A política monetária afeta o spread bancário no Brasil? Uma análise sobre a transmissão via canal do crédito

Resumo

This study analyzes how monetary policy affects bank lending spreads in Brazil and how this relationship is transmitted to credit, with a focus on the bank lending channel. The analysis considers both the aggregate credit market and the corporate and household credit segments, using quarterly data from 2001 to 2024. Vector Error Correction Models (VECM) are estimated, allowing for the simultaneous assessment of the long-run relationships among the Selic rate, bank lending spreads, default rates, and the credit-to-GDP ratio, as well as their short-run dynamics, supported by impulse response functions and variance decomposition. The results show that shocks to the Selic rate are consistently passed through to bank lending spreads in all three models, indicating robust monetary policy transmission to the cost of financial intermediation. The effects on the credit-to-GDP ratio are more limited at the aggregate level and heterogeneous across segments: in the household segment, transmission occurs predominantly through the cost of credit, with effects also present, though less intense, on the credit-to-GDP ratio; in the corporate segment, the channel appears to operate more completely, with a stronger contraction in the credit-to-GDP ratio in response to increases in lending spreads. Overall, the results indicate that the credit channel is relevant in Brazil, but operates heterogeneously across segments.

Ficha do documento

Tipo

Dissertação

Ano

2026

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/39956

Temas

Economia

Palavras-chave

Política monetáriaSpread bancárioCanal de créditoVECMBrasilTransmissão monetáriaMonetary policyBank lending spreadsCredit channelBrazilMonetary policy transmissionEconomiaCrédito bancárioTaxas de juros