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.

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

Wednesday 23 November 2022 at 11 pm: Théo Nicolas, Stefano Ungaro et Eric Vansteenberghe (ACPR/DEAR) 

"Public Guaranteed Loans and Bank Risk-Taking"

Discussant: Francesco Manaresi (OECD)

Please note that this seminar will take place in a hybrid mode: the seminar will take place at the ACPR 4 Pl. de Budapest, 75009 Paris, and will also be streamed online.

(Free) registration (for both in person or online participation) is compulsory by mail at SEMINAIRE-RECHERCHE-ACPR@acpr.banque-france.fr.

If you opt for online participation, the connection details will be sent to you in the following days.

 

Abstract :

We study the effect of Public Guaranteed Loans (PGLs) on bank risk-taking during the Covid-19 pandemic in France. The presence of guarantee schemes may encourage riskier lending, pushing banks to lend to riskier borrowers or worsening incentives to prevent write-offs of loan applicants.  Investigating the risk-taking channel of PGLs at the extensive margin, we find that smaller and riskier firms had a higher probability of obtaining a PGL. Yet, isolating credit demand from credit supply at the intensive margin,  we find that safer firms had higher amounts of PGLs, while banks that were more exposed to non-performing loans (NPLs) before the crisis made smaller PGLs to risky firms, thereby using the guaranteed loan program to improve their financial position and reduce exposure to NPLs. This result remains valid when looking at the total amount of outstanding credit. By examining the substitution effect of SGLs, we find that banks substituted more PGLs for unsecured loans when firms are sounder. Finally, at the bank level, we find that PGLs have no impact on the overall credit risk of banks credit portfolio.

 

LASt EVENT

Thursday 20 January 2022 at 3 pm: Théo Nicolas (ACPR/DEAR) 

"Bank Market Power and Interest Rate Setting: Do Consolidated Banking Data Matter?"

Discussant: Laurent Weill (Strasbourg University)

Please note that this seminar will be taking place online.

To receive the invitation to the web platform, (free) registration is compulsory by email at SEMINAIRE-RECHERCHE-ACPR@acpr.banque-france.fr

Abstract :

The literature on the effects of bank market power on access to credit has produced many results that are sometimes contradictory. Yet, this paper draws attention to a problematic aspect of traditional measures of bank market power, which are based on unconsolidated data and ignore the national market power of groups. This results in an underestimation that I propose to correct. Using a panel of more than 55,000 French covering the period 2006-2017, I consider a set of both unconsolidated and consolidated measures of bank market power (structural and non-structural). My results strongly support the market power hypothesis which emphasizes the virtues of competition on interest rate setting. While unconsolidated measures of bank market power do not affect the cost of credit, I find that consolidated measures increase the interest rate charged. This effect is stronger for small and opaque firms and is concentrated on long-term loans. These findings highlight the need to take into account bank capital linkages to fully assess the implications of bank market power.

Publication Seminars
Bank resolution and the structure of global banks

We study the efficient resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across jurisdictions, is efficient but may not be implementable. First, when expected transfers...

  • Published on 12/15/2017
  • FR
  • PDF (430.5 KB)
Publication Seminars
Adverse Selection on maturity : Evidence from online Consumer

Longer loan maturity provides borrowers with insurance against future changes in the price of credit. The present paper examines whether, consistent with theories of insurance markets with private information, maturity choice leads to adverse selection...

  • Published on 11/08/2017
  • FR
  • PDF (1.44 MB)
Publication Seminars
Lending Standards Over the Credit Cycle

We analyze how rms' segmentation into credit classes aects the lending standards applied by banks to small and medium enterprises over the cycle. We exploit an institutional feature of the Italian credit market that generates a discontinuity in...

  • Published on 10/04/2017
  • FR
  • PDF (1 MB)
Publication Seminars
Why risk is so hard to measure ?

This paper analyzes the reliability of standard approaches for Financial risk analysis. We focus on the difference between value–at–risk and expected shortfall, their small sample properties, the scope for underreporting risk and how estimation can be...

  • Published on 09/13/2017
  • FR
  • PDF (247.23 KB)
Publication Seminars
The Run for Safety : Financial Fragility and Deposit Insurance

We study a run on uninsured deposits in Danish banks triggered by a reform that limited deposit insurance coverage. Using a unique dataset with information about all individual bank accounts, we show that the reform caused a 50% decrease in deposits...

  • Published on 06/07/2017
  • FR
  • PDF (1.36 MB)
Publication Seminars
Winning Connections? Lobbying and the Resolution of Failed Banks

This paper studies how lobbying activities affect the resolution of failed banks during the Great Recession. We show evidence from failed-bank auctions that lobbying increases a bidder’s probability of winning by 26.4 percentage points. The transfer to...

  • Published on 04/05/2017
  • FR
  • PDF (956.73 KB)
Publication Seminars
Regulatory reform and risk-taking : replacing ratings

We analyze a reform of insurance companies’ capital requirements for mortgage-backed securities. First, credit ratings were replaced as inputs to capital regulation. Second, the redesigned system ensures capital buffers sufficient to withstand expected...

  • Published on 03/15/2017
  • FR
  • PDF (697.42 KB)
Publication Seminars
The Impact of Supervision on Bank Performance

We introduce a novel instrument to identify exogenous variation in the intensity of supervision across U.S. bank holding companies based on the size rank of a firm within its Federal Reserve district. We demonstrate that supervisors record more hours...

  • Published on 02/01/2017
  • FR
  • PDF (665.34 KB)
Publication Seminars
What drives the expansion of the peer-to-peer lending?

Peer-to-peer lending platforms are online intermediaries that match lenders with borrowers. We use data from the two leading online lenders, Prosper and Lending Club, to explore main drivers of their expansion in the United States. We exploit the...

  • Published on 01/04/2017
  • FR
  • PDF (1.52 MB)