Les déterminants des faillites bancaires dans les pays en développement: le cas des pays de l'Union économique et monétaire Ouest-africaine (UEMOA)

L’objectif de ce papier est de déterminer les facteurs susceptibles d’expliquer les faillites bancaires au sein de l’Union économique et monétaire ouest-africaine (UEMOA) entre 1980 et 1995. Utilisant le modèle logit conditionnel sur des données en panel, nos résultats montrent que les variables qui affectent positivement la probabilité de faire faillite des banques sont : i) le niveau d’endettement auprès de la banque centrale; ii) un faible niveau de comptes disponibles et à vue; iii) les portefeuilles d’effets commerciaux par rapport au total des crédits; iv) le faible montant des dépôts à terme de plus de 2 ans à 10 ans par rapport aux actifs totaux; et v) le ratio actifs liquides sur actifs totaux. En revanche, les variables qui contribuent positivement sur la vraisemblance de survie des banques sont les suivantes : i) le ratio capital sur actifs totaux; ii) les bénéfices nets par rapport aux actifs totaux; iii) le ratio crédit total sur actifs totaux; iv) les dépôts à terme à 2 ans par rapport aux actifs totaux; et v) le niveau des engagements sous forme de cautions et avals par rapport aux actifs totaux. Les ratios portefeuilles d’effets commerciaux et actifs liquides par rapport aux actifs totaux sont les variables qui expliquent la faillite des banques commerciales, alors que ce sont les dépôts à terme de plus de 2 ans à 10 ans qui sont à l’origine des faillites des banques de développement. Ces faillites ont été considérablement réduites par la création en 1989 de la commission de réglementation bancaire régionale. Dans l’UEMOA, seule la variable affectée au Sénégal semble contribuer positivement sur la probabilité de faire faillite.

International Business Cycles: What Are the Facts?

Modern business cycle theory involves developing models that explain stylized facts. For this strategy to be successful, these facts should be well established. In this paper, we focus on the stylized facts of international business cycles. We use the generalized method of moments and quarterly data from nineteen industrialized countries to estimate pairwise cross-country and within-country correlations of macroeconomic aggregates. We calculate standard errors of the statistics for our unique panel of data and test hypotheses about the relative sizes of these correlations. We find a lower cross-country correlation of all aggregates and especially of consumption than in previous studies. The cross-country correlations of consumption, output and Solow residuals are not significantly different from one another over the whole sample, but there are significant differences in the post-1973 subsample.

International Transmission of the Business Cycle in a Multi-Sector Model.

Multi-country models have not been very successful in replicating important features of the international transmission of business cycles. Standard models predict cross-country correlations of output and consumption which are respectively too low and too high. In this paper, we build a multi-country model of the business cycle with multiple sectors in order to analyze the role of sectoral shocks in the international transmission of the business cycle. We find that a model with multiple sectors generates a higher cross-country correlation of output than standard one-sector models, and a lower cross-country correlation of consumption. In addition, it predicts cross-country correlations of employment and investment that are closer to the data than the standard model. We also analyze the relative effects of multiple sectors, trade in intermediate goods, imperfect substitution between domestic and foreign goods, home preference, capital adjustment costs, and capital depreciation on the international transmission of the business cycle.

Non-Deteriorating Choice

We analyze an alternative to the standard rationalizability requirement for observed choices by considering non-deteriorating selections. A selection function is a generalization of a choice function where selected alternatives may depend on a reference (or status quo) alternative in addition to the set of feasible options. A selection function is non-deteriorating if there exists an ordering over the universal set of alternatives such that the selected alternatives are at least as good as the reference option. We characterize non-deteriorating selection functions in an abstract framework and in an economic environment.

Ranking Sets of Objects

We provide a survey of the literature on ranking sets of objects. The interpretations of those set rankings include those employed in the theory of choice under complete uncertainty, rankings of opportunity sets, set rankings that appear in matching theory, and the structure of assembly preferences. The survey is prepared for the Handbook of Utility Theory, vol. 2, edited by Salvador Barberà, Peter Hammond, and Christian Seidl, to be published by Kluwer Academic Publishers. The chapter number is provisional.

La finance islamique: fondements, theorie et realite.

L’Islam interdit le riba , mot arabe signifiant à la fois usure et intérêt. L’interdiction du rib figure dans la loi islamique, née dans l’Arabie du Moyen Âge. Elle est à la base de la finance islamique qui connut une expansion remarquable durant la deuxième moitié du XX e siècle. Nous nous interrogeons sur les origines de cette interdiction, sur les problèmes que connaît actuellement la finance islamique et sur ses perspectives d’avenir.

Investment Under Demand Uncertainty: the Newsboy Problem Revisited.

In this article we study the effect of uncertainty on an entrepreneur who must choose the capacity of his business before knowing the demand for his product. The unit profit of operation is known with certainty but there is no flexibility in our one-period framework. We show how the introduction of global uncertainty reduces the investment of the risk neutral entrepreneur and, even more, that the risk averse one. We also show how marginal increases in risk reduce the optimal capacity of both the risk neutral and the risk averse entrepreneur, without any restriction on the concave utility function and with limited restrictions on the definition of a mean preserving spread. These general results are explained by the fact that the newsboy has a piecewise-linear, and concave, monetary payoff witha kink endogenously determined at the level of optimal capacity. Our results are compared with those in the two literatures on price uncertainty and demand uncertainty, and particularly, with the recent contributions of Eeckhoudt, Gollier and Schlesinger (1991, 1995).

