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Stress-testing banks’ corporate credit portfolio
Bandt, O. de; Dumontaux, N.; Martin, V.; Médée, D. - Banque de France - 2013
The paper describes the methods used by the French Banking Supervision Authority (ACP) to run stress tests for the corporate credit portfolio, through credit migration matrices (or transition matrices). This approach is currently used for “top-down” stress tests exercises. Developed for...
Persistent link: https://www.econbiz.de/10010929765
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Stress-testing banks’ corporate credit portfolio
Bandt, O. de; Dumontaux, N.; Martin, V.; Médée, D. - Banque de France - 2013
The paper describes the methods used by the French Banking Supervision Authority (ACP) to run stress tests for the corporate credit portfolio, through credit migration matrices (or transition matrices). This approach is currently used for “top-down” stress tests exercises. Developed for...
Persistent link: https://www.econbiz.de/10010929766
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Bank risks, monetary shocks and the credit channel in Brazil: identification and evidence from panel data.
Ramos-Tallada, J. - Banque de France - 2015
Using a large database of bank financial statements, this paper investigates the determinants of the bank lending … period. The sensitivity of credit supply to monetary shocks is not related to the bank characteristics generally used in the … empirical literature, whereas a proxy of the individual bank external finance premium (EFP) tends to capture financial …
Persistent link: https://www.econbiz.de/10011269008
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Credit and Liquidity in Interbank Rates: a Quadratic Approach.
Dubecq, S.; Monfort, A.; Renne, J-P.; Roussellet, G. - Banque de France - 2013
We propose a quadratic term-structure model of the EURIBOR-OIS spreads. Contrary to OIS, EURIBOR rates incorporate credit and liquidity risks resulting in compensations for (a) facing default risk of debtors, and (b) possible unexpected funding needs on the lender’s side. Our approach allows...
Persistent link: https://www.econbiz.de/10010815975
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Monitoring the European CDS Market through Networks: Implications for Contagion Risks.
Clerc, L.; Gabrieli, S.; Kern, S.; El Omari, Y. - Banque de France - 2014
importance of some non-dealer/non-bank participants belonging to the shadow banking system. …
Persistent link: https://www.econbiz.de/10010753778
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Domestic Savings and Foreign Capital: the Complementarity Channel.
Kharroubi, E. - Banque de France - 2008
Recent empirical work has shown that current account deficits have been associated with lower growth in developing countries while they have been associated with higher growth in developed countries. This paper shows that this can be rationalized in an environment where firms face (i)...
Persistent link: https://www.econbiz.de/10008528503
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Financial (Dis)Integration.
Kharroubi, E. - Banque de France - 2006
This paper addresses the macroeconomic impact of international financial integration. I first provide empirical evidence that foreign banking penetration can be associated with a contraction of banking credit, especially in countries with poor credit markets. Second I present a model in which...
Persistent link: https://www.econbiz.de/10004998820
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Financial Systems and the Role of Banks in Monetary Policy Transmission in the Euro Area.Author-Name: Ehrmann, M.
Gambacorta, L.; Martínez-Pagés, J.; Sevestre, P.; … - Banque de France - 2002
monetary policy does alter bank loan supply, with the effects most dependent on the liquidity of individual banks. Unlike in … the US, the size of a bank does generally not explain its lending reaction. We also show that the standard publicly …
Persistent link: https://www.econbiz.de/10005056514
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Banks' financial conditions and the transmission of monetary policy: a FAVAR approach.
Jimborean, R.; Mésonnier, J-S. - Banque de France - 2010
We propose a novel approach to assess whether banks' financial conditions, as reflected by bank-level information … summarizing large sets of individual bank balance sheet ratios in a standard factor-augmented vector autoregression model (FAVAR … of adjustments in banks' balance sheets structure. However, we also find that fluctuations in bank ratio factors are …
Persistent link: https://www.econbiz.de/10008678192
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BASEL III: Long-term impact on economic performance and fluctuations
Angelini, P.; Clerc, L.; Cúrdia, V.; Gambacorta, L.; … - Banque de France - 2011
We assess the long-term economic impact of the new regulatory standards (the Basel III reform), answering the following questions. (1) What is the impact of the reform on long-term economic performance? (2) What is the impact of the reform on economic fluctuations? (3) What is the impact of the...
Persistent link: https://www.econbiz.de/10008873321