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

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.

 

Dernier évènement

Mardi 11 décembre 2018 à 14h30: 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 :

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 Séminaires de recherche ACPR
How does currency diversification explain bank leverage procyclicality ?

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...

  • Publié le 03/12/2018
  • FR
  • PDF (427.31 Ko)
Publication Séminaires de recherche ACPR
Importance et intégration des centres financiers extraterritoriaux dans l'architecture financière internationale
  • Publié le 02/07/2018
  • FR
  • PDF (1.56 Mo)
Publication Séminaires de recherche ACPR
How post-crisis regulation has affected bank CEO compensation ?
  • Publié le 22/02/2018
  • FR
  • PDF (981.25 Ko)
Publication Séminaires de recherche ACPR
The impact of the identification of GSIBs on their business model

Most research papers dealing with systemic footprint in the banking system either investigate the definition and the measure of systemic risk, or try to identify systemic banks and to quantify the systemic risk buffers. To the best of our knowledge,...

  • Publié le 11/01/2018
  • FR
  • PDF (822.34 Ko)