ACTUALITÉS

La Securities and Exchange Commission, l'Autorité de marché des États-Unis, a publié le discours de sa Présidente, Mary Schapiro, sur le thème de la régulation des dérivés OTC.

Sommaire du discours :

• In 2009, the G-20 Leaders made commitments regarding reforms to the OTC derivatives market with the objective of improving transparency, mitigating systemic risk, and protecting against market abuse.
• In October 2010, the FSB published recommendations regarding these commitments, which included the recommendation that authorities should explore the benefits and costs of requiring public price and volume transparency of all trades.
• Based on information provided by FSB member jurisdictions, it appears that pre-and post-trade transparency are areas where jurisdictions have room for significant advances.
• Some of the conversations among regulators around transparency have focused on specific requirements for trading, and the overall goal of improving transparency seems to be getting lost. Our goal today is to discuss improving market transparency. I think it would be beneficial and productive to focus our discussion in particular on the benefits and costs of post-trade transparency requirements for all OTC derivatives transactions, whether or not execution occurs on an exchange or electronic trading platform.
• There are a number of potential benefits of pre- and post-trade transparency
• There also are potential costs of post-trade transparency

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La FSA, l'Autorité des marchés de la Grande-Bretagne, a publié un rapport sur les effets macroéconomiques de la prudence financière.

Le document est intitulé "Measuring the impact of prudential policy on the macroeconomy - A practical application to Basel III and other responses to the financial crisis".

Introduction :

The choice and calibration of prudential standards historically has been largely an international process of political economy informed by judgement (e.g. Basel Committee on Banking Supervision (BCBS) (2006)). Before the Turner Review (FSA (2009a) and FSA (2009b)), only limited effort had been made to provide empirical support for these judgements although theoretical approaches to analyse the effects of adjusting capital requirements have been posited (e.g. Repullo and Suarez (2004); Van den Heuvel (2008)).

Specifically, financial regulators did not use research findings about how banks react to changes in prudential standards to explore any trade-offs between stability and the provision of finance to the real economy. Nor did they examine the links between the calibration of prudential standards and the probability of financial crises occurring.

We and others at the FSA have taken the lead in seeking to fill the evidential gaps described above. This resulted in Occasional Papers 22 (Alfon et al (2006)), 31 (Francis and Osborne (2009a)) and 36 (OP36) (Francis and Osborne (2009b)), which sought to give a clear understanding of how banks have reacted to changes in prudential standards. OP36 confirmed that banks react to changes in regulatory capital requirements by dynamically adjusting both their level of capital and their level of risk-weighted assets to reach a desired capital ratio. This approach to estimating the additional capital that banks would need to hold in response to higher capital requirements is far more realistic than approaches that use banks’ existing balance sheet assets to calculate new capital requirements, or that are not empirically based at all.

The evidence in OP36 that the specific reaction of individual banks to changes in prudential standards depends on their individual balance sheet composition when the standards are announced was used to develop a model that aggregates firm-specific data about the condition and reactions of the UK’s largest banks to changes in prudential policy. The model then aggregates these individual responses to show a sector-wide response. This model currently covers about 75% of UK banks’ assets.

We also worked with the National Institute of Economic and Social Research (NIESR) to help produce Occasional Paper 38 (OP38) in this series (Barrell, Davis, Fic et al (2009)). This includes a new methodology for determining the costs and benefits of bank capital and liquidity requirements for the economy as a whole.

Exploring the trade-offs between stability and the provision of finance to the real economy, and identifying the factors that influence the probability of financial crises occurring, is not at all straightforward. Numerous modelling challenges are involved, and we have been careful to make clear that we are far from having the answers to all of these. Even so, it should be possible to improve future policy judgements, and the monitoring of the impacts of judgements already made, by improving the evidence base. We therefore sought to address some of the weaknesses in previous modelling – these efforts, together with the new results generated, are reported in this paper.

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La Federal Reserve Bank of New York a publié son compte-rendu du Comité Fédéral d'open market pour le mois d'avril 2012.

Résumé :

The Federal Reserve Board and the Federal Open Market Committee on Wednesday released the attached minutes of the Committee meeting held on April 24-25, 2012. A summary of economic projections made by Federal Reserve Board members and Reserve Bank presidents for the April 24-25, 2012 meeting is also included as an addendum to these minutes.

