CEPII, Recherche et Expertise sur l'economie mondiale
Fiscal Consolidations and Banking Stability

Jacopo Cimadomo
Sebastian Hauptmeier
Tom Zimmermann

 Points clés :

 Résumé :
We empirically investigate the effects of fiscal policy on bank balance sheets, focusing on episodes of fiscal consolidation. To this aim, we employ a very rich data set of individual banks’ balance sheets, combined with a newly compiled data set on fiscal consolidations. We find that standard capital adequacy ratios such as the Tier-1 ratio tend to improve following episodes of fiscal consolidation. Our results suggest that this improvement results from a portfolio re-balancing from private to public debt securities which reduces the risk-weighted value of assets. In fact, if fiscal adjustment efforts are perceived as structural policy changes that improve the sustainability of public finances and, therefore, reduces credit risk, the banks’ demand for government securities increases relative to other assets.

 Mots-clés : Consolidations budgétaires | rééquilibrage du portefeuille des banques | stabilité du secteur bancaire | banking stability

 JEL : E62, G11, G21, H30
CEPII Working Paper
N°2012-32, November 2012

Résumés non-techniques

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