A sensibilidade dos bancos brasileiros às variações nas taxas de juros em contexto de inflação elevada

Resumo

This paper examines the interest rate exposure of banks as measured by their monthly stock returns. The financial literature showed that the returns on bank stocks are negatively affected by unanticipated changes in interest rates. These findings were explained by the degree of mismatch in the duration of bank assets and liabilities. However, this work shows that, in Brazil, the returns on banks stocks are unaffected by unanticipated changes in the real and in the nominal interest rates in most of the periods examined. Sometimes the returns were affected positively by the unanticipated changes in the nominal interest rates. These findings may be explained by the short duration of the assets and the liabilities of the Brazilian banks during the highly inflationary period. It seems that it could have immunized the banks against interest rate risk