Determinants of the banking spread in the Brazilian economy: The role of micro and macroeconomic factors

Almeida, Fernanda Dantas; Divino, José Ângelo

doi:10.1016/j.iref.2015.02.003

Cited by 27 publications

(26 citation statements)

References 29 publications

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“…The results show that when concentration increases, the profitability of banks also increases. This result is in line with the recent findings of Almeida and Divino (2015). They find that more concentrated environments might reflect higher market power which leads to higher spreads.…”

Section: Multivariate Analysissupporting

confidence: 93%

“…the coefficient of CREDRISK1 and SIZE are 0.0449 and 0.0044 in the first estimation of Table 3, respectively). This finding is in line with those found for a sample of Brazilian banks by Almeida and Divino (2015). Particularly, these authors find that higher administrative costs are passed on to borrowers, increasing the banks' rates of spread.…”

Section: Multivariate Analysissupporting

confidence: 90%

“…We use as instruments the capital ratio up to three years lagged. Following Almeida and Divino (2015), the Hansen, Heaton, and Yaron (1996) test of overidentified restrictions is used to check if the instruments are exogenous. The AR(1) and AR(2) statistics measure the first-and second-order serial correlation, respectively.…”

Section: Methodsologymentioning

confidence: 99%

“…Bank concentration. According to both the market power and the efficient-structure hypotheses, there is a positive relationship between bank concentration and performance (Almeida & Divino, 2015;Saona, 2011). Bourke (1989) and Molyneux and Thornton (1992) state that this positive correlation is due to increased market power that yields monopolistic profits due to deviations from competitive markets.…”

mentioning

confidence: 99%

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Intra- and extra-bank determinants of Latin American Banks' profitability

Saona

2016

International Review of Economics & Finance

144

148

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Section: Multivariate Analysissupporting

confidence: 93%

Section: Multivariate Analysissupporting

confidence: 90%

Section: Methodsologymentioning

confidence: 99%

mentioning

confidence: 99%

See 2 more Smart Citations

Intra- and extra-bank determinants of Latin American Banks' profitability

Saona

2016

International Review of Economics & Finance

144

148

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“…The purpose of the special issue is to highlight a number of areas of research in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of financial risk management when there is economic policy uncertainty, especifically the power of print: uncertainty shocks, markets, and the economy (Alexopoulos and Cohen, 2014), determinants of the banking spread in the Brazilian economy: the role of micro and macroeconomic factors (Almeida and Divino, 2014),…”

Section: Introductionmentioning

confidence: 99%

Advances in financial risk management and economic policy uncertainty: An overview

Hammoudeh

McAleer

2015

International Review of Economics & Finance

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Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy Uncertainty" is to highlight some areas of research in which novel econometric, financial econometric and empirical finance methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty, especiallythe power of print: uncertainty shocks, markets, and the economy, determinants of the banking spread in the Brazilian economy: the role of micro and macroeconomic factors, forecasting value-at-risk using block structure multivariate stochastic volatility models, the time-varying causality between spot and futures crude oil prices: a regime switching approach, a regimedependent assessment of the information transmission dynamics between oil prices, precious metal prices and exchange rates, a practical approach to constructing price-based funding liquidity factors, realized range volatility forecasting: dynamic features and predictive variables, modelling a latent daily tourism financial conditions index, bank ownership, financial segments and the measurement of systemic risk: an application of CoVaR, model-free volatility indexes in the financial literature: a review, robust hedging performance and volatility risk in option markets: application to Standard and Poor's 500 and Taiwan index options, price cointegration between sovereign CDS and currency option markets in the global financial crisis, whether zombie lending should always be prevented, preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the global financial crisis, managing financial risk in Chinese stock markets: option pricing and modeling under a multivariate threshold autoregression, managing systemic risk in The Netherlands, mean-variance portfolio methods for energy policy risk management, on robust properties of the SIML estimation of volatility under micro-market noise and random sampling, asymmetric large-scale (I)GARCH with hetero-tails, the economic fundamentals and economic policy uncertainty of Mainland China and their impacts on Taiwan and Hong Kong, prediction and simulation using simple models characterized by nonstationarity and seasonality, and volatility forecast of stock indexes by model averaging using high frequency data. JEL Classification AbstractFinancial risk management is difficult at the best of times, but especially so in the presence of

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