Credit Rationing and High Interest Rates: An Application of Structural Vector Autoregression and Vector Error-Correction Models
Resumo
This article analyzes the behavior of monetary policy credit rationing in Brazil, mainly the performance of the supply of private bank loans due to the oscillations in the default rate and borrowing base interest rate.
METHODOLOGY
It uses the default of corporate loans borrowing and the basic interest rate of the Central Bank of Brazil between 2000 and 2009. We used the techniques of cointegration and co-characterization to identify a system of structural vector autoregression and error correction, taking into account the existence of a structural break in the series.
RESULTS AND CONCLUSIONS
The test results identified a linear long-run relationship be-tween loans, prime rate and default, where the variance de-compositions indicate that the base interest rate explains most of the fluctuations in the short and long term supply of private bank loans.
PRACTICAL IMPLICATIONS
The result highlights the influence of the base rate of interest on loan volume. Besides contributing to government decisions, this finding is relevant to the planning activity of institutions and businesses that extend credit or depend on it for carry out its sales activities.
KEYWORDS
Credit Rationing; Private Bank Loans; Vector Auto Regression.
OBJETIVO
É analisado o comportamento da política monetária de racionamento do crédito no Brasil, principalmente, o desempenho da oferta de crédito bancário privado diante das oscilações na taxa de inadimplência e da taxa de juros.
METODOLOGIA
As séries de oferta de crédito, de inadimplência das pessoas jurídicas tomadoras de empréstimos e a taxa de juros básica do Banco Central do Brasil referem-se período de 2000 e 2009. Utilizaram-se as técnicas de co-integração e co-caracterização para identificar um sistema de vetores autorregressivos estruturais e de correção de erros, levando-se em consideração a existência de uma quebra estrutural nas séries.
RESULTADOS E CONCLUSÕES
Os testes identificaram uma relação linear de longo prazo entre crédito, taxa básica de juros e inadimplência, onde as decomposições das variâncias indicam que a taxa de juros básica explica boa parte das flutuações de curto e longo prazo na oferta dos créditos bancários privados.
IMPLICAÇÕES PRÁTICAS
O resultado destaca a influência da taxa básica de juros sobre o volume de crédito. Além de contribuir para decisões governamentais, essa constatação é relevante na atividade de planejamento de atividades de instituições e empresas que concedem crédito ou que dependem dele para efetivar as suas vendas.
PALAVRAS-CHAVE
Racionamento de Crédito; Créditos Bancários Privados; Vetores Auto-Regressivos.
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