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Análise do Comportamento dos Bancos Brasileiros Pré e Pós-Crise Subprime

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  • Osmani Teixeira de Carvalho Guillén
  • José Valentim Machado Vicente
  • Claudio Oliveira de Moraes

Abstract

In this article we study the deposit-taking and lending behavior of Brazilian banks before and after the subprime crisis. The distribution of both series present changes between these two periods. In addition, we implemented a vector autoregression model in order to construct the impulse response functions and variance decomposition. The results point out that the variances forecast of deposit-taking and lending are independent before the subprime crisis. However, after the crisis, we note that the variance of the lending is influenced by the funding for horizons longer than three months.

Suggested Citation

  • Osmani Teixeira de Carvalho Guillén & José Valentim Machado Vicente & Claudio Oliveira de Moraes, 2013. "Análise do Comportamento dos Bancos Brasileiros Pré e Pós-Crise Subprime," Working Papers Series 334, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:334
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