutor Pedro André Cerqueira e Professor Doutor Paulo Gama e apresentada a Faculdade de Economia da Universidade de Coimbra. Janeiro de 2020 i Ao grande amor da minha vida, Lucas. Seu apoio e amor constante, me possibilitou viver esse desafio além de minhas forças. Sem você nenhuma conquista valeria a pena. ii Agradecimentos Aos meus orientadores, Pedro André Cerqueira e Paulo Miguel Gama Gonçalves, pela prestativa, perseverante e sábia orientação. À Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES), pelo financiamento de meu Doutoramento. Ao Banco do Brasil, pelo apoio em minha pesquisa. A Deus, em quem acredito e confio plenamente. À Minha Família, que mesmo de longe, incentivou-me. Aos amigos, portugueses e brasileiros, novos e de longa data. iii Os bancos são mais perigosos para a nossa liberdade que os exércitos com armas. Thomas Jefferson iv Resumo Há um aumento dos debates académicos sobre o desempenho dos bancos. Alguns estudos argumentam que o desempenho bancário é reforçado por melhorias na organização interna e eficiência na gestão. Argumenta-se também que as novas regulamentações internacionais são parte integrante do desempenho do banco. Outros estudos, mais recentes, incluem a propriedade e factores macroeconómicos como determinantes do desempenho bancário. Esta tese investiga os determinantes do desempenho bancário utilizando variáveis idiossincráticas dos bancos (incluindo regulamentação) e variáveis sistemáticas, isto é, macroeconómicas, além de estruturas de propriedade, crise e diversificação. Foram utilizados painéis dinâmicos (GMM) de 65 bancos brasileiros no período de a 2001-2017. O sector bancário brasileiro se mostrou expressivo economicamente e crescente no período analisado. Os activos no último semestre da amostra chegaram a mais de 8 biliões de reais e as captações a cerca de 6 biliões de reais. Os lucros líquidos dos bancos cresceram cerca de 14 vezes no período da amostra. Este estudo concluiu que o desempenho passado tem um peso determinante no desempenho futuro. Além disso, descobriu-se que a receita proveniente de comissões bancárias impacta negativamente o desempenho dos bancos, pois aumenta os custos das operações bancárias e causa o efeito fuga. O crescimento económico e inflação impactam positivamente o desempenho, mostrando que o desenvolvimento da economia está relacionado ao mercado bancário. Outros determinantes macroeconómicos são relevantes, tais como: taxa de câmbio, endividamento público e desemprego. E determinantes idiossincráticos relevantes foram: número de agências e incumprimento. Determinantes como: regulamentação, taxa de juros base e custos de pessoal não foram significativos. Descobrimos que a propriedade interfere no desempenho dos bancos. Os bancos estrangeiros apresentam uma NIM (margem de intermediação) mais baixa que os bancos domésticos e públicos, mostrando a postura dos bancos brasileiros em aplicar altas margens de intermediação. Os bancos públicos apresentam menor ROE (retorno sobre património) do que os domésticos. Em uma análise sobre o impacto da crise, verificamos que os bancos públicos são mais resilientes a crise do que os bancos estrangeiros e domésticos. A diversificação na intermediação não impactou no desempenho. Estes modelos geram diversas informações úteis para a tomada de decisão dos gestores bancários e fazedores de políticas públicas. v Abstract There is an increasing academic debate about bank performance. Some studies argue that banking performance is reinforced by management improvement, as also argued that new international regulations are an integral part of bank performance. Other recent studies include ownership structure and macroeconomic factors as performance´s determinants. This thesis investigated the determinants of banking performance using idiosyncratic bank variables (including regulation) and systematic (macroeconomic) variables, ownership structures, crisis and diversification. This thesis uses dynamic panels (GMM) from 65 Brazilian banks in the period from 2001-2017. The Brazilian banking sector had an expressive growth in analyzed period. In the last period of the sample reached more than 8 billion reais of assets and around 6 billion reais of funding. Bank net profits grew about 14 times over the sample period. This study concluded that past performance has a major bearing on future performance. In addition, bank commission income was found to negatively impact banks' performance. Economic growth and inflation positively impact performance, showing that economy is related to the banking market. Other macroeconomic determinants are relevant, such as: exchange rate, public debt and unemployment. Idiosyncratic determinants relevant were agency numbers and default. Determinants such as regulation, interest rate and personnel were not significant. We found that ownership affects bank performance. Foreign banks have a lower NIM (net interest margin) than domestic and public, showing the trending of Brazilian banks to apply high intermediation margins. Public banks have lower ROE (Return on Equity) than domestic banks. Analyzing the impact of the crisis, we find that public banks are more resilient to the crisis than foreign and domestic ones. Diversification in intermediation was non-significant for performance. These models generate a variety of useful information for decision making by bank managers and policy makers. vi Índice 1. INTRODUÇÃO.................................................................................................... 1 2. ENQUADRAMENTO HISTÓRICO .................................................................. 8 2.1. Regulamentação bancária .......................................................................... 10 2.2. O contexto - Brasil ...................................................................................... 42 3. REVISÃO DE LITERATURA .......................................................................... 63 3.1. Papel dos bancos ......................................................................................... 63 3.2. Desempenho bancário ................................................................................. 66 3.3. Determinantes do desempenho bancário ................................................... 69 3.3.1. Factores macroeconómicos .................................................................... 70 3.3.2. Ambiente inerente ao sector ................................................................... 78 3.3.3. Factores internos .................................................................................... 88 3.4. Evidência empírica sobre o sector bancário brasileiro ............................ 101 4. MÉTODOS DE INVESTIGAÇÃO ................................................................. 112 4.1. Dados e selecção de amostra ..................................................................... 112 4.2. Tratamento dos dados .............................................................................. 113 4.3. Método de Estimação ................................................................................ 114 5. ANÁLISE EMPÍRICA .................................................................................... 123 5.1. Determinantes do desempenho bancário ................................................. 123 5.1.1. Modelo base ........................................................................................ 123 5.1.2. Variáveis sistemáticas .......................................................................... 126 5.1.3. Variáveis idiossincráticas ..................................................................... 135 5.1.4. Resultados ........................................................................................... 143 5.2. Efeito da propriedade ............................................................................... 154 5.2.1. Modelo ................................................................................................ 154 5.2.2. Variáveis ............................................................................................. 156 5.2.3. Resultados ........................................................................................... 158 5.3. Efeito da diversificação da actividade ...................................................... 162 5.3.1. Modelo ................................................................................................ 163 5.3.2. Resultados ........................................................................................... 165 6. CONCLUSÕES ................................................................................................ 169 REFERÊNCIAS ...................................................................................................... 173 vii Lista de Abreviaturas ACSP - Associação Comercial de São Paulo ANBIMA - Associação Brasileira das Entidades
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