Estudo sobre o spread bancário no Brasil (2011-2014)

Abstract

This paper aims to conduct a study on the banking spread in Brazil during the period from 2011 to 2014, analyzing its main determinants and building a predictive model. We used the econometric model of Ordinary Least Squares (OLS) and additionally was done a spread prediction model. The database used was taken from the Central Bank of Brazil (BCB): average spread of loans, Bad debt loan portfolio (individual and corporate), reserve requirements of financial institutions and the household debt to the National Financial System. Among other results, it was found that if an increase of 1% of physical persons of credit default there will be an increase of 0.38% of the average spread in Brazil. On the other hand, an increase of 1% of corporate credit default raise the average spread 0.63%. No doubt, this shows the importance of these two variables in determining the average spread for Brazilian banks. On the other hand the forecasting model concluded that the period December 2014 to June 2015, it was found that during this period the average Spread will be approximately 13% in January; 12.66% in February; 12.63% in March; 12.74% in April and 12.87% in May to 13.14% in June 2015.