Co-auteur
  • HUBERT Paul (38)
  • CREEL Jérôme (31)
  • BLOT Christophe (31)
  • RAGOT Xavier (5)
  • Voir plus
Type de Document
  • Article (18)
  • Working paper (12)
  • Rapport (7)
  • Partie ou chapitre de livre (6)
  • Voir plus
in International Journal of Finance and Economics Publié en 2019-12
0
vues

0
téléchargements
Although the literature has provided evidence of the predictive power of credit for financial and banking crises, this article aims to investigate the grounds of this link by assessing the interrelationships between credit and banking fragility. The main identification assumption represents credit and banking fragility as a system of simultaneous joint data generating processes whose error terms are correlated. We test the null hypotheses that credit positively affects banking fragility—a vulnerability effect—and that banking fragility has a negative effect on credit—a trauma effect. We use seemingly unrelated regressions and 3SLS on a panel of European Union (EU) countries from 1998 to 2012 and control for the financial and macroeconomic environment. We find a positive effect of credit on banking fragility in the EU as a whole, in the Eurozone, in the core of the EU but not at its periphery, and a negative effect of banking fragility on credit in all samples.

We investigate the role of both ECB’s asset purchases and financial stress during the Eurozone sovereign debt crisis. We explain the evolution of long-term interest rates for the euro area as a whole and for some Member States since the ECB started to purchase securities for monetary policy purposes. We address the potential endogeneity between unconventional monetary policies and financial stress, and control for four categories of fundamentals: macroeconomic, international, financial and expectations. We find that expansionary unconventional monetary shocks have reduced the level of sovereign yields, whereas exogenous shocks to financial stress have had no effect. This result is robust to an ARCH representation, to a longer sample and to a panel estimation. In addition, we show that country-specific financial stress has had a positive impact on the change in sovereign yields, while unconventional monetary shocks have had a negative effect. Our results suggest that ECB’s unconventional policies have been effective in mitigating sovereign risks across the different Eurozone countries.

in L'Economie européenne 2019 Sous la direction de CREEL Jérôme Publié en 2019-02
7
vues

0
téléchargements

7
vues

0
téléchargements
This paper investigates the instantaneous and dynamic effects of ECB forward guidance announcements on the term structure of interest rates. We estimate the static and dynamic impacts of forward guidance on overnight indexed swaps (OIS) rates using a high-frequency methodology and an ARCH model, complemented with local projections. We find that ECB forward guidance announcements have lowered the term structure of private short-term interest rates at most maturities, even after controlling for the macroeconomic information published by the ECB. The effect is stronger on longer maturities and persistent

Publié en 2018-11 Collection Working paper de l'OFCE : 37
6
vues

6
téléchargements
This paper assesses the linear and non-linear dynamic effects of monetary policy on asset price bubbles. We use a Principal Component Analysis to estimate new bubble indicators for the stock and housing markets in the United States based on structural, econometric and statistical approaches. We find that the effects of monetary policy are asymmetric so the responses to restrictive and expansionary shocks must be differentiated. Restrictive monetary policy is not able to deflate asset price bubbles contrary to the “leaning against the wind” policy recommendations. Expansionary interest rate policies would inflate stock price bubbles whereas expansionary balance-sheet measures would not.

Cette contribution s’intéresse aux effets redistributifs des politiques monétaires non conventionnelles. Les canaux par lesquels la politique monétaire influence les inégalités sont présentés et cette relation est testée au niveau de la zone euro. Les résultats suggèrent que les politiques monétaires non conventionnelles ont pu exacerber les inégalités en favorisant les ménages déjà détenteurs d’un emploi ou possédant un patrimoine financier.

6
vues

0
téléchargements
Drawing on European Union data, this paper assesses the long-standing mainstream view that financialisation improves growth. We measure financialisation with private credit to GDP and capture characteristics of banking sector fragility with the ratio of credit to deposits and the ratio of bank capital to assets. We test the impact of these variables on four measures of economic performance: the growth rates of GDP per capita, consumption per capita, investment and inequality. We observe that credit has no effect on economic performance. However, the potential riskiness of the banking sector measured by the ratio of credit to deposits decreases GDP per capita and contributes to increasing inequality whereas the ratio of capital to assets has a negative impact on GDP per capita growth through its negative effect on investment. This effect is driven by countries with low GDP per capita. We also find that the potential side effects of excessive financialisation have a negative effect on growth.

We investigate the role of both ECB’s asset purchases and market sentiment in the Eurozone sovereign debt crisis context. We explain the evolution of long-term interest rates in the Eurozone and in some Member States since the ECB started to purchase various securities for monetary policy purposes. We control for four categories of fundamentals: macroeconomic, international, financial and expectations. We show that unconventional monetary policies and country-specific market sentiment have significant negative and positive effects respectively. Our results suggest that ECB’s unconventional policies have been effective in mitigating the disruption in the channels of transmission across the different Eurozone countries.

Depuis l’éclatement de la crise financière, l’évolution des taux d’intérêt souverains à long terme dans la zone euro a connu de larges fluctuations ainsi que des périodes de forte divergence entre les États membres, notamment entre 2010 et 2013 (graphique 1). Une forte réduction des taux à long terme a débuté après juillet 2012 et le célèbre « Whatever it takes » de Mario Draghi. Malgré la mise en œuvre et l’extension du programme d’achat de titres publics (PSPP) en 2015 et bien qu’ils restent à des niveaux historiquement bas, les taux d’intérêt souverains à long terme ont récemment augmenté. [Premier paragraphe]

Suivant