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Réglementation des fonds propres et dynamique de la firme bancaire

Listed author(s):
  • Luca Giacó
  • Patrick Musso

[fre] Nous proposons dans ce papier un modèle simple de firme bancaire permettant d'illustrer certains effets dynamiques qu'est susceptible d'engendrer la réglementation prudentielle. L'analyse du modèle suggère ainsi qu'un renforcement de la contrainte de fonds propres (i.e. l'imposition d'un ratio de fonds propres plus élevé) peut inciter la banque à distribuer à ses actionnaires une part plus importante de ses profits afin de compenser, au moins partiellement, la diminution de la rentabilité de leurs capitaux propres. Il apparaît en outre que ce comportement pénalisera d'autant plus l'accumula- tion des fonds propres de la banque que la rentabilité de celle-ci est faible. Un relèvement du ratio de fonds propres réglementaire peut alors avoir des effets dynamiques ambigus sur le risque de défaillance des banques. [eng] In this paper, we develop a model of the banking firm which allows to shed some light on some dynamical consequences of the bank capital adequacy requirements. The model suggests that an increase in capital requirements might incite the bank to distribute a larger fraction of its profits in order to compensate, at least partially, the decrease of equity returns. Moreover, this behaviour will penalise bank capital accumulation all the more that its profitability is low. Therefore, an increase of capital requirements might induce ambiguous effects on the probability of bank failures.

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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: 289-309

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Handle: RePEc:prs:rfreco:rfeco_0769-0479_1998_num_13_2_1058
Note: DOI:10.3406/rfeco.1998.1058
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  1. Keeley, Michael C. & Furlong, Frederick T., 1990. "A reexamination of mean-variance analysis of bank capital regulation," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 69-84, March.
  2. Pyle, David H, 1971. "On the Theory of Financial Intermediation," Journal of Finance, American Finance Association, vol. 26(3), pages 737-747, June.
  3. Kahane, Yehuda, 1977. "Capital adequacy and the regulation of financial intermediaries," Journal of Banking & Finance, Elsevier, vol. 1(2), pages 207-218, October.
  4. Miller, Merton H., 1995. "Do the M & M propositions apply to banks?," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 483-489, June.
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