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La juste valeur des instruments financiers : Un nouveau canal de contagion ?

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  • Leila Gharbi

    ()
    (Corporate Finance and Financial Theory (COFFIT) - Faculté des Sciences Economiques et de Gestion de Sfax)

  • Khamoussi Halioui

    ()
    (Corporate Finance and Financial Theory (COFFIT) - Faculté des Sciences Economiques et de Gestion de Sfax, ISAE de Gafsa - ISAE de Gafsa)

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    Abstract

    Les mérites de la comptabilisation des instruments financiers en valeur de marché font depuis un certain temps, l'objet d'un débat animé. Les détracteurs estiment que si l'on recourt à la comptabilisation en valeur de marché, la volatilité des prix des actifs influe directement sur la valeur des actifs bancaires, augmentant ainsi le risque global dans le système financier. Dans cette étude, nous examinons si l'évaluation à la juste valeur est associée à une contagion au sein du secteur bancaire américain pendant les périodes d'illiquidité. En utilisant un échantillon comprenant des données trimestrielles de 2000 à 2010 pour 296 " U.S bank holding companies ", nous développons deux modèles : un modèle logit multinomial basé sur le rendement et un modèle de panel statique basé sur le risque. Seul le dernier modèle a montré une association positive entre un régime comptable à la juste valeur et la contagion au sein du secteur bancaire pendant les périodes d'illiquidité du marché.

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    Bibliographic Info

    Paper provided by HAL in its series Post-Print with number hal-00650435.

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    Date of creation: 2011
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    Publication status: Published - Presented, Comptabilités, économie et société, 2011, Montpellier, France
    Handle: RePEc:hal:journl:hal-00650435

    Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00650435/en/
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    Related research

    Keywords: Juste valeur ; instruments financiers ; contagion ; risque systémique ; illiquidité;

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    1. Heaton, John C. & Lucas, Deborah & McDonald, Robert L., 2010. "Is mark-to-market accounting destabilizing? Analysis and implications for policy," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 64-75, January.
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    6. Guillaume Plantin & Haresh Sapra & Hyun Shin, . "Marking to Market: Panacea or Pandora’s Box ?," GSIA Working Papers 2005-E4, Carnegie Mellon University, Tepper School of Business.
    7. Allen, Franklin & Carletti, Elena, 2008. "Mark-to-market accounting and liquidity pricing," Journal of Accounting and Economics, Elsevier, vol. 45(2-3), pages 358-378, August.
    8. Adrian, Tobias & Shin, Hyun Song, 2010. "Liquidity and leverage," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 418-437, July.
    9. Pais, Amelia & Stork, Philip A., 2011. "Contagion risk in the Australian banking and property sectors," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 681-697, March.
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