Séminaires de recherche ACPR

La Direction d'Études et d'Analyse des Risques de l’ACPR organise une série de séminaires académiques où des chercheurs invités ou membres de l’ACPR présentent leurs derniers travaux, sur des thématiques de régulation ou de risque financier. Ces séminaires sont ouverts à tous.

Le séminaire a lieu dans les locaux de l’ACPR, 4, place de Budapest, Salle Liège (rez-de-jardin) (voir plan d'accès)

L’inscription par mail à seminaire-recherche-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.

L’ACPR héberge également les séminaires mensuels de la Chaire ACPR : la page dédiée aux séminaires de la Chaire ACPR est accessible ici.

 

PROchain évènement

Jeudi 19 septembre 2019 à 14h30 : Olivier de Bandt (BDF), Sandrine Lecarpentier (ACPR) et Cyril Pouvelle (ACPR)

"Determinants of banks’ liquidity: a French perspective on market and regulatory ratio interactions"

Discutant : Laura Valderrama  (Fonds Monétaire International)

Lieu : ACPR – Auditorium – 4 place de Budapest 75009 Paris

 

Abstract:

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.

 

Dernier évènement

Mardi 28 mai 2019 à 10h00: Michel Dietsch (Université de Strasbourg), Henri Fraisse (BDF/ACPR), Mathias Lé (BDF) et Sandrine Lecarpentier (ACPR)

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

Discutant : David Martinez Miera (Université Carlos III, Madrid)

Lieu (à titre exceptionnel) : 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.

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