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Canal des provisions bancaires et cyclicité du marché du crédit

Author

Listed:
  • Vincent Bouvatier

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Laetitia Lepetit

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges)

Abstract

Résumé : Des travaux empiriques portant sur les comportements de provisionnement des banques montrent que les provisions pour pertes évoluent de façon contracyclique. Ce fait stylisé est intégré dans un modèle théorique déterminant le comportement d'une banque représentative sur le marché du crédit. Le modèle et les simulations réalisées montrent que les modi…cations du coût de provisionnement supportées par la banque à travers un cycle économique ampli…ent les uctuations sur le marché du crédit. Deux mécanismes sont identi…és pour éliminer cette e¤et d'ampli…cation. D'un point de vue réglementaire, l'adoption d'un système de provisionnement dynamique représente une première solution. Au niveau de la banque, la constitution d'un "coussin de sécurité" en capital bancaire représente une seconde solution. Abstract :The literature on provisioning bank behaviour shows that loan loss provisions are counter-cyclical. Based on this stylised fact, this paper develops a partial equilibrium model of a banking …rm that analyzes how provisioning rules inuence credit market uctuations. The model and the simulations show that a backward-looking provisioning system ampli…es the uctuations in the credit market over an economic cycle. Two solutions are proposed to remove this bank provision channel. First, the regulatory authority can implement a forward-looking provisioning system. Second, if a backward-looking provisioning system rules are implemented, banks can build a capital bu¤er to cover the expected losses which are not covered by loan loss reserves.

Suggested Citation

  • Vincent Bouvatier & Laetitia Lepetit, 2011. "Canal des provisions bancaires et cyclicité du marché du crédit," Post-Print hal-00785400, HAL.
    • Handle: RePEc:hal:journl:hal-00785400
    DOI: 10.3917/reco.621.0067
    Note: View the original document on HAL open archive server: https://unilim.hal.science/hal-00785400
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    Cited by:

    1. Vincent Bouvatier & Laetitia Lepetit, 2012. "Effects of Loan Loss Provisions on Growth in Bank Lending: Some International Comparisons," International Economics, CEPII research center, issue 132, pages 91-116.
    2. Gilles, Philippe & Huchet, Nicolas & Gauvin, Marie-Sophie, 2012. "Politique monétaire, choix de portefeuille du secteur bancaire et canal de la prise de risque," L'Actualité Economique, Société Canadienne de Science Economique, vol. 88(2), pages 175-196, Juin.

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    More about this item

    Keywords

    marché du crédit; provisions pour pertes;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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