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Microfondements du canal étroit du crédit bancaire : le motif de précaution

  • Ramos-Tallada, Julio
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    Les enjeux macroéconomiques de la transmission des chocs monétaires via le canal étroit du crédit son nombreux. Ce sujet est amplement abordé dans la littérature d’un point de vue agrégé et empirique. Cependant, les prédictions testées reposent sur des spécifications théoriques généralement incomplètes du comportement d’offre de crédit des banques. Notre papier vise à combler partiellement ce manque de microfondements. Nous reprenons comme point de départ les arguments justifiant habituellement l’existence du canal des prêts, avancés souvent de façon littéraire ou heuristique dans la littérature. Nous développons ensuite un modèle de comportement de la banque de portée assez générale. Dans un cadre d’équilibre partiel et d’incertitude sur les flux de dépôts, nous représentons les chocs monétaires anticipés comme des variations du risque de liquidité dans l’horizon de décision de la banque. Notre modèle est bâti sur des hypothèses assez générales : il admet une distribution continue quelconque des flux aléatoires de dépôts ; l’offre adressée à la banque de financement externe (FE), alternatif aux dépôts, peut être imparfaitement élastique. Dès lors, les mécanismes qui gouvernent l’impact des chocs monétaires sur l’offre de crédit d’une banque suivant une logique de précaution sont liés à un arbitrage fondamental : assumer le coût d’opportunité certain de recourir au FE à la date courante pour accroître le stock de liquidités, d’une part ; assumer le risque de devoir refinancer dans le futur un portefeuille de crédit illiquide avec du FE dont l’encours et donc le prix sont incertains, d’autre part. Certains résultats dérivés formellement à partir de notre modèle réfutent les arguments intuitivement avancés dans la littérature. Notamment, plus l’offre de FE adressée à la banque est inélastique, moins sensible est sa réponse aux chocs monétaires, qu’ils soient anticipés ou courants

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    Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/4726.

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    Date of creation: May 2009
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    Publication status: Published in CR LEDa, 2009
    Handle: RePEc:dau:papers:123456789/4726
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