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La juste valeur des instruments financiers : Un nouveau canal de contagion ?

Author

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  • Leila Gharbi

    () (Corporate Finance and Financial Theory (COFFIT) - Faculté des Sciences Economiques et de Gestion de Sfax)

  • Khamoussi Halioui

    () (Corporate Finance and Financial Theory (COFFIT) - Faculté des Sciences Economiques et de Gestion de Sfax, ISAE de Gafsa - ISAE de Gafsa)

Abstract

The merits of fair value have always prompted heated debate, particularly with regard to financial instruments. It has been alleged that if we use the accounting market value, the volatility of asset prices affects directly the value of bank's assets; thereby, increasing the overall risk in the financial system. In this study, we investigate whether fair value accounting for financial instruments is associated with an increase in the risk of failure of the American banking system as a whole. Using a sample comprising quarterly data from 2000 to 2010 for 296 U.S bank holding companies, we develop two models. The first is a multinomial logit model based on return and the second is a static panel model based on risk. Only the last one shows a positive association between fair value accounting for financial instruments and contagion among banks during periods of market illiquidity.

Suggested Citation

  • Leila Gharbi & Khamoussi Halioui, 2011. "La juste valeur des instruments financiers : Un nouveau canal de contagion ?," Post-Print hal-00650435, HAL.
  • Handle: RePEc:hal:journl:hal-00650435
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00650435
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    References listed on IDEAS

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    11. repec:arz:wpaper:eres2007-171 is not listed on IDEAS
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    Keywords

    Juste valeur; instruments financiers; risque systémique; illiquidité; Fair value; financial instruments; contagion; systemic risk; illiquidity;

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