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 firstname.lastname@example.org 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.
Jeudi 19 septembre 2019 à 14h30 : Olivier de Bandt (BDF), Sandrine Lecarpentier (ACPR) et Cyril Pouvelle (ACPR)
Discutant : Laura Valderrama (Fonds Monétaire International)
Lieu : ACPR – Auditorium – 4 place de Budapest 75009 Paris
The objective of the paper is to investigate how banks adjust the structure of their balance sheet as a response to a funding shock and to propose a methodology for projecting banks’ liquidity ratios in a top-down stress test scenario. In line with a theoretical model assessing the effects of capital and liquidity constraints on banks’ behaviour, we estimate the joint system of banks’ solvency and liquidity ratios, using for proxy of the latter, the "liquidity coefficient" implemented in France before Basel III. We provide evidence of a positive effect of the solvency ratio on the liquidity coefficient: a high level of solvency enables the liquidity coefficient to improve due to a more stable funding structure. By contrast, we do not find firm evidence of an impact of the liquidity coefficient on the solvency ratio. We also show that financial variables capturing international markets’ risk aversion and tensions in the interbank market have a significant impact during periods of stress only, confirming the evidence of strong interactions between market liquidity and bank funding liquidity during crisis periods.
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.