Liquidity matters when measuring bank output
| dc.rights.license | open | en_US |
| hal.structure.identifier | Bordeaux Sciences Economiques [BSE] | |
| dc.contributor.author | CHIAPPINI, Raphael
IDREF: 120200961 | |
| dc.contributor.author | GROSLAMBERT, Bertrand | |
| dc.contributor.author | BRUNO, Olivier | |
| dc.date.accessioned | 2022-12-09T11:02:16Z | |
| dc.date.available | 2022-12-09T11:02:16Z | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/170541 | |
| dc.description.abstractEn | We develop a new method for calculating bank output that addresses the flaws of the current approach of the System of National Accounts. We implement a simple model-free method that removes the “pure” credit risk premium from the production of banks while keeping the liquidity provision as part of the total bank output. Using both local projections and autoregressive distributed lag models, we show that our method produces bank output estimates that are consistent with the evolution of the economic activity and that remain always positive including during periods of financial stress. This method satisfies the four conditions set by the Inter-Secretariat Working Group on National Accounts. Furthermore, our method reveals that the banking output of the eurozone is overestimated by approximately 40 percent over the period 2003-2017. | |
| dc.language.iso | EN | en_US |
| dc.rights | Attribution 3.0 United States | * |
| dc.rights.uri | http://creativecommons.org/licenses/by/3.0/us/ | * |
| dc.subject.en | Bank output | |
| dc.subject.en | Liquidity premium | |
| dc.subject.en | Risk premium | |
| dc.subject.en | ARDL | |
| dc.subject.en | Local projections | |
| dc.title.en | Liquidity matters when measuring bank output | |
| dc.type | Document de travail - Pré-publication | en_US |
| dc.subject.hal | Sciences de l'Homme et Société/Economies et finances | en_US |
| dc.subject.jel | E - Macroeconomics and Monetary Economics::E0 - General::E01 - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts | en_US |
| bordeaux.hal.laboratories | Bordeaux Sciences Economiques / Bordeaux School of Economics (BSE) - UMR 6060 | en_US |
| bordeaux.institution | Université de Bordeaux | en_US |
| bordeaux.institution | CNRS | en_US |
| hal.identifier | hal-03891613 | |
| hal.version | 1 | |
| hal.date.transferred | 2022-12-09T11:02:19Z | |
| hal.export | true | |
| dc.rights.cc | CC BY | en_US |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.au=CHIAPPINI,%20Raphael&GROSLAMBERT,%20Bertrand&BRUNO,%20Olivier&rft.genre=preprint |
