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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

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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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    References listed on IDEAS

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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. Coffinet, J. & Lin, S. & Martin, C., 2009. "Stress testing French banks' income subcomponents," Working papers 242, Banque de France.

    More about this item

    Keywords

    Banques; Chocs macroéconomiques; Estimation avec des données en panel;

    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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