Determinantes dos spreads de dívida bancária: Evidência empírica da Zona Euro

Abstract

A presente dissertação estuda os determinantes dos spreads de obrigações bancárias para três segmentos: covered bonds, senior preferred e senior non-preferred. O principal objetivo é avaliar o impacto de fatores macroeconómicos (inflação e debt-to-GDP), risco sistémico (Composite Indicator of Systemic Stress), política monetária (Deposit Facility Rate, Third Covered Bond Purchase Programme e Pandemic Emergency Purchase Programme) e características da emissão (maturidade, volume de emissão, oversubscription, rating, cláusula de call, e certificação ambiental, social e de governança) nos spreads dos três segmentos, através de testes de regressão linear múltipla com erros de White (HC0). Os resultados mostram diferenças entre os determinantes dos três segmentos de dívida. O risco sistémico mostra um impacto consistente, confirmando a sua relevância na determinação dos spreads. A política monetária, especialmente o Third Covered Bond Purchase Programme e a Deposit Facility Rate, apresentam efeitos robustos nos spreads. As variáveis macroeconómicas revelam poder explicativo nas covered bonds e em dívida senior preferred, mas sem significância em dívida senior non-preferred. As características intrínsecas da emissão também contribuem para explicar os spreads, no entanto a significância de cada variável varia entre segmentos. Os resultados confirmam a importância da política monetária e do risco sistémico como determinantes dos spreads de obrigações bancárias, enquanto as variáveis macroeconómicas e as características intrínsecas da emissão também são importantes. Este estudo complementa a literatura ao examinar o impacto do Composite Indicator of Systemic Stress nos spreads, fornecendo uma perspetiva segmentada e analisando os determinantes dos spreads para dívidas senior preferred e senior non-preferred.

This thesis examines the determinants of bank bond spreads across three segments: covered bonds, senior preferred and senior non-preferred. The main goal is to assess the impact of macroeconomic factors (inflation and debt-to-GDP), systemic risk (Composite Indicator of Systemic Risk), monetary policy (Deposit Facility Rate, Third Covered Bond Purchase Programme and Pandemic Emergency Purchase Programme) and issue characteristics (maturity, issue volume, oversubscription, rating, call clause, and Environmental, Social and Governance certification) on spreads in the three segments, by using multiple linear regression tests with White errors (HC0). The results show differences between the determinants of the three debt segments. Systemic risk shows a consistent impact, confirming its relevance in determining spreads. Monetary policy, especially the Third Covered Bond Purchase Programme and the Deposit Facility Rate, has robust effects on spreads. Macroeconomic variables reveal explanatory power in covered bonds and senior preferred debt but are not significant in senior non-preferred debt. The intrinsic characteristics of the issue also contribute to explaining spreads, but the significance of each variable varies between segments. The results confirm the importance of monetary policy and systemic risk as determinants of bank bond spreads, while macroeconomic variables and the intrinsic characteristics of the issue are also important. This study complements the literature by examining the impact of the Composite Indicator of Systemic Stress on spreads, providing a segment perspective and analyzing the determinants of spreads for senior preferred and senior non-preferred debt.