ACPR research seminars
The ACPR Studies Department organizes a series of academic seminars where invited or ACPR-affiliated researchers present their work on regulatory or financial risk issues. The seminars are open to everyone.
The seminar takes place in the premises of the ACPR, 4, place de Budapest, Salle Liège (rez-de-jardin) (see access plan)
Registration by email at email@example.com is free but compulsory in order to attend. If you wish to be informed of upcoming events, please send an email to the same address.
The ACPR also hosts the monthly seminars of the ACPR research Initiative: the page dedicated to the ACPR seminars is available here.
Tuesday 28 May 2019 – 10.00 am: Michel Dietsch (Strasbourg University), Henri Fraisse (BDF/ACPR), Mathias Lé (BDF) and Sandrine Lecarpentier (ACPR)
Discutant : David Martinez Miera (Carlos III University, Madrid)
Venue : Banque de France – Salle de réunion DRIANT9 N1-O1S26 – 9 Rue du Colonel Driant 75001 Paris
Starting in 2014 with the implementation of the European Commission Capital Requirement Directive, banks operating in the Euro area were benefiting from a 25% reduction (the Supporting Factor or "SF" hereafter) in own funds requirements against Small and Medium-sized enterprises ("SMEs" thereafter) loans. We investigate empirically whether this reduction has supported SME financing and to which extent it is consistent with SME credit risk. Economic capital computations based on multifactor models do confirm that capital requirements should be lower for SMEs. Taking into account the uncertainty surrounding their estimates and adopting a conservative approach, we show that the SF is consistent with the difference in economic capital between SMEs and large corporates. As for the impact on credit distribution, our differences-in-differences specification enables us to find a positive and significant impact of the SF on the credit supply.
TUESday, DECEMBER 11th 2018 - 14h30 Pm: Justine Pedrono (ACPR)
Discutant : Cédric Tille (Graduate Institute, Geneva)
Lieu : ACPR – salle Liège (RdJ) – 4 place de Budapest 75009 Paris
The amplitude of leverage procyclicality is heterogeneous across banks and across countries. This paper introduces international diversification of bank balance sheet as a factor of this observed heterogeneity, with a special emphasis on currency diversification. Theoretically, the impact of international diversification on leverage procyclicality depends on the relative performance of economies, the global business cycle and the exchange rate regime. Using granular data on banks located in France, I show that the pre-crisis international diversification of banks increased leverage procyclicality during the 2008-2009 crisis. Focusing on the foreign exchange rate impact, namely the valuation effect of currency diversification, my results suggest that it had a negative effect on leverage procyclicality during this period. These findings draw attention to the specific role of balance sheet currency diversification in financial stability risk.