Photo Sandrine Lecarpentier

Sandrine Lecarpentier

Jeunes docteurs et ATER
  • Email
  • Tél. professionnel 0140977793
  • Bureau à Paris Nanterre (Bât. + num.) G602
  • Research group

      Macroéconomie Internationale, Banque et Econométrie Financière

2019-18 "Determinants of banks' liquidity : a French perspective on market and regulatory ratio interactions"

Sandrine Lecarpentier, Cyril Pouvelle, Olivier de Bandt

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Abstract
The objective of the paper is to investigate how banks adjust the structure of their balance sheet as a response to a funding shock and to propose a methodology for projecting banks’ liquidity ratios in a top-down stress test scenario. In line with a theoretical model assessing the effects of capital and liquidity constraints on banks’ behaviour, we estimate the joint system of banks’ solvency and liquidity ratios, using for proxy of the latter, the "liquidity coefficient" implemented in France before Basel III. We provide evidence of a positive effect of the solvency ratio on the liquidity coefficient: a high level of solvency enables the liquidity coefficient to improve due to a more stable funding structure. By contrast, we do not find firm evidence of an impact of the liquidity coefficient on the solvency ratio. We also show that financial variables capturing international markets’ risk aversion and tensions in the interbank market have a significant impact during periods of stress only, confirming the evidence of strong interactions between market liquidity and bank funding liquidity during crisis periods.
Classification-JEL
G28, G21
Mot(s) clé(s)
Bank Capital Regulation, Bank Liquidity Regulation, Basel III, stress tests
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2019-12 "Lower bank capital requirements as a policy tool to support credit to SMEs: evidence from a policy experiment"

Michel Dietsch, Henri Fraisse, Sandrine Lecarpentier, Mathias Lé

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Abstract
Starting in 2014 with the implementation of the European Commission Capital Requirement Directive, banks operating in the Euro area were benefiting from a 25% reduction (the Supporting Factor or "SF" hereafter) in their own funds requirements against Small and Medium-sized enterprises ("SMEs" hereafter) loans. We investigate empirically whether this reduction has supported SME financing and to which extent it is consistent with SME credit risk. Economic capital computations based on multifactor models do confirm that capital requirements should be lower for SMEs. Taking into account the uncertainty surrounding their estimates and adopting a conservative approach, we show that the SF is consistent with the difference in economic capital between SMEs and large corporates. As for the impact on credit distribution, our differences-in-differences specification enables us to find a positive and significant impact of the SF on the credit supply.
Classification-JEL
C13, G21, G33
Mot(s) clé(s)
SME finance, Credit supply, Basel III, Credit risk modelling, SME Supporting Factor
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