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La sensibilité de l'activité bancaire aux chocs macroéconomiques : une analyse en panel sur des données de banques luxembourgeoises

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  • Abdelaziz Rouabah

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    Abstract

    Cette étude examine la problématique de la sensibilité des soldes intermédiaires du compte de perte et profits des banques luxembourgeoises aux chocs monétaires, financiers et macro-économiques. L'analyse est conduite sur des données en panel et à fréquence trimestrielle couvrant la période 1994-2005. Les résultats des estimations obtenus et les simulations réalisées révèlent que les banques luxembourgeoises sont beaucoup plus sensibles aux variations du produit intérieur brut de la zone euro et aux chocs afférents à l'indice boursier européen DJE Stoxx qu'aux chocs monétaires. L'importance de cette réactivité est à relativiser dans la mesure où elle n'est pas un facteur fondamental de déstabilisation financière du secteur bancaire dans son ensemble.

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    File URL: http://www.bcl.lu/fr/publications/cahiers_etudes/21/BCLWP021.pdf
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    Bibliographic Info

    Paper provided by Central Bank of Luxembourg in its series BCL working papers with number 21.

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    Length: 33 pages
    Date of creation: May 2006
    Date of revision:
    Handle: RePEc:bcl:bclwop:bclwp021

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    Web page: http://www.bcl.lu/

    Related research

    Keywords: Banques; Chocs macroéconomiques; Estimation avec des données en panel;

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    References

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    Cited by:
    1. Sabbah Gueddoudj, 2013. "Fluctuations Economiques et Dynamiques de la Constitution de Provisions Pour Créances Douteuses des Banques Luxembourgeoises," BCL working papers 81, Central Bank of Luxembourg.

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