Banking Spread Decomposition through a Structural Macroeconomic Model

Orientador(a): Carlos Viana de Carvalho

Co-orientador(a): Eduardo Zilberman

This paper aims to decompose the banking spread using a structural macroeconomic model. We embedded a general equilibrium framework with loans to individuals and firms that may be in default, a banking sector in monopolistic competition and subject to administrative costs, and we also added a tax structure related to bank intermediation. These characteristics for the composition of the spread are in line with the empirical literature on banking spread determinants in Brazil and with the accounting decomposition of the spread made by the Banco Central do Brasil. Furthermore, we evaluate the model dynamics responding to shocks.