Search

La politique monetaire conduite par la Banque centrale europeenne (BCE) depuis une decennie et les evolutions demographiques et structurelles de nos societes ont conduit les economies de la zone euro vers un environnement de taux d’interet durablement faibles. Si ce dernier a permis d’eviter la deflation, il est aussi source d’inquietude pour le secteur bancaire. Toutefois, meme si l’aplatissement marque de la courbe des taux d’interet a pu fortement compresser la marge d’intermediation de certaines banques commerciales en zone euro, la baisse de la marge d’interet observee en France au cours des dernieres annees apparait relativement contenue. De plus, l’effet des taux bas sur la rentabilite est plus qu’incertain. En effet, des taux bas vont affecter de maniere asymetrique les principales composantes de la rentabilite des banques. En particulier, on peut s’attendre a ce que l’amelioration des conditions macroeconomiques et la baisse des provisions pour pertes sur prets viennent compenser la contraction des revenus d’interet. L’exercice empirique realise dans cet article sur un echantillon de grandes banques cotees de la zone euro montre que l’assouplissement de la politique monetaire a eu un effet positif sur la rentabilite economique des etablissements bancaires. Classification JEL : B26, E50, E51, G01, G21, G23, G28

This article presents empirical estimates of bank credit procyclicality for a sample of 11 Central and Eastern European countries (CEECs) for the period 2000Q1–2016Q4. In the first step, we estimate a traditional‐type panel vector autoregressive (VAR) model and analyse the evolution of credit procyclicality in the CEECs by comparing the impulse response functions for different business cycle periods. The results confirm the existence of credit procyclicality in the CEECs and show that procyclicality is higher during boom periods. Furthermore, we observe the heterogeneity of credit procyclicality in the different countries in our sample. To explain the cross‐country heterogeneity in credit procyclicality we construct an interacted panel VAR model and analyse whether bank‐level competition, proxied by the aggregate Lerner index, constitutes a driving force of credit procyclicality. Our findings indicate that bank competition affects credit procyclicality and explains the differences in credit dynamics across the CEECs. Specifically, we show that the reaction of credit to a gross domestic product shock is on average higher in a less competitive banking market.

Depuis la crise financiere mondiale, les economies avancees comme les economies emergentes ont progresse dans la mise en place d’un nouveau cadre de politique macroprudentielle et la mise en œuvre de mesures macroprudentielles. Cet article presente un apercu de ces mesures et de leur efficacite, et s’attache a fournir un eclaircissement aux debats recents entourant la politique macroprudentielle. En particulier, il se focalise sur deux defis majeurs qui restent a relever dans la mise en œuvre de la politique macroprudentielle, a savoir la coordination avec la politique monetaire et l’architecture institutionnelle qui en decoule, et la coordination internationale des politiques macroprudentielles. Ces deux questions font aujourd’hui l’objet des plus vifs debats et des plus nombreuses contributions academiques, et le but de cet article est alors de realiser un point d’etape sur l’avancee des connaissances et ce qui reste d’ignorance a leur sujet, une decennie apres le declenchement de la crise.

Granger-causality measures of interconnectedness between financial institutions are useful indicators of systemic risk (Billio et al., 2012) [Journal of Financial Economics], as they help in evaluating how far the distress of one institution is disseminated across the whole of the financial system through networks. This article provides a critical assessment of Granger-causality networks, showing that they can lead to inconsistent measures of systemic risk contributions because of the presence of spurious causalities arising from indirect contagion effects. The traditional solutions for controlling for these effects using inference on conditional Granger-causality lead to the curse of dimensionality though. To solve this, we provide a measure of financial network systemic risk contributions that is based on the leave-one-out (LOO) concept. For a given financial institution, the new measure evaluates how far the total number of significant Granger-causalities breaks down when this institution is excluded from the system. We control for spurious causalities between the remaining institutions due to the indirect contagion effect of the excluded financial institution using a conditional Granger-causality test, which is free of the curse of dimensionality. Empirical applications are conducted using daily market returns for a sample of the world’s largest banks. The results show that our measure gives a meaningful ranking of the systemic importance of financial institutions that is consistent with the ranking of global systemically important banks (G-SIBs) provided by the Financial Stability Board (FSB). Moreover, our measure is shown to be a robust and significant early-warning indicator of large losses from a systemic event, and is strongly driven by balance-sheet variables related to size, business model and profitability.

