Vincent Bouvatier

Banking supervisors rely on a set of indicators, such as the credit-to-Gross Domestic Product (GDP) gap, to evaluate the macro-financial environment and implement the countercyclical capital buffer. This paper proposes two supplementary indicators, based on forecast-based measures of the credit-to-GDP gap: forecast-augmented credit-to-GDP gaps and predicted credit-to-GDP gaps. While the former has already attracted attention from some banking supervisors, the latter represents a novel metric introduced here. These gaps are generated using singular spectrum analysis. We show that forecasting performance varies between countries and depends on credit market conditions. Furthermore, our results indicate that forecast-based credit-to-GDP gaps are effective in predicting the early stages of a credit boom.

This article examines the international activity of banks. We use a gravity framework and country-by-country reports (CbCR) to predict the turnover of European Union (EU) banks worldwide, including jurisdictions usually considered tax havens. Our results show that: (1) about half of the activity of EU banks in tax havens, which accounts for 17% of their global activity, is not explained by standard gravity factors; (2) abnormal activity is concentrated in only a few tax havens (Luxembourg, Hong Kong, and Singapore); and (3) abnormal activity has been stable since the introduction of CbCR.

We highlight caveats arising in the application of traditional ROA-based Z-scores for the measurement of bank insolvency risk, develop alternative Z-score measures to resolve these issues , and make recommendations for best practice for the US/Europe based on the experience of the …nancial crisis of 2007-2008. Using a probabilistic approach (i) our novel regulatory capital Z-score dominates traditional Z-score measures for both US/Europe; (ii) Z-scores computed with exponentially weighted moments dominate those with moving moments for the US sample, but not for Europe. For both US/Europe, using a multivariate logit approach (i) allows computation of augmented Z-scores that provide probabilities of distress that better discriminate between distressed/surviving banks than the probabilistic approach; (ii) suggests that the ROA-based Z-score using current values of the capital-asset ratio is best, calculated either with moving or exponentially weighted moments.

This paper provides the first quantitative assessment of the contribution of global banks in intermediating tax evasion. Applying gravity equations on a unique regulatory dataset based on comprehensive individual country-by-country reporting from all the Systemically Important Institutions in the European Union, we find that: 1) Tax havens generate an 200% extra presence of foreign banks; 2) The favorite destinations of tax evasion intermediated by European banks are Luxembourg and Monaco 3) British and German banks display the most aggressive stratégies in tax havens ; 4) New transparency requirements imposed in 2015 have not changed European banks commercial presence in tax havens; 5) Banks intermediate Eur 565.2 billion of off-shore assets, that is 5% of their origin countries' GDP; 6) Banks contribute to one third of global off-shore wealth intermediation.

We evaluate several alternative approaches to the construction of time-varying Z-scores as bank insolvency risk measures. Focusing on US and European banks during the financial crisis of 2007-2008, we carry out comparisons of the different measures considered using a range of alternative testing procedures. For both US and European data, Z-scores computed with the exponentially weighted moments method are shown to be preferable to those computed with the more commonly used moving moments approach. Generally, or if only simple moving moments are used, Z-scores computed with current values of the capital-asset ratio are recommended.

La crise mondiale qui s’est ouverte en 2007 a montré la nécessité de renouveler le cadre de la régulation alors essentiellement microprudentiel en lui ajoutant une dimension macroprudentielle. L’objectif est de corriger plusieurs défaillances de marché qui font que le risque du système financier n’est pas seulement l’agrégation des risques individuels de ses institutions. Le risque qui pèse sur le système financier est aussi systémique au sens où il dépend également des interdépendances et des interactions complexes qui unissent ses composantes. Notre introduction à ce dossier thématique propose un bref aperçu de l’état des connaissances et des débats sur la mesure du risque systémique et la politique macroprudentielle.