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Bâle II et la procyclicité

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  • Florence Béranger
  • Jérôme Teïletche

Abstract

[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 [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

Suggested Citation

  • Florence Béranger & Jérôme Teïletche, 2003. "Bâle II et la procyclicité," Revue d'Économie Financière, Programme National Persée, vol. 73(4), pages 227-250.
  • Handle: RePEc:prs:recofi:ecofi_0987-3368_2003_num_73_4_5017
    Note: DOI:10.3406/ecofi.2003.5017
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    References listed on IDEAS

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    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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