Rigidité normale, dévaluation et équilibre général intertemporel

La présente étude analyse les effets dynamiques de la dévaluation du franc CFA, à l’aide d’un modèle monétaire d’équilibre général, intertemporel et multisectoriel. L’accent est particulièrement mis sur les interactions entre dévaluation et accumulation du capital. Dans le modèle, les effets du changement de parité passent par le marché du travail qui se caractérise par l’inertie du salaire nominal. Les résultats montrent que la dévaluation relance l’investissement, avec des effets expansionnistes sur l’activité économique. Le choc monétaire n’a eu qu’un impact limité sur les soldes budgétaire et commercial. Une mesure d’accompagnement telle que la réduction des salaires de la fonction publique améliore ces deux soldes mais déclenche un processus récessif.

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios.

Paretian Quasi-Orders: Two Agents.

We characterize Paretian quasi-orders in the two-agent continuous case.

The Inflation Bias When the Central Bank Targets, the Natural Rate of Unemployment

This paper studies the proposition that an inflation bias can arise in a setup where a central banker with asymmetric preferences targets the natural unemployment rate. Preferences are asymmetric in the sense that positive unemployment deviations from the natural rate are weighted more (or less) severely than negative deviations in the central banker's loss function. The bias is proportional to the conditional variance of unemployment. The time-series predictions of the model are evaluated using data from G7 countries. Econometric estimates support the prediction that the conditional variance of unemployment and the rate of inflation are positively related.

Environmental Risks : Should Banks Be Liable?

This paper studies the impact of banks' liability for environmental damages caused by their borrowers. Laws or court decisions that declare banks liable for environmental damages have two objectives : (1) finding someone to pay for the damages and (2) exerting a pressure on a firm's stakeholders to incite them to invest in environmental risk prevention. We study the effect that such legal decisions can have on financing relationships and especially on the incentives to reduce environmental risk in an environment where banks cannot commit to refinance the firm in all circumstances. Following an environmental accident, liable banks more readily agree to refinance the firm. We then show that bank liability effectively makes refinancing more attractive to banks, therefore improving the firm's risk-sharing possibilities. Consequently, the firm's incentives to invest in environmental risk reduction are weakened compared to the (bank) no-liability case. We also show that, when banks are liable, the firm invests at the full-commitment optimal level of risk reduction investment. If there are some externalities such that some damages cannot be accounted for, the socially efficient level of investment is greater than the privately optimal one. in that case, making banks non-liable can be socially desirable.

Environmental Risk: Should Banks Be Liable?

This paper studies the impact of banks' liability for environmental damages caused by their borrowers. Laws or court decisions that declare banks liable for environmental damages have two objectives : (1) finding someone to pay for the damages and (2) exerting a pressure on a firm's stakeholders to incite them to invest in environmental risk prevention. We study the effect that such legal decisions can have on financing relationships and especially on the incentives to reduce environmental risk in an environment where banks cannot commit to refinance the firm in all circumstances. Following an environmental accident, liable banks more readily agree to refinance the firm. We then show that bank liability effectively makes refinancing more attractive to banks, therefore improving the firm's risk-sharing possibilities. Consequently, the firm's incentives to invest in environmental risk reduction are weakened compared to the (bank) no-liability case. We also show that, when banks are liable, the firm invests at the full-commitment optimal level of risk reduction investment. If there are some externalities such that some damages cannot be accounted for, the socially efficient level of investment is greater than the privately optimal one. in that case, making banks non-liable can be socially desirable.

The Macroeconomic Effects of Infrequent Information with Adjustment Costs

In the last decade, the potential macroeconomic effects of intermittent large adjustments in microeconomic decision variables such as prices, investment, consumption of durables or employment – a behavior which may be justified by the presence of kinked adjustment costs – have been studied in models where economic agents continuously observe the optimal level of their decision variable. In this paper, we develop a simple model which introduces infrequent information in a kinked adjustment cost model by assuming that agents do not observe continuously the frictionless optimal level of the control variable. Periodic releases of macroeconomic statistics or dividend announcements are examples of such infrequent information arrivals. We first solve for the optimal individual decision rule, that is found to be both state and time dependent. We then develop an aggregation framework to study the macroeconomic implications of such optimal individual decision rules. Our model has the distinct characteristic that a vast number of agents tend to act together, and more so when uncertainty is large. The average effect of an aggregate shock is inversely related to its size and to aggregate uncertainty. We show that these results differ substantially from the ones obtained with full information adjustment cost models.

Economic Development under Alternative Trade Regimes

How does openness affect economic development? This question is answered in the context of a dynamic general equilibrium model of the world economy, where countries have technological differences that are both sector-neutral and specific to the investment goods sector. Relative to a benchmark case of trade in credit markets only, consider (i) a complete restriction of trade, and (ii) a full liberalization of trade. The first change decreases the cross-sectional dispersion of incomes only slightly, and produces a relatively small welfare loss. The second change, instead, decreases dispersion by a significant amount, and produces a very large welfare gain.