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Mesurer l’excès de crédit avec le « gap bâlois » : pertinence et limites pour la fixation du coussin de fonds propres bancaires contracyclique

Author

Listed:
  • COUAILLIER, C.
  • IDIER, J.

Abstract

L’indicateur d’ « excès d’endettement privé » ou « gap bâlois » s’établit fin 2016 à 1,8 point de pourcentage.À partir de 2 points de pourcentage, le Comité européen du risque systémique considère que des risques pour la stabilité financière pourraient survenir et il recommande aux autorités macroprudentielles nationales une activation du coussin de fonds propres bancaires contracyclique. Mais que signifie exactement cet indicateur ? Comment le mesure-t-on ? Quelle est sa robustesse ?.

Suggested Citation

  • Couaillier, C. & Idier, J., 2017. "Mesurer l’excès de crédit avec le « gap bâlois » : pertinence et limites pour la fixation du coussin de fonds propres bancaires contracyclique," Bulletin de la Banque de France, Banque de France, issue 211, pages 61-74.
    • Handle: RePEc:bfr:bullbf:2017:211:06
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    References listed on IDEAS

    as
    1. Christian Dembiermont & Mathias Drehmann & Siriporn Muksakunratana, 2013. "How much does the private sector really borrow - a new database for total credit to the private non-financial sector," BIS Quarterly Review, Bank for International Settlements, March.
    2. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2011. "Anchoring Countercyclical Capital Buffers: The role of Credit Aggregates," International Journal of Central Banking, International Journal of Central Banking, vol. 7(4), pages 189-240, December.
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    Citations

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    Cited by:

    1. Cyril Couaillier & Julien Idier & Valerio Scalone, 2019. "Activation of countercyclical capital buffers in Europe: initial experiences [Activation des coussins contracycliques en Europe : premiers retours d’expérience]," Bulletin de la Banque de France, Banque de France, issue 222.

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    More about this item

    Keywords

    politique macroprudentielle; crédit; endettement; méthodes statistiques; stabilité financière; cycle financier.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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