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Bank leverage shocks and the macroeconomy: a new look in a data-rich environment.

Mésonnier, J-S.; Stevanovic, D. - Banque de France - 2012

The recent crisis has revealed the potentially dramatic consequences of allowing the build-up of an overstretched leverage of the financial system, and prompted proposals by bank supervisors to significantly tighten bank capital requirements as part of the new Basel 3 regulations. Although these...

Persistent link: https://www.econbiz.de/10010816017

Stress testing French banks' income subcomponents

Coffinet, J.; Lin, S.; Martin, C. - Banque de France - 2009

Using a broad dataset of individual consolidated data of French banks over the period 1993-2007, we seek to evaluate the sensitivity to adverse macroeconomic scenarios of the three main sources of banking income, namely interest margins, fees and commissions, and trading income. First, we show...

Persistent link: https://www.econbiz.de/10008479241

La transmission des taux de marché aux taux bancaires : une estimation sur données individuelles françaises.

Barbier de la Serre, A.; Frappa, S.; Montornès, J.; … - Banque de France - 2008

The present paper investigates the pass-through mechanism between market interest rates and bank interest rates using a panel of French banks based on new ESCB harmonised bank interest rate statistics (MIR: Monetary Interest Rates). The data are extracted from new individual contracts on a...

Persistent link: https://www.econbiz.de/10008528495

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

This paper offers a comprehensive comparison of the structure of banking and financial markets in the euro area. Based on this, several hypotheses about the role of banks in monetary policy transmission are developed. Many of the predictions that have been proposed for the U.S. are deemed...

Persistent link: https://www.econbiz.de/10005056514

Bank Capital Adjustment Process and Aggregate Lending.

Duprey, T.; Lé, M. - Banque de France - 2014

This paper proposes a new micro-founded measure to quantify the aggregate capitalisation of banking sectors taking into account both market discipline and regulatory constraints. It allows studying the connection between micro capital shortfalls from an implicit bank specific capital target and...

Persistent link: https://www.econbiz.de/10010797657

Too-connected versus too-big-to-fail: banks’ network centrality and overnight interest rates.

Gabrieli, S. - Banque de France - 2012

) Before the start of the crisis all the banks, independently of their size, profit from different forms of interconnectedness …

Persistent link: https://www.econbiz.de/10010575494

Stress testing banks' profitability: the case of French banks

Coffinet, J.; Lin, S. - Banque de France - 2010

We build a stress testing framework to evaluate the sensitivity of banks’ profitability to plausible but severe adverse … French banks’ profitability. Second, our macroeconomic stress testing exercises based on a simulation of macroeconomic … variables show that French banks’ profitability is resilient to major adverse macroeconomic scenarios. Specifically, our …

Persistent link: https://www.econbiz.de/10008764498

The Dynamics of Gasoline Prices: Evidence from Daily French Micro Data

Gautier, E.; Le Saout, R. - Banque de France - 2012

Using millions of individual gasoline prices collected at a daily frequency, we examine the speed at which market refined oil prices are transmitted to consumer liquid fuel prices. We find that on average gasoline prices are modified once a week and the distribution of price changes displays a...

Persistent link: https://www.econbiz.de/10010541038

The Behaviour of Producer Prices: some Evidence from the French PPI Micro Data.

Gautier, E. - Banque de France - 2006

This paper provides some new empirical features on price setting behaviour for French producers using micro data underlying the producer and business-services price indices over the period 1994-2005. Some crucial methodological issues on the collection of producer prices are raised. Then, the...

Persistent link: https://www.econbiz.de/10004998846

Price Rigidity. Evidence from the French CPI Macro-Data

Baudry, L.; Le Bihan, H.; Sevestre, P.; Tarrieu, S. - Banque de France - 2004

Based upon a large fraction of the price records used for computing the French CPI, we document consumer price rigidity in France. We first provide a methodological discussion of issues involved in estimating average price duration with micro-data. The average duration of prices in the sectors...

Persistent link: https://www.econbiz.de/10005056512

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