Paulo Rodrigo Capeleti.

05/04/2018

Orientador: Márcio Gomes Pinto Garcia.

Co-orientador: Fábio Miessi Sanches.

Banca: Klênio de Souza Barbosa. Leonardo Rezende.

How countercyclical macroprudential credit policies affect the interest rate spread? To answer this question, we propose a banking completion model. We use data from Brazil, where government-owned banks whose outstanding loans accounted for almost half of the credit market, but also have played a strong countercyclical role in the economy. In our model, we build upon Cournot banking competition models in order to consider the differences in behavior between public and private loans, as well as to distinguishing features observed between firms and consumers credit market. Our results show that the presence of counter-cyclical public credit reduces the spread when the risk in the economy is high but, on the other hand, reduces the supply of credit provided by private banks not just through the conventional quantity channel of Cournot competition, but also by lowering the risk premium faced by the banks in credit market, which intensifies the retraction in private credit supply in economic downturns.

M401