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Analyse de l'impact de la régulation sur la prise de risque par les banques

  • Lacina Diarra

    ()

    (USTV UFR SEG - Université Sud-Toulon-Var - UFR Sciences économiques et de gestion - Ministère de l'Enseignement Supérieur et de la Recherche Scientifique)

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    Cette étude se propose d'examiner l'impact de la régulation sur la prise de risque par les banques. Il en résulte que l'activité bancaire est intrinsèquement sujette à des risques, du fait de l'imperfection de l'information ou du cadre macroéconomique qui a favorisé d'une part la libéralisation financière pour les pays en développement, et d'autre part les innovations pour les pays développés. En outre, elle administre deux applications théoriques. La première s'appuyant sur le modèle de Zhang et al (2008), établit une relation négative entre le ratio de fonds propres et la propension des banques à prendre des risques. Plus le niveau du ratio est élevé et moins les banques s'engagent dans les activités risquées. La deuxième application, basée sur le modèle de Blum (2007), nous a permis de montrer qu'un ratio de solvabilité peut inciter à la prise de risques. Ainsi, au-delà de l'imposition d'un capital réglementaire, l'introduction d'un ratio de levier dans le dispositif macro-prudentiel s'avère être une nécessité.

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    File URL: http://dumas.ccsd.cnrs.fr/docs/00/87/98/76/PDF/Diarra-impact_regulation_prise_risque_banques-2013.pdf
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    Paper provided by HAL in its series Post-Print with number dumas-00879876.

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    Date of creation: 20 Jun 2013
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    Handle: RePEc:hal:journl:dumas-00879876
    Note: View the original document on HAL open archive server: http://dumas.ccsd.cnrs.fr/dumas-00879876
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    15. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
    16. Van den Heuvel, Skander J., 2008. "The welfare cost of bank capital requirements," Journal of Monetary Economics, Elsevier, vol. 55(2), pages 298-320, March.
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    19. Enrica Detragiache & Asli Demirgüç-Kunt, 1998. "Financial Liberalization and Financial Fragility," IMF Working Papers 98/83, International Monetary Fund.
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