CEPII, Recherche et Expertise sur l'economie mondiale
Fiscal sustainability in the presence of systemic banks: the case of EU countries

Agnès Bénassy-Quéré
Guillaume Roussellet

 Points clés :

 Résumé :
We provide a first attempt to include off-balance sheet, implicit insurance to SIFIs into a consistent assessment of fiscal sustainability, for 27 countries of the European Union. We first calculate tax gaps à la Blanchard (1990) and Blanchard et al. (1990). We then introduce two alternative measures of implicit off-balance sheet liabilities related to the risk of a systemic bank crisis. The first one relies of microeconomic data at the bank level. The second one relies on econometric estimations of the probability and the cost of a systemic banking crisis, based on historical data. The former approach tends to maximize the fiscal cost of systemic banking crises, whereas the latter one tends to minimize it. Hence we believe that the combined use of these two methodologies helps to gauge the range of fiscal risk.

 Mots-clés : Fiscal sustainability | systemic banking risk | off-balance sheet liabilities

 JEL : H21, H23, J41
CEPII Working Paper
N°2012-05, March 2012

Résumés non-techniques

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 Domaines d'expertise

Monnaie & Finance