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Sensibilité des résultats bancaires au taux d'intérêt

Listed author(s):
  • Daniel Goyeau
  • Alain Sauviat
  • Amine Tarazi

[fre] La concurrence accrue, la restructuration mais aussi l'harmonisation prudentielle à l'échelle internationale des conditions d'activités dans l'industrie bancaire oblige à s'interroger sur d'éventuelles spécificités de la réaction des systèmes bancaires à l'évolution des taux d'intérêt. Cet article propose ainsi une évaluation empirique de la sensibilité des résultats des banques des pays du G5 au niveau et à la volatilité des taux d'intérêt du marché. Après avoir mis en évidence les limites de toute estimation simple du lien taux d'intérêt -résul tats bancaires, il présente un modèle global d'ajustement des produits et des coûts bancaires au taux d'intérêt qui permet de dériver des maturités implicites de l'actif et du passif bancaires. Estimé sur les différents systèmes bancaires du G5, ce modèle fait ressortir des spécificités nationales puisque l'incidence du niveau des taux sur les résultats nets des banques est très différente selon leur taille et/ou le système bancaire considéré. [eng] This paper provides an empirical analysis of the sensitivity of bank profitability with respect to the level and volatility of interest rates for five major countries (G5) in the light of higher international competition and standardization of prudential regulation. The limits of a simple estimation procedure of the link between interest rates and bank profitability are first outlined. A global model of cost and income adjustment to interest rate changes is then presented which allows the derivation of the implicit maturities of bank assets and liabilities. Finally, estimation of the model on individual bank data for the five banking systems shows significant differences in the reaction of bank net income to interest rate movements. Particularly, bank size effects and also country specific effects can be captured.

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Article provided by Programme National Persée in its journal Revue française d'économie.

Volume (Year): 13 (1998)
Issue (Month): 2 ()
Pages: 169-200

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Handle: RePEc:prs:rfreco:rfeco_0769-0479_1998_num_13_2_1054
Note: DOI:10.3406/rfeco.1998.1054
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