Resumo

Monetary policy actions can intensify situations of credit rationing due to the negative impacts on the willingness of banks to grant new loans. A recent approach on the topic of monetary transmission mechanism is the deposits channel of monetary policy whose theoretical precepts suggest that in the face of an increase in the basic interest rate, banks widen their deposit spreads, observe a contraction in deposits and a reduction in the granting credit. According to the theory, the companies that are most likely to be credit restricted are small and medium-sized ones.

We purpose to test the hypothesis that large companies suffer less from the impact of credit rationing than companies of other sizes, when such rationing results from the effects of the deposits channel of monetary policy. The work innovates by testing the asymmetric effects of monetary policy changes on credit for companies through the deposits channel, based on the premise that large companies, because they have lower monitoring costs, are less affected by credit rationing caused by monetary policy actions.

According to Domaç (1999), a reason for small and medium-sized companies to be affected disproportionately by the effects of the monetary policy credit channel stems from the possibility that monetary tightening is followed by “flights to quality” of bank loans. Kandrac (2012) argues that in response to movements in the tightening of monetary policy, banks exhibit a significant flight towards quality and decrease the proportion of credit granted to borrowers with high agency cost. In general, the theory suggest that SME companies suffer a more severe credit restriction than large ones.

Parameter estimation will be performed using the System Generalized Method of Moments, developed for the treatment of models of dynamic panel. The dynamic panel instrument captures the persistence of the response variable, in our model represented by the proportion of credit for HAC companies in each bank. In addition, GMM-sys uses the first difference transformation to control for the unobserved heterogeneities of the banks and uses the lags of the dependent variable and the control variables as instrumental variables to control for other endogeneity problems.

In general, the results reveal that, in the face of an increase in the interest rate banks presents a flight to quality behavior and reduce the proportion of credit granted to companies with high agency cost. Besides, there are evidences that the flight movement towards the quality of banks resulting from changes in monetary policy is more intense in those banks that, on average, raise funds in markets with higher concentration on deposits, that is, in those banks that have greater market power over deposits.

The results show that actions of monetary policy have impacts on the bank’s behavior of flight to quality. There is evidence that the banks’ movement of flight to quality resulting from changes in monetary policy is more intense in those banks that, on average, raise funds in markets with higher concentration indexes on deposits, that is, in those banks that have greater market power over deposits. This implies that banks use their market power on deposits to intensify flight to quality situations in the face of monetary tightening.

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