La sensibilité de l’activité bancaire aux chocs macroéconomiques : Une analyse en panel sur des données de banques luxembourgeoises

This paper investigates the issue of the sensitivity of intermediary balances of the profit and loss account of Luxembourg banks to monetary, financial and macro-economic shocks. The analysis is based on a nonbalanced panel with data at quarterly frequency covering the period from 1994 to 2005. The methodology applied is similar to the one of Lehmann and Manz (2005). The estimation results and the simulations seem to indicate that Luxembourg banks are much more sensitive to changes in euro area GDP and to shocks related to the European DJE Stoxx than to monetary shocks. The latter are approximated by a quarterly change of one hundred basis points of the three-month Euribor. The extent of this reactivity should not be overemphasized, as it is not a fundamentally destabilizing factor of the banking sector as a whole.

Keywords: Banks, macroeconomic shocks, Models with panel data

JEL Classification: G21, E32, C33