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Le risque systémique dans la finance libéralisée

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  • Michel Aglietta

Abstract

[fre] Le risque systémique peut provenir de la contagion déclenchée par un choc exogène ou être engendré dans le cycle financier de manière endogène par l'interaction du crédit et du mouvement des prix des actifs. La gestion du risque fondée sur l'utilisation de la VaR et dans les transferts des risques de marché et de crédit par les produits dérivés a accru l'importance du second type de risque systémique. Une interdépendance stratégique s'est ainsi nouée dans le système financier international entre les banques et les non banques. Elle entraîne le risque systémique lorsque les conditions macroéconomiques du cycle se retournent. Les Banques centrales devraient construire des indicateurs macroéconomiques avancés de l'accumulation des fragilités financières dans la phase montante du cycle et élaborer des tests de stress macroéconomiques pour tenter de déceler la formation d'interdépendances stratégiques sur des marchés critiques. L'aptitude à maintenir le système financier liquide s'impose après le retournement du cycle des prix d'actifs. . Classification JEL : E44, F3, G15 [eng] Systemic and financial liberalization. Systemic risk may stem from a contagion process triggered by an exogenous shock or be originated endogenously in the financial cycle by the interplay of credit and asset prices. Financial liberalization has played down the first type and magnified the second type of systemic risk. This shift can be explained by the widespread use of the VaR framework in internal risk control systems and by risk transfer mechanisms via derivative markets. A Strategic interdependence has intertwined banks and non banks throughout the financial system worldwide. lt leads to systemic risk while the macroeconomic conditions of the cycle have turned around. Central banks should conceive leading macroeconomic indicators . to detect the buildup of financial fragilities in the upswing of the cycle and run macro stress tests in collaboration with international banks to pinpoint strategic interdependencies on critical markers. Keeping the financial system liquid is of primary importance after the turn down of asset prices. . JEL classification : E44, F3, G15

Suggested Citation

  • Michel Aglietta, 2003. "Le risque systémique dans la finance libéralisée," Revue d'Économie Financière, Programme National Persée, vol. 70(1), pages 33-50.
    • Handle: RePEc:prs:recofi:ecofi_0987-3368_2003_num_70_1_4819
    DOI: 10.3406/ecofi.2003.4819
    Note: DOI:10.3406/ecofi.2003.4819
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    References listed on IDEAS

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    1. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 24(Win), pages 14-23.
    2. Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57, Bank for International Settlements.
    3. Helmut Elsinger & Alfred Lehar & Martin Summer, 2006. "Risk Assessment for Banking Systems," Management Science, INFORMS, vol. 52(9), pages 1301-1314, September.
    4. Philip Lowe & Claudio Borio, 2002. "Asset prices, financial and monetary stability: exploring the nexus," BIS Working Papers 114, Bank for International Settlements.
    5. Morris, Stephen & Shin, Hyun Song, 1999. "Risk Management with Interdependent Choice," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 15(3), pages 52-62, Autumn.
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    Cited by:

    1. Moheddine Younsi & Amine Nafla, 2019. "Financial Stability, Monetary Policy, and Economic Growth: Panel Data Evidence from Developed and Developing Countries," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 10(1), pages 238-260, March.
    2. Michel Aglietta & Etienne Espagne, 2016. "Climate and finance systemic risks, more than an analogy? The climate fragility hypothesis," Working Papers 2016-10, CEPII research center.
    3. repec:hal:journl:dumas-00879876 is not listed on IDEAS
    4. Saoussen Ben Gamra & Dominique Plihon, 2007. "Politiques de liberalisation financiere et crises bancaires," Economie Internationale, CEPII research center, issue 112, pages 5-28.

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    More about this item

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F3 - International Economics - - International Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F3 - International Economics - - International Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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