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La sensibilité de l'activité bancaire aux chocs macroéconomiques : une analyse en panel sur des données de banques luxembourgeoises

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  • Abdelaziz Rouabah

Abstract

Cette étude examine la problématique de la sensibilité des soldes intermédiaires du compte de perte et profits des banques luxembourgeoises aux chocs monétaires, financiers et macro-économiques. L'analyse est conduite sur des données en panel et à fréquence trimestrielle couvrant la période 1994-2005. Les résultats des estimations obtenus et les simulations réalisées révèlent que les banques luxembourgeoises sont beaucoup plus sensibles aux variations du produit intérieur brut de la zone euro et aux chocs afférents à l'indice boursier européen DJE Stoxx qu'aux chocs monétaires. L'importance de cette réactivité est à relativiser dans la mesure où elle n'est pas un facteur fondamental de déstabilisation financière du secteur bancaire dans son ensemble.

Suggested Citation

  • Abdelaziz Rouabah, 2006. "La sensibilité de l'activité bancaire aux chocs macroéconomiques : une analyse en panel sur des données de banques luxembourgeoises," BCL working papers 21, Central Bank of Luxembourg.
    • Handle: RePEc:bcl:bclwop:bclwp021
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    File URL: https://www.bcl.lu/fr/Recherche/publications/cahiers_etudes/21/BCLWP021.pdf
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    Cited by:

    1. Sabbah Gueddoudj, 2013. "Fluctuations Economiques et Dynamiques de la Constitution de Provisions Pour Créances Douteuses des Banques Luxembourgeoises," BCL working papers 81, Central Bank of Luxembourg.
    2. Nguena Christian Lambert & Tsafack Nanfosso Roger, 2014. "On the Sensitivity of Banking Activity Shocks: Evidence from the CEMAC Sub-region," Economics Bulletin, AccessEcon, vol. 34(1), pages 354-372.
    3. repec:dau:papers:123456789/10353 is not listed on IDEAS
    4. Souad Hammami & Mongi Lassoued & Ahmed Berteji, 2018. "The Tunisian Banks Performance," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 3(1), pages 1-19, January.
    5. Esteban Miguélez & Jonathan Spiteri & Simon Grima, 2019. "Establishing the Contributing Factors to the Resurrection of PIIGS Banks Following the Crisis: A Panel Data Analysis," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 3-34.
    6. Albert, Stéphane, 2015. "US bank holding companies: Structure of activities and performance through the cycles," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 253-269.
    7. Gammadigbé, Vigninou, 2012. "Stress test macroéconomique du système bancaire de l'UEMOA [Macroeconomic stress testing of the WAEMU banking system]," MPRA Paper 39214, University Library of Munich, Germany, revised May 2012.
    8. Stéphane Albert & Hervé Alexandre, 2018. "Banks’ earnings: Empirical evidence of the influence of economic and financial market factors," Review of Financial Economics, John Wiley & Sons, vol. 36(2), pages 97-116, April.
    9. Ameur Imane & Zerouti Messaoud & Bouchetara Mehdi, 2023. "Internal Determinants Of Profitability In Public Algerian Banks," Journal of Financial Studies, Institute of Financial Studies, vol. 8(Special-J), pages 95-116, June.
    10. Christian-Lambert Lambert Nguena & Roger Tsafack-Nanfosso, 2014. "On the Sensitivity of Banking Activity to Macroeconomic Shocks: Evidence from CEMAC Sub-region [Sensibilité du Secteur Bancaire aux Chocs Macroéconomiques: Cas de la sous-région CEMAC]," Post-Print halshs-01097850, HAL.
    11. Coffinet, J. & Lin, S. & Martin, C., 2009. "Stress testing French banks' income subcomponents," Working papers 242, Banque de France.
    12. Abdelaziz Rouabah, 2007. "Mesure de la vulnérabilité du secteur bancaire luxembourgeois," BCL working papers 24, Central Bank of Luxembourg.

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    More about this item

    Keywords

    Banques; Chocs macroéconomiques; Estimation avec des données en panel;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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