This paper empirically assesses how competition in the banking sector affects credit procyclicality by estimating both an interacted panel VAR model using macroeconomic data and a single-equation model with bank-level data. These two empirical approaches show that a deviation of actual GDP from potential GDP leads to greater credit fluctuations in economies where bank competition is weak. This suggests that increased market power for banks increases the financial accelerator mechanism, which is consistent with recent macroeconomic models showing that monopolistic banking tends to increase macroeconomic volatility by making credit cheaper during booms and more expensive during recessions.

International audience

Considering a sample of 37 emerging and advanced economies from 2000Q1 to 2014Q4, we empirically assess how effective macroprudential policies are in curbing domestic credit growth, and whether their effectiveness is affected by monetary policy conditions. We obtain three important results. First our findings suggest in line with previous research that an overall tightening in macroprudential policies is associated with a reduction in credit growth. Second, we show that a restrictive monetary policy enhances the impact of macroprudential tightening on credit growth. Third, our results seem to suggest that monetary policy helps to reduce the transmission delay of macroprudential policy actions. Consequently our results confirm the need for coordination between the two policies.

This paper empirically assesses the potential nonlinear relationship between competition and bank risk for a sample of commercial banks in the Baltic countries over the period 2000–2014. Competition is measured by two alternative indexes, the Lerner index and the market share, while we consider the Z-score and loan loss reserves as proxies for bank risk. In line with the theoretical predictions, we find an inverse U-shaped relationship between competition and financial stability. This then means that above a certain threshold, the lack of competition is likely to exacerbate the individual risk-taking behaviour of banks, and could be detrimental to the stability of the banking sector in the Baltic countries. The threshold is around 0.60 for the Lerner index, and close to 50% for market share in terms of assets. The policy implications are that the existence of such a threshold suggests that the future evolution of the structure of the banking industry in these countries is of critical importance. Specifically, this implies that policy-makers should place greater emphasis on mergers and acquisitions to avoid any significant increase of banking sector concentration.

This article investigates the relationship between central bank credibility and the volatility of the key monetary policy instrument. First, we propose a time-varying measure of central bank credibility based on the gap between inflation expectations and the official inflation target. While this new index addresses the main limitations of the existing indicators, it also appears particularly suited to assess the monetary experiences of a large sample of inflation-targeting emerging countries. Second, by means of EGARCH estimations, we formally prove the existence of a negative effect of credibility on the volatility of the short-term interest rate. In line with the expectations channel of monetary policy, the higher the credibility of the central bank, the lower the need to move its instruments to effectively fulfill its objective.

International audience

According to “Schwartz's conventional wisdom” and what has been called “divine coincidence”, price stability should imply macroeconomic and financial stability. However, in light of the global financial crisis, with monetary policy focused on price stability, scholars have held that banking and financial risks were largely unaddressed. According to this alternative view, the belief in divine coincidence turns out to be benign neglect. The objective of this paper is to test Schwartz's hypothesis against the benign neglect hypothesis. The priority assigned to the inflation goal is proxied by the central banks’ conservatism (CBC) index proposed by Levieuge and Lucotte (2014) , here extended to a large sample of 73 countries from 1980 to 2012. Banking sector vulnerability is measured by six alternative indicators that are frequently employed in the literature on early warning systems. Our results indicate that differences in monetary policy preferences robustly explain cross-country differences in banking vulnerability and validate the benign neglect hypothesis, in that a higher level of CBC implies a more vulnerable banking sector.

