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Bâle II et la procyclicité

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  • Jérôme Teïletche
  • Florence Béranger
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    Abstract

    [fre] Une critique récurrente du projet de réforme du ratio de capitalisation des banques est son caractère procyclique. Le comportement des banques est par nature procyclique mais l'introduction d'une plus grande sensibilité du capital réglementaire au risque pourrait renforcer cette caractéristique. Cet article tente de faire le point sur cette question. Via l'impact du résultat des banques sur le capital éligible, la réglementation actuelle, le ratio Cooke, a pu accentuer le cycle, mais cet impact est resté limité à certaines régions et périodes et certains secteurs. Nous analysons par quels mécanismes et dans quelle mesure la nouvelle réglementation est susceptible d'accroître la procyclicité. Une analyse contrefactuelle est notamment menée. Finalement, nous évoquons les pistes existantes pour limiter ce biais de la nouvelle réglementation. . Classification JEL : G21, G28 [eng] Basel II and procyclicality . Procyclicality is an often heard criticism of the project of reform of the capital accord. If bank lending behavior is by nature pro-cyclical, the introduction of greater sensitivity of regulatory capital to risk could further reinforce this characteristic. This paper gives an overview of the issue. Through the impact of profits on capital, it is probable that the current accord (Cooke ratio) had at some point a pro-cyclical impact. It was however limited to specific periods, countries and sectors. We analyze the mechanisms through which the new regulation can increase the procyclicality of bank lending, and by what extent they could act. A counterfactual analysis is conducted, allowing a quantification of the problem. Finally, we present possible measures and reforms that could limit the procyclical bias of Basel II. . JEL classifications : G21, G28

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    Bibliographic Info

    Article provided by Programme National Persée in its journal Revue d'économie financière.

    Volume (Year): 73 (2003)
    Issue (Month): 4 ()
    Pages: 227-250

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    Handle: RePEc:prs:recofi:ecofi_0987-3368_2003_num_73_4_5017

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    Web page: http://www.persee.fr/web/revues/home/prescript/revue/ecofi

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    1. Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-70, May.
    3. Joe Peek & Eric S. Rosengren, 1994. "Bank Real Estate Lending and the New England Capital Crunch," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 22(1), pages 33-58.
    4. Hancock, Diana & Wilcox, James A., 1998. "The "credit crunch" and the availability of credit to small business," Journal of Banking & Finance, Elsevier, vol. 22(6-8), pages 983-1014, August.
    5. Joe Peek & Eric S. Rosengren, 1996. "The International Transmission of Financial Shocks: The Case of Japan," Boston College Working Papers in Economics 357, Boston College Department of Economics.
    6. C. H. Furfine & Jeffery D. Amato, 2003. "Are credit ratings procyclical?," BIS Working Papers 129, Bank for International Settlements.
    7. Bikker, J.A. & Metzemakers, P.A.J., 2005. "Bank provisioning behaviour and procyclicality," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(2), pages 141-157, April.
    8. Treacy, William F. & Carey, Mark, 2000. "Credit risk rating systems at large US banks," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 167-201, January.
    9. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
    10. Diana Hancock and James A. Wilcox., 1998. "The "Credit Crunch" and the Availability of Credit to Small Business," Research Program in Finance Working Papers RPF-282, University of California at Berkeley.
    11. Con Keating & Hyun Song Shin & Charles Goodhart & Jon Danielsson, 2001. "An Academic Response to Basel II," FMG Special Papers sp130, Financial Markets Group.
    12. Joe Peek & Eric S. Rosengren, 1997. "Collateral damage: effects of the Japanese real estate collapse on credit availability and real activity in the United States," Working Papers 97-5, Federal Reserve Bank of Boston.
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