CHIAPPINI, Raphael; GROSLAMBERT, Bertrand; BRUNO, Olivier

Bordeaux Sciences Economiques [BSE]

GROSLAMBERT, Bertrand

BRUNO, Olivier

Idioma

Document de travail - Pré-publication

Resumen en inglés

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.< Leer menos

Palabras clave en inglés

Bank output

Liquidity premium

Risk premium

ARDL

Local projections

URI

https://oskar-bordeaux.fr/handle/20.500.12278/170541

Centros de investigación

Bordeaux Sciences Economiques / Bordeaux School of Economics (BSE) - UMR 6060

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Liquidity matters when measuring bank output

Idioma

Resumen en inglés

Palabras clave en inglés

URI

Centros de investigación