Research and Policy
Job Market Paper
Imperfect Banking Competition and the Propagation of Uncertainty Shocks
Awards: IFABS Best PhD Paper Award (Link)
Abstract: Uncertainty shocks play a crucial role in driving business cycle fluctuations. This paper investigates the impact of changes in banking competition on the propagation of uncertainty shocks. Using a panel dataset of 44 countries, I show that lower banking competition amplifies the negative impact of uncertainty on output growth. I further explore this relationship through a dynamic stochastic general equilibrium model featuring imperfect banking competition and financial frictions. The model shows that lower banking competition leads to higher borrowing rates and increased risk-taking by entrepreneurs. As a result, when the number of competitors is lower, uncertainty shocks have a stronger negative impact on defaults, investment and output due to increased risk-taking.
Work in Progress
Firm risk, the bank leverage channel and stabilization policy, with Vivien Lewis, Stéphane Moyen and Stefania Villa
Abstract: Increases in firm default risk decrease output and inflation and raise the default probability of banks in US data. To rationalize the empirical evidence, we analyse firm risk shocks in a New Keynesian model where entrepreneurs and banks engage in a loan contract and both are subject to default risk. In the model, a wave of corporate defaults leads to losses on banks’ balance sheets; banks respond by selling assets and reducing credit provision. A highly leveraged banking sector exacerbates the contractionary effects of firm defaults. We show that high minimum capital requirements jointly implemented with a countercyclical capital buffer are effective in dampening the adverse consequences of firm risk shocks.
Capital Requirements, Bank Competition and Stability
Policy
Évaluation des risques du système financier français, Décembre 2023 (Link)
With Frédéric Ahado , Jade Al Yahya , Herizo Andrianiaina Ranaivosoa , Vladimir Azzopardi , Ludivine Berret , Pierre Berthonnaud , Clément Bourgey , Raphaël Bracquart , Jean-Charles Bricongne , Claire Brousse , Béranger Brutuille, Pierre Bui Quang , Aurore Cambou , Emilie Cambus , Marion Cochard , Jérôme Coffinet , Etienne De L’estoile , Grégoire Desbrosses , Feyrouz Djabali , Marine Dujardin , Niamh Dunne , Anne Duquerroy , Fanchon Durand , Aurélien Espic , Laurent Faivre , Thomas Ferriere , Adam Golinski , Olivier Gonzalez , Raphaël Gorrand , Sophie Guilloux-Nefussi , Déborah Haddad , Jonas Heipertz , Dalia Ibrahim , Caroline Jardet , Tristan Jourde , Yannick Kalantzis , Lisa Kerdelhue , Antoine Lalliard , Mathias Le , Sandrine Lecarpentier , Alexandre Menard , Tarik Mouakil , Youssef Mouheb , Thibaut Piquard , Martin Saillard ,Dilyara Salakhova, Alice Schwenninger , Matthieu Segol , Louise Tupinier , Floris Van Dijk , Lucas Vernet and Yann Wicky