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

  • 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)

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    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.

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    Paper provided by HAL in its series Post-Print with number hal-00650435.

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    Date of creation: 10 May 2011
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    Publication status: Published in Comptabilités, économie et société, May 2011, Montpellier, France., 2011
    Handle: RePEc:hal:journl:hal-00650435
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    1. Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2008. "Hedge Fund Contagion and Liquidity," NBER Working Papers 14068, National Bureau of Economic Research, Inc.
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    8. Barth, Mary E. & Landsman, Wayne R. & Wahlen, James M., 1995. "Fair value accounting: Effects on banks' earnings volatility, regulatory capital, and value of contractual cash flows," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 577-605, June.
    9. Heaton, John C. & Lucas, Deborah & McDonald, Robert L., 2010. "Is mark-to-market accounting destabilizing? Analysis and implications for policy," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 64-75, January.
    10. Pais, Amelia & Stork, Philip A., 2011. "Contagion risk in the Australian banking and property sectors," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 681-697, March.
    11. Hachicha Nizar & Hela Chakroun & Bouri & Hela Chakroun & Abdelfettah Bouri, 2007. "Herding and Measurement Problems Proposition of Dynamic Measure," ERES eres2007_171, European Real Estate Society (ERES).
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