Vous êtes ici

Séminaire mensuel de la Chaire ACPR « Régulation et Risques Systémiques »

 

Le séminaire de la Chaire ACPR, organisé mensuellement, se concentre sur les questions de régulation et de risque systémique pour les banques et les organismes d’assurance. Cette page présente les éléments relatifs aux événements, passés ou à venir, ainsi que les modalités de participation.

Le séminaire de la Chaire ACPR se déroule habituellement le premier mercredi de chaque mois de 10h00 à 11h30 à l’ACPR : 4 rue de Budapest, Salle Liège (rez-de-jardin) - Voir plan d'accès.  

Le séminaire est ouvert à tous. L’inscription par mail à chaireACPR@acpr.banque-france.fr est gratuite mais obligatoire pour y assister. Si vous souhaitez être informés des prochains évènements, merci d’envoyer un mail à la même adresse.

La Direction des Études de l’ACPR organise également des séminaires indépendants : la page dédiée aux séminaires de recherche organisés par l’ACPR est accessible ici.

 

PROCHAIN ÉVÉNEMENT

Mercredi 13 décembre 2023, 10h30 – 12h

Juan Imbet (Université Paris Dauphine) présentera

“Social media as a Bank Run Catalyst

Abstract:

Social media fueled a bank run on Silicon Valley Bank (SVB), and the effects were felt broadly in the U.S. banking industry. We employ comprehensive Twitter data to show that preexisting exposure to social media predicts bank stock market losses in the run period even after controlling for bank characteristics related to run risk (i.e., mark-to-market losses and uninsured deposits). Moreover, we show that social media amplifies these bank run risk factors. During the run period, we find the intensity of Twitter conversation about a bank predicts stock market losses at the hourly frequency. This effect is stronger for banks with bank run risk factors. At even higher frequency, tweets in the run period with negative sentiment translate into immediate stock market losses. These high frequency effects are stronger when tweets are authored by members of the Twitter startup community (who are likely depositors) and contain keywords related to contagion. These results are consistent with depositors using Twitter to communicate in real time during the bank run.

Attention, ce séminaire aura lieu en mode hybride (le séminaire se tiendra à l’ACPR : 4 Pl. de Budapest, 75009 Paris avec possibilité de suivre en distanciel)

L’inscription (gratuite) est obligatoire (pour les 2 modes de participation) par mail à chaireACPR@acpr.banque-france.fr

Si vous optez pour le mode visio, le lien de connexion vous sera envoyé prochainement

- Pour nous contacter

- Article

 

DERNIER ÉVÉNEMENT

Mercredi 8 novembre 2023, 10h30 – 12h

Jan Hannes Lang (Banque Centrale Européenne) présentera

The state-dependent impact of changes in bank capital requirements ”

Abstract:

Based on a non-linear equilibrium model of the banking sector with an occasionally-binding equity issuance constraint, we show that the economic impact of changes in bank capital requirements depends on the state of the macro-financial environment. In “normal” states where banks do not face problems to retain enough profits to satisfy higher capital requirements, the impact on bank loan supply works through a “pricing channel” which is small: around 0.1% less loans for a 1pp increase in capital requirements. In “bad” states where banks are not able to come up with sufficient equity to satisfy capital requirements, the impact on loan supply works through a “quantity channel”, which acts like a financial accelerator and can be very large: up to 10% more loans for a capital requirement release of 1pp. Compared to existing DSGE models with a banking sector, which usually feature a constant lending response of around 1%, our state-dependent impact is an order of magnitude lower in “normal” states and an order of magnitude higher in “bad” states. Our results provide a theoretical justification for building up a positive countercyclical capital buffer in “normal” macro-financial environments.

