Environnement institutionnel et comportement des banques : le cas des banques européennes ; Institutional environment and bank behaviour : the case of European banks

Abstract

We study two policies that are key to shaping the institutional environment and that can therefore influence banks' behaviour, namely monetary and macroprudential policies.In the first Chapter, we evidence the existence of the bank risk-taking channel of (un)conventional monetary policy in Europe. We show that the latter is nonlinear, i.e., the effects of monetary policy interest rates (the total assets on the balance sheet of central banks) on banking risk are stronger below (above) a certain threshold.The second Chapter mainly explores the nexus between the low interest rate environment and bank profitability. Our findings suggest that monetary policy's main instrument adversely affects net interest margins, but its effect on overall profitability is unclear. Nevertheless, when policy interest rates are particularly low, it seems that European banks succeed in increasing their profitability despite a compression of their net interest income.In the third Chapter, we examine the role of macroprudential tools in a turbulent institutional environment. The outbreak of the COVID-19 is likely to worsen households' and businesses' capacity to pay off their debt. The Chapter bridges the gap between the flexible use of macroprudential tools and their yet unknown effects in the event of a shock to risk premia of mortgages and corporate loans. Both our empirical and theoretical models corroborate that an ease scenario of macroprudential policy allows mitigating the adverse effects stemming from such a shock. In particular, the DSGE model shows preference for relaxing the Loan-to-Value ratio over the Capital Requirement Ratio. ; Nous étudions deux politiques jouant un rôle clé dans l'évolution et la métamorphose du cadre institutionnel et qui sont donc à même d'influencer le comportement des banques, à savoir la politique monétaire et la politique macroprudentielle.Dans le premier chapitre, nous mettons en évidence l'existence du canal de la prise de risque bancaire de la politique monétaire (non)conventionnelle en Europe. ...