CHIAPPINI, Raphaël; GROSLAMBERT, Bertrand; BRUNO, Olivier

doi:10.1016/j.qref.2024.01.007

CHIAPPINI, Raphaël
Bordeaux Sciences Economiques [BSE]

GROSLAMBERT, Bertrand

BRUNO, Olivier
Groupe de Recherche en Droit, Economie et Gestion [GREDEG]

Langue

Article de revue

Ce document a été publié dans

Quarterly Review of Economics and Finance. 2024-04-01, vol. 94, p. 167-179

Résumé en anglais

The current method of calculating nominal bank output in the national accounts has significant shortcomings. Discussions to remedy this have been ongoing for several years. We propose a new method 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 nominal bank output. Using both local projections and autoregressive distributed lag models, we show that our method produces nominal 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 nominal banking output of the eurozone is overestimated by approximately 40% over the period 2003–2017.< Réduire

Mots clés en anglais

Bank output

Liquidity premium

Risk premium

ARDL

Local projections

URI

https://oskar-bordeaux.fr/handle/20.500.12278/188046

DOI

http://dx.doi.org/10.1016/j.qref.2024.01.007

Unités de recherche

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

Voir/Ouvrir

Métadonnées

Partager cette publication !

Licence d’utilisation du document

A method to measure bank output while excluding credit risk and retaining liquidity effects

Langue

Ce document a été publié dans

Résumé en anglais

Mots clés en anglais

URI

DOI

Unités de recherche