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L'effet des activités hors bilan sur la rentabilité et la volatilité des revenus des banques canadiennes

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  • Nicolas Pellerin

    ()
    (Département des sciences administratives, Université du Québec (Outaouais))

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    Abstract

    Plusieurs études antécédentes montrent que depuis les années 80, la proportion des revenus bancaires provenant d’activités hors bilan n’a cessé d’augmenter. Ces études indiquent aussi que les revenus hors bilan sont beaucoup plus volatils que les revenus nets d’intérêts, et quelques auteurs suggèrent du même coup que le transfert des activités traditionnelles de prêts vers des activités générant des revenus de service ne réduit pas le risque de revenu d’opération et de rendement. Le rendement ne serait pas augmenté non plus par ces activités. Notre analyse, appliquée aux données comptables les plus récentes des banques canadiennes, montre un changement de tendance et suggère que les banques canadiennes se soient mises à mieux gérer l’intégration des activités hors bilan et aient exercé un meilleur contrôle sur celles-ci. La volatilité du revenu d’opération net, telle qu’exprimée par sa variance, a diminué substantiellement au cours de la période 2003-2007, principalement en raison de la diminution de la volatilité des revenus hors bilan. Nos résultats indiquent aussi qu’une hausse la proportion des revenus provenant d’activités hors bilan exerce un effet positif sur les rendements comptables, ce qui diffère des résultats présentés par Calmès et Liu (2007).

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    File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/Nico1.pdf
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    Bibliographic Info

    Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp032008.

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    Length: 25 pages
    Date of creation: 09 Jan 2008
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    Handle: RePEc:pqs:wpaper:032008

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    Keywords: banque; revenu; hors bilan; diversification; volatilité; rendement.;

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    References

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    1. Joel F. Houston & Kevin J. Stiroh, 2006. "Three decades of financial sector risk," Staff Reports 248, Federal Reserve Bank of New York.
    2. Stiroh, Kevin J., 2006. "A Portfolio View of Banking with Interest and Noninterest Activities," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1351-1361, August.
    3. Stiroh, Kevin J. & Rumble, Adrienne, 2006. "The dark side of diversification: The case of US financial holding companies," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2131-2161, August.
    4. Christian Calmès, 2004. "Regulatory Changes and Financial Structure: The Case of Canada," Working Papers 04-26, Bank of Canada.
    5. DeYoung, Robert & Roland, Karin P., 2001. "Product Mix and Earnings Volatility at Commercial Banks: Evidence from a Degree of Total Leverage Model," Journal of Financial Intermediation, Elsevier, vol. 10(1), pages 54-84, January.
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