Brazil's Bank Spread in International Context : From Macro to Micro Drivers

Jorgensen, Ole Hagen ; Apostolou, Apostolos

World Bank, Washington, DC

关键词: ACCOUNTING;    ADMINISTRATIVE COSTS;    ARBITRAGE;    ASSET RATIO;    ASSET RATIOS;   

DOI  :  10.1596/1813-9450-6611
RP-ID  :  WPS6611

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

In an international context, this paperanalyzes the main drivers of Brazil's bank spreadsmeasured by the net interest margin, by estimatinginternationally comparable measures for (i) institutionaland regulatory (micro-) factors; (ii) macro-economicfactors; and (iii) banking competition factors. The paperproduces and applies a novel data set covering 197 areas andcountries; ranging from 1995 to 2009, including 106 banksfor Brazil and 16,434 banks worldwide. The analysis findsthat micro-factors are the main drivers of spreads acrossthe world. In the case of Brazil, the spread is found to bestrongly accounted for by micro-factors -- also ininternational comparison. For example, micro-factorscontributed 7.2 percentage points (79 percent) of the 11.5percent total spread in Brazil in 2009, while macro-factorsand banking competition factors jointly accounted for only1.9 percentage points (21 percent). Conversely, Brazil doesnot rank high in international comparison in terms ofmacro-economic risk: Brazil and other countries from LatinAmerica and the Caribbean are found to feature the highestmicro-factors in the world while having the second-highestspreads and the second-lowest contribution of macro-factors.These unique findings suggest that countries striving towardreducing bank spreads should consider policies aimed atreducing microeconomic frictions in their banking sectors,in particular, (i) the economic costs of holding reserves,(ii) credit risk, and (iii) implicit interest payments. Interms of policy dialogue, this would be especially relevantfor Brazil and for Latin American and Caribbean countries in general.