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Le ratio de levier comme facteur disciplinant des banques Cet article étudie le choix de portefeuille sous le dispositif de Bâle II dans lequel la banque détermine le montant du capital requis en fonction de sa propre mesure du risque. Nous montrons en particulier qu'en présence d'asymétrie d'information entre la banque et le superviseur, cette dernière a des incitations à sous-estimer sa prise de risque. Ces incitations sont tempérées par l'adjonction du simple levier comme envisagé dans le dispositif Bâle III. JEL Code: G21, G28, G32

We depart from the fact that in Europe, unlike the leverage ratio, risk-based capital ratios are formally under capital regulation with specified minimum thresholds to be respected. Building on this difference, we study their comparative persistence and convergence. For this purpose, we borrow the graphical analysis of Lemmon et al. (2008) and use the empirical partial adjustment model. Overall, consistent with the findings from the corporate finance literature, we find that bank capital structure is quite stable over long periods of time: banks that have high (low) capital ratios tend to remain as such for over eight years. Nevertheless, we find that even though all future capital ratios are influenced by initial capital ratios, this influence seems comparatively more relevant for the non risk-based (or leverage) capital ratio highlighting its high persistent phenomenon. Our findings also point to the role played by market participants in the trend and the relative rapid convergence of the risk-adjusted capital ratios compare to the simple leverage ratio. Our results are thus broadly supportive of recent policy initiatives that aim to strengthen the bank capital regulation by introducing a minimum leverage ratio and by simultaneously improving market discipline.

We depart from the fact that in Europe, unlike the leverage ratio, risk-based capital ratios are formally under capital regulation with specified minimum thresholds to be respected. Building on this difference, we study their comparative persistence and convergence. For this purpose, we borrow the graphical analysis of Lemmon et al. (2008) and use the empirical partial adjustment model. Overall, consistent with the findings from the corporate finance literature, we find that bank capital structure is quite stable over long periods of time: banks that have high (low) capital ratios tend to remain as such for over eight years. Nevertheless, we find that even though all future capital ratios are influenced by initial capital ratios, this influence seems comparatively more relevant for the non risk-based (or leverage) capital ratio highlighting its high persistent phenomenon. Our findings also point to the role played by market participants in the trend and the relative rapid convergence of the risk-adjusted capital ratios compare to the simple leverage ratio. Our results are thus broadly supportive of recent policy initiatives that aim to strengthen the bank capital regulation by introducing a minimum leverage ratio and by simultaneously improving market discipline.

Using a sample of European commercial banks over the period 1993-2006, we show that market discipline significantly and positively affects banks' capital buffer. By distinguishing junior from senior debt holders, we find that both types of investors exert a pressure on banks to hold more capital but that the pressure exerted by junior debt holders is higher. Furthermore, junior debt holders exert a pressure on banks whatever the importance of their non-traditional activities. By contrast, we find that senior debt holders exert a pressure only on banks that are heavily involved in non-traditional activities that are badly taken into account in the current bank capital regulation framework. These results might help us to better understand the role of market discipline as a complement to capital regulation.

Using a sample of European commercial banks over the period 1993-2006, we show that market discipline significantly and positively affects banks' capital buffer. By distinguishing junior from senior debt holders, we find that both types of investors exert a pressure on banks to hold more capital but that the pressure exerted by junior debt holders is higher. Furthermore, junior debt holders exert a pressure on banks whatever the importance of their non-traditional activities. By contrast, we find that senior debt holders exert a pressure only on banks that are heavily involved in non-traditional activities that are badly taken into account in the current bank capital regulation framework. These results might help us to better understand the role of market discipline as a complement to capital regulation.

Using a sample of European commercial banks over the period 1993-2006, we show that market discipline significantly and positively affects banks' capital buffer. By distinguishing junior from senior debt holders, we find that both types of investors exert a pressure on banks to hold more capital but that the pressure exerted by junior debt holders is higher. Furthermore, junior debt holders exert a pressure on banks whatever the importance of their non-traditional activities. By contrast, we find that senior debt holders exert a pressure only on banks that are heavily involved in non-traditional activities that are badly taken into account in the current bank capital regulation framework. These results might help us to better understand the role of market discipline as a complement to capital regulation.

We investigate how bank charter value affects risk for a sample of OECD banks by using standalone and systemic risk measures before, during, and after the global financial crisis of 2007-2008. Prior to the crisis, bank charter value is positively associated with risk-taking and systemic risk for very large " too-big-too-fail " banks and large U.S. and European banks but such a relationship is inverted during and after the crisis. A deeper investigation shows that such a behavior before the crisis is mostly relevant for very large banks and large banks with high growth strategies. Banks' business models also influence this relationship. In presence of strong diversification strategies, higher charter value increases standalone risk for very large banks. Conversely, for banks following a focus strategy, higher charter value amplifies systemic risk for very large banks and both standalone and systemic risk for large U.S. and European banks. Our findings have important policy implications and cast doubts on the relevance of the uniform more stringent capital requirements introduced by Basel III.

We investigate how bank charter value affects risk for a sample of OECD banks by using standalone and systemic risk measures before, during, and after the global financial crisis of 2007-2008. Prior to the crisis, bank charter value is positively associated with risk-taking and systemic risk for very large " too-big-too-fail " banks and large U.S. and European banks but such a relationship is inverted during and after the crisis. A deeper investigation shows that such a behavior before the crisis is mostly relevant for very large banks and large banks with high growth strategies. Banks' business models also influence this relationship. In presence of strong diversification strategies, higher charter value increases standalone risk for very large banks. Conversely, for banks following a focus strategy, higher charter value amplifies systemic risk for very large banks and both standalone and systemic risk for large U.S. and European banks. Our findings have important policy implications and cast doubts on the relevance of the uniform more stringent capital requirements introduced by Basel III.

Résumé Depuis la crise des subprimes , une grande refonte du cadre réglementaire des banques s'est engagée aboutissant, en décembre 2010, à la publication du dispositif connu sous le nom de Bâle 3. Parmi ses éléments constitutifs, il y a notamment le retour de la contrainte sur le levier des banques. Cet article expose les justifications théoriques de la nécessité de cette contrainte en complément du ratio de capital pondéré ainsi que les enseignements des expériences américaine et canadienne de coexistence de ces deux contraintes. Elle discute ensuite de la mise en œuvre de ce ratio de levier telle qu'elle est envisagée dans Bâle 3.