Replication package: Redistributing the Margin — Heterogeneous Monetary Transmission to Bank Interest Margins in Brazil
Description
Está indo bem — título, contribuidor (Marlon Bruno Salazar) e os dois arquivos já subiram, e o DOI já está reservado (canto direito, "Reserved DOI... DOI is reserved but not active"). É esse número que você vai me passar. Faltam três coisas antes de publicar: 1. Description — está vazia (é obrigatória, o asterisco). Cole: Replication package for the article "Redistributing the Margin: Heterogeneous Monetary Transmission to Bank Interest Margins in Brazil." It contains the full R pipeline and the constructed panels used to estimate the transmission of the Selic policy rate to the net interest margin (NIM) of Brazilian Type B1 banking conglomerates, 2014Q1–2024Q4 (115 institutions, 44 quarters). The data derive from public sources of the Banco Central do Brasil (IF.data/COSIF and the SGS series). Scripts cover extraction from the BCB Olinda API, panel construction, estimation (fixed effects and two-way fixed effects, FE-WLS with standard errors clustered by institution, and a wild cluster bootstrap for the nine public banks), an independent reproducibility audit (44 PASS / 0 FAIL), robustness checks, and the bank-level marginal-effects distribution. A README documents the run order and every output. Constructed panels (master_panel.rds, painel_A1.rds) are included so the estimates reproduce without re-downloading from the API.
Files
Steps to reproduce
R (>= 4.2) is required, with packages tidyverse, lubridate, fs, httr, jsonlite, GetBCBData, fixest, plm, lmtest, car, and fwildclusterboot. Set the paths in code/00_config.R to a local directory. To reproduce the estimates directly from the included panels, run code/07_estimate_A1.R (reads data/painel_A1.rds), then code/09_robustez_A1.R and code/10_efeitos_marginais_A1.R. To rebuild everything from the public BCB API, run code/00_run_all.R (executes 00–05 and writes master_panel.rds), then code/06_extract_A1.R (writes painel_A1.rds), then 07 to 10. The independent audit is code/08_verifica_A1.R, which reconstructs the panel and re-estimates every model, printing 44 PASS / 0 FAIL. Outputs are written as A1_*.csv and consolidated in results/A1_resultados_FINAL.xlsx. See README.md for the full run order and variable dictionary.