This paper empirically investigates how the stringency of macroeconomic policy frameworks impacts the unconditional cost of banking crises. We consider monetary, fiscal and exchange rate policies. A restrictive policy framework may promote stronger banking stability, by enhancing discipline and credibility, and by giving financial room to policymakers. At the same time though, tying the hands of policymakers may be counterproductive and procyclical, especially if it prevents them from responding properly to financial imbalances and crises. Our analysis considers a sample of 146 countries over the period 1970-2013, and reveals that extremely restrictive policy frameworks are likely to increase the expected cost of banking crises. By contrast, combining discipline and flexibility means that some policy arrangements such as budget balance rules with an easing clause, intermediate exchange rate regimes or an inflation targeting framework may significantly contain the cost of banking crises. As such, we provide evidence on the benefits of "constrained discretion" for the real impact of banking crises.

This paper empirically investigates the evolution and sources of interest-rate pass-through heterogeneity in the Eurozone for a sample of 11 Euro area countries over the period 2003M1–2013M12. Our findings, based on a panel error correction model approach and a panel interaction vector autoregressive framework, indicate that risk factors, as well as differences in financial market structures across countries, explain the heterogeneity of monetary transmission in the EU. In terms of policy implications, this means that future reforms promoting a more efficient and homogeneous monetary policy transmission should not only focus on risk factors but also should attempt to consolidate financial integration.

Using a hierarchical cluster analysis and considering a large range of harmonised banking indicators, this paper assesses the impact of the recent crisis on the fragmentation of the euro area banking system. Results show that the crisis has led to a growing heterogeneity of banking structures across euro area countries. It also appears a lack of banking integration for Greece and Italy since the creation of the euro zone. Our findings confirm, therefore, the need to construct a banking union that will mitigate cross-country differences in terms of banking structure and promote a fully integrated banking system.

This paper empirically assesses the effects of competition in the financial sector on credit procyclicality by estimating both an interacted panel VAR (IPVAR) model using macroeconomic data and a single-equation model with bank-level European banking data. The findings of these two empirical approaches highlight that an exogenous deviation of actual GDP from potential GDP leads to greater credit fluctuation in economies where: (i) competition among banks and, (ii) competition from non-bank financial institutions or direct finance (proxied by the financial structure) are weak. According to the financial accelerator theory, if lower competition strengthens the cyclical behavior of financial intermediaries, it follows that these "endogenous developments in credit markets work to amplify and propagate shocks to the macroeconomy" (Bernanke et al., 1999). Furthermore, since credit booms are closely associated with future financial crises (Laeven and Valencia, 2012), our results can also be read as evidence that greater competition in the financial sphere reduces financial instability, which is in line with the competition-stability view denying the existence of a trade-off between competition and stability.

This article investigates the relationship between central bank credibility and the volatility of the key monetary policy instrument. Two main contributions are proposed. First, we propose a time-varying measure of central bank credibility based on the gap between inflation expectations and the official inflation target. While this new index addresses the main limitations of the existing indicators, it also appears particularly suited to assess the monetary experiences of a large sample of inflation-targeting emerging countries. Second, by means of EGARCH estimations, we formally prove the existence of a negative effect of credibility on the volatility of the short-term interest rate. Thus, in line with the expectations channel of monetary policy, the higher the credibility of the central bank, the lower the need to move its instruments to efficiently fulfill its objective.

This paper examines the implications of banking competition for the interest rate channel in the Eurozone over the period 2003-2010. We use an Error Correction Model (ECM) approach to measure the long-run and short-run relationships between money market rates, bank interest rates, and our competition proxy, namely, the Lerner index. We find that competition (i) reduces the bank lending interest rates, (ii) increases the long-term interest pass-through and (iii) speeds up the adjustment towards the long-run equilibrium in the short-run. Therefore, increased competition would improve the effectiveness of monetary policy transmission through the interest rate channel, and from this point of view should be fostered in the Eurozone. Because the 2007-2009 financial crisis has undoubtedly led to a modification of the monetary policy and an increase of the heterogeneity in the Eurozone, we control and extend our results by considering many other aspects than the market structures that can affect the interest rate pass-through. Even if we observe that other factors (economic heterogeneity, systemic risk, banking stability, and capitalization) matter for monetary policy transmission, bank competition remains a key determinant of the pass-through.

