Abstract
Este trabalho buscou evidências sobre o papel de ativos e passivos de tributos diferidos como instrumento de atingimento e arbitragem dos níveis de capital regulatório por instituições financeiras brasileiras no período de 2004 a 2009. Foram desenvolvidas duas hipóteses: a) os gestores das instituições financeiras brasileiras utilizam tributos diferidos para satisfazer os limites necessários de capital regulatório e b) os gestores das instituições financeiras brasileiras utilizam tributos diferidos de maneira discricionária como instrumento de arbitragem de capital regulatório. Para tanto, este estudo obtêm evidências analisando informações contábeis anuais das instituições financeiras brasileiras. As hipóteses são testadas utilizando as técnicas de análise de dados de regressão linear múltipla e regressão com dados em painel. Como resultado, o estudo mostrou que as instituições financeiras brasileiras utilizaram tributo diferido para apoiar ou atingir os níveis de capital mínimo exigido pelo Acordo de Basileia, mas obteve-se também evidência de que o volume de capital regulatório influencia diretamente o volume de tributos diferidos, contrariando a literatura internacional, que sugere discricionariedade no uso dos tributos diferidos como forma de arbitragem do capital regulatório.
Highlights
The Basel Accord, first drafted in 1988 in the International Convergence of Capital Measurement and Capital Standards (BIS, 1988) document, is one of many regulations that financial institutions are subject to
The basic instrument employed in this Accord was the so-called regulatory capital or Basel Index (BI), which indicates the minimum amount of capital that the financial institution must hold
Two studies in the international literature are directly aligned with the focus on regulatory capital management in financial institutions: Gee and Mano (2006) addressed issues related to the importance of deferred taxes for the maintenance of regulatory capital in Japan in the period from 2002 to 2004 through a case study of the five largest Japanese bank groups; and Skinner (2008) supplied empirical evidence on the use of deferred taxes by Japanese banks as part of a strategy for regulatory capital attainment and the practice of regulatory capital arbitrage
Summary
The Basel Accord, first drafted in 1988 in the International Convergence of Capital Measurement and Capital Standards (BIS, 1988) document, is one of many regulations that financial institutions are subject to. Two studies in the international literature are directly aligned with the focus on regulatory capital management in financial institutions: Gee and Mano (2006) addressed issues related to the importance of deferred taxes for the maintenance of regulatory capital in Japan in the period from 2002 to 2004 through a case study of the five largest Japanese bank groups; and Skinner (2008) supplied empirical evidence on the use of deferred taxes by Japanese banks as part of a strategy for regulatory capital attainment and the practice of regulatory capital arbitrage In this context, the present study seeks to answer the following question: Are deferred tax assets and liabilities used by Brazilian financial institutions as instruments for the attainment and arbitrage of regulatory capital levels?.
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