Financement dynamique des intermédiaires financiers : l’effet de la volatilité du taux de crédit sur les dépôts de base

L’étude examine les effets à court et long terme de la volatilité du taux de crédit sur les moyens de financement d’un intermédiaire financier qui est caractérisé par la neutralité au risque et des rendements constants à l’échelle dans sa technologie de transformation d’actifs. Étant donné l’existence de coûts d’ajustement convexes, nous démontrons que le flux courant de dépôts nouveaux est une fonction croissante du prix d’ordre des dépôts existants. Nous prouvons aussi qu’un accroissement de la volatilité du taux de crédit augmente le flux courant de dépôts nouveaux. De plus, si le taux de crédit ne présente pas de corrélation chronologique, cette volatilité accrue fait monter le niveau anticipé d’équilibre à long terme des dépôts de base. Ces résultats se vérifient également dans la plupart des cas où le taux est corrélé chronologiquement. Les fluctuations du taux de crédit étant corrélées, le modèle d’optimisation peut même entraîner une situation particulière, la désintermédiation à long terme des dépôts de base. C’est le cas si le coût marginal d’ajustement est plus convexe que la fonction d’intermédiation : ceci ne se réalise (de façon non ambiguë) que s’il y a forte persistance temporelle des fluctuations du taux de crédit, que si le facteur d’actualisation est faible et que si le taux d’attrition des dépôts existants est élevé.This paper looks at the near-term and equilibrium effects of loan-rate volatility on the optimal liability-funding policies of a risk-neutral intermediary that exhibits constant returns to scale in its asset transformation technology. It is shown, first, that given convex adjustment costs, the flow of current new savings is an increasing function of the shadow price of existing deposits. It is shown, next, that increased credit-rate volatility raises this current flow of new savings; and rate volatility also affects positively the expected long-run holding of core deposits, if the loan rate is serially uncorrelated. These results hold true for most cases of serial correlation as well. Finally, it is shown that when credit rate fluctuations show temporal persistence, the model will lead explicitly to long-run disintermediation under the following restrictive conditions: the adjustment cost technology is more convex than the intermediation technology, where more convex hinges on serial correlation in rates, the discount factor and the attrition rate of core deposits

Une analyse économétrique de la demande et de l’offre de dépôts des sociétés de crédit populaire : le cas des Caisses populaires

The aim of the study is to explain Quebec major credit union's deposit market by way of integrating its public demand function with the institution's rate-setting operation. The demand for Caisses' deposits is specified as a dynamic stock adjustment model. On the other hand, the intermediary's rate-setting reduced form is derived from a risk-return portfolio balance model in which the managers maximize the expected utility of reserves. The two models are integrated by means of a liability composite rate.Econometric estimates of the integrated model provide us with interesting policy insights. For instance, the Quebecois public views chartered banks' deposits as a weak substitute for Caisses' deposits; it is also more responsive to nonrate arguments, such as loan eligibility or the institution's ethnic appeal. On the supply side, competitive liability rates are more important than returns on assets when the Caisses set its deposit rate. Finally, the impact growth imbalance between loans and deposits is well captured by a flow variable, without infringing on the steady determination based on rates

Une analyse économétrique du comportement d’intermédiation financière des sociétés de crédit populaire : le cas des caisses populaires

Considering the Caisses populaires as a financial system, we propose an econometric model of its consolidated balance sheet built around the following four major blocks. The first one presents a dynamic sub-model of the Caisses' asset portfolio, which emphasizes their intermediation among assets on the basis of the latter interest rates. In a second block, these rates are endogenized with respect to the key variables of both the real and monetary sectors of the economy. On the liability side, the Caisses' deposit market is dealt with in a third block, namely a demand for deposits or flow equation and a supply of deposits or rate setting operation. Finally, adjustment equations for the balance sheet items not already considered, are grouped in a fourth block. The overall model is dynamized through the deposit equation.From the model's econometric estimation, we arrive at the following conclusions about financial management and liquidity policies. On the asset side of the balance sheet, the Caisses aim mainly at satisfying their members' needs for mortgages and, to a lesser but growing degree, for consumer loans. Next, for the funds remaining after satisfying internal needs, the institution proceeds to some sort of secondary, medium-term intermediation, then preferring quasi-liquid and higher yielding bonds to reserves. On the liability side, the Caisses seem to set their rate on deposits on the basis of the one for chartered banks (price leadership) as well as on the basis of the most representative asset rates, i.e. the ones on consumer and mortgage loans. Finally, the public demand for the Caisses' deposits, is more a function of the borrowing privileges offered to the members than of the intrinsic competitive rate paid on them

Fracture path in an anisotropic material in the light of a friction experiment

A slider is pulled by means of a flexible link on a flat solid surface which exhibits anisotropic frictional properties. The resulting trajectory of the slider is assessed experimentally. First, we check that the experimental results are in excellent agreement with a theoretical description of the problem based on an expression of the frictional forces. Second, we point out that the trajectory of the slider can be recovered by the use of a "maximum of energy release rate" criterion which is generally used to predict the path of a fracture even if the validity of the principle is difficult to verify in the latter complex systems

La programmation déterministe du budget de capital : un modèle financier

The financial model presented in the article attempts to further integrate capital budgeting into the firm's overall financial planning policy. Although it is an extension and generalization of Bernhard and Weingartner's previous models, it differs from these works by some basic assumptions related to both the objective function and constraint set.

Descripteurs pour la reconnaissance de piétons

National audienceLa reconnaissance de piétons dans les images est une tâche à part entière qui requiert l'utilisation d'outils particuliers. Parmi les descripteurs récents utilisés pour la détection de piétons, on trouve les ondelettes de Haar, les histogrammes d'orientation de gradients et les descripteurs binaires. Ce papier présente une comparaison des performances de ces trois différents descripteurs à partir d'une base d'images commune et d'un même classifieur. Nous présenterons également comment associer ces descripteurs de façon simple pour améliorer les taux de reconnaissance de piétons

Potential growth in the EU and the global economy: New analytical insights & prospects from ageing and catching-up.

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Real Time Parallel Implementation of a Particle Filter Based Visual Tracking

8ppWe describe the implementation of a 3D visual tracking al- gorithm on a cluster architecture.Parallelisation of the algorithm makes it possible to obtain real-time execution (more than 20 FPS) even with large state vectors, which has been proven difficult on sequential architecture. Thanks to a user-friendly software development environment, this large gain in performance is not obtained at the price of programmability