This paper empirically investigates the evolution and the sources of interest rate pass-through heterogeneity in the Eurozone for a sample of 11 euro area countries over the period 2003M1-2011M12. Considering two harmonized bank retail rates, we first estimate single equation error correction models (ECM) and find an important pass-through heterogeneity, both for household and firm rates, even if results suggest that heterogeneity is not a new phenomenon. On the basis of this result, we then extend our analysis by studying the role played by a large number of structural and cyclical factors on monetary policy transmission. Findings based on a panel ECM approach and a panel interaction VAR framework indicate that financial tensions and fragile economic activity following the crisis are not the only factors that explain the heterogeneous monetary transmission in the euro. The differences of financial market structures across countries, in terms of banking competition and financial market development, also explain a part of this heterogeneity. In terms of policy implications, this means that future reforms promoting a more efficient and homogeneous monetary policy transmission should not only focus on risk factors, but also try to consolidate financial integration.

In this paper we suggest a simple empirical and model-independent measure of Central Banks' Conservatism, based on the Taylor curve. This new indicator can easily be extended in time and space, whatever the underlying monetary regime of the considered countries. We demonstrate that it evolves in accordance with the monetary experiences of 32 OECD member countries from 1980, and is largely equivalent to the model-based measure provided by Krause & Méndez [Southern Economic Journal, 2005]. We finally bring forward the interest of such an indicator for further empirical analysis dealing with the preferences of Central Banks.

In this paper we suggest a simple empirical and model-independent measure of Central Banks' Conservatism, based on the Taylor curve. This new indicator can easily be extended in time and space, whatever the underlying monetary regime of the considered countries. We demonstrate that it evolves in accordance with the monetary experiences of 32 OECD member countries from 1980, and is largely equivalent to the model-based measure provided by Krause & Mendez [Southern Economic Journal, 2005]. We finally bring forward the interest of such an indicator for further empirical analysis dealing with the preferences of Central Banks.

Inflation targeting is a monetary policy framework which was adopted by several emerging countries over the last decade. Previous empirical studies suggest that inflation targeting has significant effects on either inflation or inflation variability in emerging targeting countries. But, by reinforcing the disinflation process and so, by reducing drastically seigniorage revenue, the adoption of this monetary policy framework could also affect the design of fiscal policy. In a recent paper, Minea and Villieu (2009a) show theoretically that inflation targeting provides an incentive for governments to improve institutional quality in order to enhance tax revenue performance. In this paper, we test this theoretical prediction by investigating whether the adoption of inflation targeting affects the fiscal effort in emerging markets economies. Using propensity score matching methodology, we evaluate the “treatment effect” of inflation targeting on fiscal mobilization in thirteen emerging countries that have adopted this monetary policy framework by the end of 2004. Our results show that, on average, inflation targeting has a significant positive effect on public revenue collection., Au cours de la dernière décennie, nombre de pays émergents ont fait le choix d'adopter le ciblage d'inflation. Les précédentes études empiriques mettent en avant les relatives bonnes performances macroéconomiques, notamment en termes d'inflation, des pays industrialisés et émergents ayant adopté cette stratégie de politique monétaire. Néanmoins, la réduction importante des recettes de seigneuriage consécutive à l'adoption du ciblage d'inflation peut également affecter la conduite de la politique budgétaire et fiscale. Dans un récent article, Minea et Villieu (2009a) montre théoriquement que le ciblage d'inflation incite les gouvernements à améliorer la qualité de leurs institutions afin d'assurer une meilleure mobilisation fiscale. L'objectif de ce papier est de tester empiriquement cette prédiction théorique à l'aide d'une approche nouvellement utilisée en macroéconomie : l'appariement par score de propension. Les résultats de l'analyse empirique menée sur un échantillon de trente pays émergents (treize cibleurs et dix-sept non-cibleurs d'inflation) sur la période 1980-2004 montrent, qu'en moyenne, l'adoption du ciblage d'inflation a eu un impact positif sur le taux de prélèvement public.