Attention, ce séminaire aura lieu en mode hybride (le séminaire se tiendra à l’ACPR : 4 Pl. de Budapest, 75009 Paris avec possibilité de suivre en distanciel)

L’inscription (gratuite) est obligatoire (pour les 2 modes de participation) par mail à chaireACPR@acpr.banque-france.fr

Si vous optez pour le mode visio, le lien de connexion vous sera envoyé prochainement

- Pour nous contacter

- Article

Compte-rendu

 

 

Publication Chaire ACPR régulation et risque systèmique
The state-dependent impact of changes in bank capital requirements

Based on a non-linear equilibrium model of the banking sector with an occasionally-binding equity issuance constraint, we show that the economic impact of changes in bank capital requirements depends on the state of the macro-financial environment. In ...

  • Publié le 12/10/2023
  • FR
  • PDF (2.74 Mo)
Publication Chaire ACPR régulation et risque systèmique
Assessing the Impact of Basel III on European Bank Lending

The failures of the banking sector to promote sustainable lending and build substantial capital and liquidity buffers prior to the 2008 Financial Crisis addressed the rationale for implementing Basel III. In this paper, we question the fundamental role...

  • Publié le 12/10/2023
  • FR
  • PDF (443.88 Ko)
Publication Chaire ACPR régulation et risque systèmique
International banking regulation and Tier 1 capital ratios. On the robustness of the critical average risk weight framework

Under Basel III, the current international banking regulation, banks must maintain two Tier 1 capital ratios that treat risky assets differently. The Basel Committee uses the critical average risk weight (CARW) framework developed by the Bank of...

  • Publié le 13/09/2023
  • FR
  • PDF (665.51 Ko)
Publication Chaire ACPR régulation et risque systèmique
Incomplete supervisory cooperation

Banking supervisors frequently cooperate across countries, but cooperation only imperfectly covers the global operations of large banking groups. We show that this causes significant third-country externalities. Using hand-collected supervisory...

  • Publié le 22/08/2023
  • FR
  • PDF (2.7 Mo)
Publication Chaire ACPR régulation et risque systèmique
The Effect of Mandatory ESG Disclosure Around the World

We compile a novel dataset on mandatory environmental, social, and governance (ESG) disclosure around the world to analyze the stock liquidity effects of such disclosure mandates. We document a significant positive effect of ESG disclosure mandates on...

  • Publié le 22/08/2023
  • FR
  • PDF (1.86 Mo)
Publication Chaire ACPR régulation et risque systèmique
Financing and Resolving Banking Groups

We study how banks’ resolution regimes affect investment. Banking groups create financing synergies by transferring excess financing capacity across units and lowering bankers’ agency rents from monitoring. Single-point-of entry (SPOE) resolution...

  • Publié le 16/05/2023
  • FR
  • PDF (774.54 Ko)
Publication Chaire ACPR régulation et risque systèmique
Don’t Lead Me This Way: Central bank guidance at the age of climate change

Since the adoption of the Paris Agreement in 2015, climate change has been extensively acknowledged worldwide as a cause of perturbations for our economic structure, and a cause of disruption of our financial system. The increasing number of...

  • Publié le 04/04/2023
  • FR
  • PDF (269.4 Ko)
Publication Chaire ACPR régulation et risque systèmique
Green investment and asset stranding under transition scenario uncertainty

We develop a real-options approach to evaluate energy assets and potential investment projects under transition scenario uncertainty. Dynamic scenario uncertainty is modelled by assuming that the economic agent acquires the information about the...

  • Publié le 21/02/2023
  • FR
  • PDF (1.86 Mo)
Publication Chaire ACPR régulation et risque systèmique
Bank Debt, Mutual Fund Equity, and Swing Pricing in Liquidity Provision

Liquidity provision is often attributed to debt-issuing intermediaries like banks. We show that mutual funds issuing demandable equity also provide liquidity by insuring against idiosyncratic liquidity shocks. Quantitatively, the average bond fund...

  • Publié le 12/01/2023
  • FR
  • PDF (873 Ko)
Publication Chaire ACPR régulation et risque systèmique
A climate credit risk model: a structural approach

We introduce a structural model to assess the climate transition risk associated to portfolios of corporate bonds and equity shares, conditioned to climate scenarios, such as those developed by the Network for Greening the Financial System (NGFS).We...

  • Publié le 12/01/2023
  • FR
  • PDF (214.68 Ko)