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Taux d'intérêts débiteurs et créditeurs en Europe, une approche en termes de causalité

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  • Raphaëlle Bellando
  • Anne Lavigne

Abstract

[eng] Lending rates and deposit rates in europe : a granger causaltty test. . In defence of maintaining administered deposit rates, the French monetary authorities often argue that deregulation would lead to higher deposit rates, and that financial intermediaries may then be tempted to raise their lending rates to prevent the erosion of their interest margin. This note proposes an empirical Granger-causality test between deposit rates and lending rates in four european countries (Germany, Great-Britain, Italy an Spain) where there are no ceilings on deposit rates. We show that the causality depends on the degree of interbank competition. A highly competitive deposit market leads to a one-way causality from deposit rates to lending rates, whereas an oligopolistic behavior on the deposit market weakens the causal relationship which may even be reversed. The spanish case shows that, at least in the short run, increasing competition on the deposit market strengthens the causality from deposit rates to lending rates. [fre] Taux d'intérêt débiteurs et créditeurs en Europe. Une approche en termes de causalité. . Parmi les arguments avancés à l'encontre d'une déréglementation des taux créditeurs en France, figure l'idée selon laquelle une telle déréglementation entraînerait un renchérissement des conditions créditrices que les intermédiaires financiers seraient tentés de répercuter sur les taux débiteurs. Cet article se propose de tester empiriquement la causalité entre les taux créditeurs et débiteurs dans quatre pays européens (l'Allemagne, l'Espagne, la Grande-Bretagne et l'Italie) où les intermédiaires financiers fixent librement leurs conditions créditrices. On montre que cette causalité dépend du degré de concurrence interbancaire. Une forte concurrence sur le marché des dépôts s'accompagne d'une causalité univoque du taux créditeur vers le taux débiteur, tandis que des comportements d'entente dans la fixation des taux créditeurs gomment cette causalité. Le cas espagnol montre qu'au moins à court terme, le retour à la concurrence peut accroître la causalité des taux créditeurs vers les taux débiteurs.

Suggested Citation

  • Raphaëlle Bellando & Anne Lavigne, 1992. "Taux d'intérêts débiteurs et créditeurs en Europe, une approche en termes de causalité," Revue Économique, Programme National Persée, vol. 43(2), pages 383-403.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1992_num_43_2_409357
    DOI: 10.3406/reco.1992.409357
    Note: DOI:10.3406/reco.1992.409357
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    References listed on IDEAS

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    1. Denis Kessler & Anne Lavigne & Carlos Pardo, 1990. "Rémunération des dépôts à vue et facturation des services bancaires en Europe," Revue d'Économie Financière, Programme National Persée, vol. 12(1), pages 204-226.
    2. Michel Boutillier & Sabine Dérangère, 1992. "Le taux du crédit accordé aux entreprises françaises : coûts opératoires des banques et prime de risque de défaut," Revue Économique, Programme National Persée, vol. 43(2), pages 363-382.
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    5. Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
    6. Raphaëlle Bellando & Anne Lavigne, 1992. "Taux d'intérêt débiteurs et créditeurs en Europe : une approche empirique," Post-Print halshs-00258469, HAL.
    7. Gilbert Colletaz & Jean-Pierre Gourlaouen, 1990. "Coïntégration et structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 41(4), pages 687-712.
    8. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    9. Christian Gouriéroux & Alain Monfort & Eric Renault, 1987. "Kullback Causality Measures," Annals of Economics and Statistics, GENES, issue 6-7, pages 369-410.
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