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 seminaire-recherche-acpr@banque-france.fr 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.

 

NEXT EVENT

Tuesday 28 May 2019 – 10.00 am: Michel Dietsch (Strasbourg University), Henri Fraisse (BDF/ACPR), Mathias Lé (BDF) and Sandrine Lecarpentier (ACPR)

"LOWER CAPITAL REQUIREMENTS AS A POLICY TOOL TO SUPPORT CREDIT TO SMEs: EVIDENCE FROM A POLICY EXPERIMENT"

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

Abstract :

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.

 

LASt EVENT

TUESday, DECEMBER 11th 2018 - 14h30 Pm: Justine Pedrono (ACPR)

"HOW DOES CURRENCY DIVERSIFICATION EXpLAIN BANK LEVERAGE PROCYCLICALITY?"

Discutant : Cédric Tille (Graduate Institute, Geneva)

Lieu : ACPR – salle Liège (RdJ) – 4 place de Budapest 75009 Paris

Abstract :

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.

 

Publication Seminars
Time matters: how default resolution times impact final loss rates

Using access to a unique bank loss data base, we show positive dependencies of default resolution times (DRTs) of defaulted bank loan contracts and final loan loss rates (losses given default, LGDs). Due to this interconnection, LGD predictions made at...

  • Published on 06/05/2019
  • FR
  • PDF (312.77 KB)
Publication Seminars
Bank Concentration and Product Market Competition

This paper documents that concentration in the banking sector is associated with less competitive product market outcomes in non-financial sectors. We argue that a distinguishing feature of credit concentration is the higher incidence of competing...

  • Published on 03/08/2019
  • FR
  • PDF (501.76 KB)
Publication Seminars
Insurers as Asset Managers and Systemic Risk

Financial intermediaries often provide guarantees that resemble out-of-the-money put options, exposing them to tail risk. Using the U.S. life insurance industry as a laboratory, we present a model in which variable annuity (VA) guarantees and...

  • Published on 03/04/2019
  • FR
  • PDF (639.88 KB)
Publication Seminars
The Private Production of Safe Assets

Do claims on the private sector serve the role of safe assets? We answer this question using high-frequency panel data on prices and quantities of certificates of deposit (CDs) issued in Europe. We find that only very short-term private securities...

  • Published on 01/24/2019
  • FR
  • PDF (1.22 MB)