Heterogeneite de la Transmission de la Politique Monetaire et Evaluation Interne du Risque de Credit : Analyse en Equilibre Partiel

Abstract

This article presents a partial equilibrium model of the credit market, with banking duopoly subject to a regulatory capital. The results of the model reveal a heterogeneity of monetary policy transmission, due to the disparity of internal rating based methods used by banks to calculate risk-weighted assets and capital requirement. The comparative statics exercise shows a weakening of the credit channel because of risk estimation bias and internal rating methods variability. Thus, the article highlights the strategic issue of the “laissez-faire” given to banks in determining their regulatory capital and calls for a reconciliation between micro-prudential regulation and macroeconomic policy making so as to establish macro-prudential regulation.