DISCIPLINA DE MERCADO NO SETOR BANCÁRIO PORTUGUÊS: UM ESTUDO DO COMPORTAMENTO DOS DEPOSITANTES

Carlos Mota

Abstract


Este estudo testa a presença da disciplina dos depositantes no setor bancário português, verificando os efeitos do perfil de risco das instituições sobre os preços e o crescimento dos depósitos. É analisado um painel de dados de vinte e um bancos que operaram em Portugal entre 2002 e 2015, incluindo informações detalhadas sobre os depósitos de cada entidade, taxas, composição do balanço e a sua condição financeira. Esta informação permitiu configurar o perfil de risco das instituições bancárias. Os resultados obtidos sustentam a presença moderada da disciplina de mercado. Observou-se uma presença mais forte da disciplina dos depositantes pelo preço, exigindo taxas de juro mais elevadas sobre os recursos que mantêm em bancos de maior risco. As evidências apresentam-se com menor significância estatística quando se trata da disciplina pela quantidade (volume de depósitos). Além disso, a introdução de variáveis de controlo permitiu analisar os efeitos de algumas caraterísticas bancárias e de fatores macroeconómicos e sistémicos.

Considerou-se a partição temporal em dois subperíodos e a reinterpretação das relações de causalidade entre as variáveis sugere que os testes de disciplina dos depositantes se fortalecem. Examinaram-se também as relações entre disciplina dos depositantes, dimensão e origem do capital. Os resultados não confirmaram que a dimensão fosse percebida como uma qualidade mas os indícios de atuação disciplinadora do mercado parecem mais evidentes em bancos domésticos.


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Portuguese Journal of Finance, Management and Accounting

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DOI: 10.54663/2183-3826

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