Aplicação do Modelo Camels na Avaliação da Rentabilidade do Setor Bancário Brasileiro
DOI:
https://doi.org/10.22478/ufpb.2318-1001.2022v10n3.61571Resumo
O objetivo deste estudo é identificar e analisar os determinantes da rentabilidade dos bancos comerciais de capital aberto no país no período de 2015 a 2020. A literatura acerca desempenho bancário aponta relevância tanto para fatores internos quanto para fatores externos. Como diferencial do trabalho, foi optado em utilizar variáveis relacionadas com a metodologia CAMELS para analisar o efeito da gestão de risco no desempenho. Além disso, foram analisados os efeitos do PIB, inflação, movimentação do mercado financeiro e concentração de carteira, além de uma dummy para sinalizar a abertura de capital durante o período analisado. Em termos metodológicos, foram utilizados modelos baseados no GMM para lidar com questões de endogeneidade bem como utilizar um modelo dinâmico para dados em painéis para analisar as determinantes da rentabilidade do setor bancário nacional. Dentre as principais constatações destacam-se: a confirmação da necessidade da avaliação de risco proposto tanto pelo modelo CAMELS como pelo Acordo de Basileia III para a manutenção da atividade bancária, sobretudo no que tange à adequação de capital, qualidade dos ativos e sensibilidade ao mercado; a evidenciação de eficiência do sistema bancário de capital aberto nacional; e que, embora o mercado financeiro brasileiro ainda esteja em desenvolvimento, sua evolução se relaciona com melhorias no desempenho bancário. Dentre as contribuições do estudo, pode-se destacar a validação de estudos internacionais sobre a temática a partir de um modelo de séries temporais robusto, bem como corroborar a gestão CAMELS como meio para garantir a melhoria do setor bancário.
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