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A presente dissertação investiga o papel do rácio Loan-to-Value (LTV) na dinâmica da concessão de crédito bancário, considerando os segmentos de crédito à habitação, crédito ao consumo e crédito às empresas. O estudo recorre a uma amostra de 290 bancos distribuídos por 36 países, no período de 2005 a 2023, com dados obtidos a partir da base BankFocus. Para garantir consistência e fiabilidade, os valores extremos foram eliminados através do corte nos percentis 1% e 99%.
A metodologia baseia-se no modelo System Generalized Method of Moments (SGMM), adequado para dados em painel dinâmico e que permite lidar com potenciais problemas de endogeneidade. A robustez dos resultados foi assegurada através do teste de Hansen, que analisa a validade dos instrumentos, e do teste de Arellano-Bond, que verifica a ausência de autocorrelação de segunda ordem nos resíduos.
Os principais resultados mostram que o rácio LTV influencia de forma diferenciada os vários segmentos de crédito: aumenta a concessão de crédito habitação, mas associa-se a uma redução no crédito ao consumo e no crédito às empresas, revelando efeitos de substituição e realocação de recursos. Adicionalmente, a análise quantílica demonstra que estes efeitos não são homogéneos em toda a distribuição, evidenciando diferentes comportamentos consoante as características das instituições bancárias.
De facto, este trabalho contribui para a literatura ao fornecer evidência empírica sobre o impacto do LTV na estrutura de crédito bancário internacional, reforçando a importância da sua utilização como instrumento macroprudencial e alertando para a necessidade de um ajustamento criterioso das políticas regulatórias.
ABSTRACT: This dissertation investigates the role of the Loan-to-Value (LTV) ratio in the dynamics of bank lending, considering the segments of mortgage loans, consumer credit and corporate loans. The study uses a sample of 290 banks across 36 countries, covering the period from 2005 to 2023, with data obtained from the BankFocus database. To ensure consistency and reliability, extreme values were eliminated by cutting off the 1% and 99% percentiles. The methodology is based on the System Generalized Method of Momentes (SGMM) model, which is suitable for dynamic panel data and allows potential endogeneity problems to be addressed. The robustness of the results was ensured using the Hansen test, which analyzes the validity of the instruments, and the Arellano-Bond test, which verifies the absence of second-order autocorrelation in the residuals. The main results show that the LTV ratio has a differentiated influence on the various credit segments: it increases the granting of mortgage loans, but is associated with a reduction in consumer credit and corporate credit, revealing substitution and resource reallocation effects. In addition, the quantile analysis shows that these effects are not homogeneous across the distribution, revealing different behaviors depending on the characteristics of the banking institutions. In fact, this work contributes to the literature by providing empirical evidence on the impact of LTV on the international bank credit structure, reinforcing the importance of its use as a macroprudential instrument and highlighting the need for careful adjustment of regulatory policies.
ABSTRACT: This dissertation investigates the role of the Loan-to-Value (LTV) ratio in the dynamics of bank lending, considering the segments of mortgage loans, consumer credit and corporate loans. The study uses a sample of 290 banks across 36 countries, covering the period from 2005 to 2023, with data obtained from the BankFocus database. To ensure consistency and reliability, extreme values were eliminated by cutting off the 1% and 99% percentiles. The methodology is based on the System Generalized Method of Momentes (SGMM) model, which is suitable for dynamic panel data and allows potential endogeneity problems to be addressed. The robustness of the results was ensured using the Hansen test, which analyzes the validity of the instruments, and the Arellano-Bond test, which verifies the absence of second-order autocorrelation in the residuals. The main results show that the LTV ratio has a differentiated influence on the various credit segments: it increases the granting of mortgage loans, but is associated with a reduction in consumer credit and corporate credit, revealing substitution and resource reallocation effects. In addition, the quantile analysis shows that these effects are not homogeneous across the distribution, revealing different behaviors depending on the characteristics of the banking institutions. In fact, this work contributes to the literature by providing empirical evidence on the impact of LTV on the international bank credit structure, reinforcing the importance of its use as a macroprudential instrument and highlighting the need for careful adjustment of regulatory policies.
Descrição
Dissertação de Mestrado, Ciências Económicas e Empresariais, 19 de janeiro de 2026, Universidade dos Açores.
Palavras-chave
Bancos Crédito Loan-to-Value Rentabilidade Risco
Contexto Educativo
Citação
GASPAR, Beatriz Pereira. (2025). O Loan-to-Value e o efeito de realocação na concessão de crédito bancário. Ponta Delgada: Universidade dos Açores, 2025, 45 p. Dissertação de Mestrado em Ciências Económicas e Empresariais. Disponível em http://hdl.handle.net/10400.3/9034