Affiliation:
1. Banco do Brasil, Brazil
Abstract
International literature indicates that the capital buffers held by banks result notably from the trade-off that exists between the cost of holding capital, adjustment costs, and bankruptcy costs, which all have a direct impact on banks' capital structures. The aim of this paper is to study the degree of sensitivity of Brazilian banks' capital buffers to the determining factors established in the literature, by using a sample of 121 banks, covering the period from 2001 to 2011. The empirical analysis that was carried out found that there was a significant cost of adjusting capital buffers for the Brazilian banks. At the same time, bankruptcy cost indicated a positive relationship between risk profile and capital buffers, while the cost of holding capital did not exhibit statistical significance in the analysis.
Reference36 articles.
1. Um exame sobre como os bancos ajustam seu Índice de Basileia no Brasil [Trabalho para discussão nº 251, p. 1-22];Alencar L. S,2011
2. Capital, risco e regulação dos bancos no Brasil;Araújo L. A. D;Pesquisa e Planejamento Econômico,2008
3. Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations;Arellano M;The Review of Economic Studies,1991
4. Another look at the instrumental variable estimation of error-components models;Arellano M;Journal of econometrics,1995
5. Are capital buffers pro-cyclical? Evidence from Spanish panel data;Ayuso J;Journal of Financial Intermediation,2004
Cited by
8 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献