The minutes for each regularly scheduled meeting of the Committee ordinarily are made available three weeks after the day of the policy decision and subsequently are published in the Board's Annual Report. Summaries of economic projections are released on an approximately quarterly schedule. The descriptions of economic and financial conditions contained in these minutes and in the Summary of Economic Projections are based solely on the information that was available to the Committee at the time of the meeting.

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La Banque Centrale Européenne a publié le discours de son Président, Mario Draghi, sur le thème de la politique monétaire dans les périodes atypiques.

Points clés :

• The first topic concerns the experiences gained with the ECB’s non-standard measures and monetary policy during crisis times.
• The second topic of today’s colloquium will look at the interaction of private and public debt, deficits and monetary policy.

Introduction :

It is my pleasure to welcome you here today on the occasion of this colloquium on “Monetary Policy in unconventional times”. It is held in the honour of José Manuel González-Páramo to mark the end of his eight-year term as Member of the ECB’s Executive Board.

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L'Autorité Bancaire Européenne a publié un rapport sur les directives "IRC".

Le document est intitulé "EBA Guidelines on the Incremental Default and Migration Risk Charge (IRC) EBA/GL/2012/3".

Résumé :

The EBA published today two sets of Guidelines on Stressed Value-At-Risk (Stressed VaR) and on the Incremental Default and Migration Risk Charge (IRC) modelling approaches employed by credit institutions using the Internal Model Approach (IMA).

These Guidelines are seen as an important means of addressing weaknesses in the regulatory capital framework and in the risk management of financial institutions. Their objective is to contribute to a level playing field and to enhance convergence of supervisory practices across the EU.

National competent authorities are expected to implement the provisions set out in the Guidelines within six months after their publication. After that date, the competent authorities must ensure that institutions comply with the Guidelines effectively.

Guidelines on Stressed Value-At-Risk (Stressed VaR)

These Guidelines include provisions on Stressed VaR modelling by credit institutions using the Internal Model Approach for the calculation of the required capital for market risk in the trading book.

The main provisions of the Guidelines relate to :

• The identification and the review of the stressed period;
• The Stressed VaR methodology;
• The Use test.

Guidelines on the Incremental Default and Migration Risk Charge (IRC)

These Guidelines include provisions on the IRC modelling approaches employed by credit institutions using the Internal Model Approach (‘IMA’) for the calculation of the required capital for specific interest risk in the trading book. The incremental risk charge is intended to complement additional standards being applied to the value-at-risk (VaR) modelling framework in the trading book.

The main provisions of the Guidelines relate to :

• The scope of application; Individual modelling of all aspects of the IRC approach
• The interdependence between default and migration events;
• The profit and losses (P&L) valuation including how ratings changes impact on market prices and on the computation of P&L;
• The liquidity horizons;
• - The validation and use test for IRC models.

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L'Autorité Bancaire Européenne a publié un rapport sur les directives "Stressed VaR".

Le document est intitulé "EBA Guidelines on Stressed Value At Risk (Stressed VaR) EBA/GL/2012/2".

Résumé :

The EBA published today two sets of Guidelines on Stressed Value-At-Risk (Stressed VaR) and on the Incremental Default and Migration Risk Charge (IRC) modelling approaches employed by credit institutions using the Internal Model Approach (IMA).

These Guidelines are seen as an important means of addressing weaknesses in the regulatory capital framework and in the risk management of financial institutions. Their objective is to contribute to a level playing field and to enhance convergence of supervisory practices across the EU.

National competent authorities are expected to implement the provisions set out in the Guidelines within six months after their publication. After that date, the competent authorities must ensure that institutions comply with the Guidelines effectively.

Guidelines on Stressed Value-At-Risk (Stressed VaR)

These Guidelines include provisions on Stressed VaR modelling by credit institutions using the Internal Model Approach for the calculation of the required capital for market risk in the trading book.

The main provisions of the Guidelines relate to :

• The identification and the review of the stressed period;
• The Stressed VaR methodology;
• The Use test.

Guidelines on the Incremental Default and Migration Risk Charge (IRC)

These Guidelines include provisions on the IRC modelling approaches employed by credit institutions using the Internal Model Approach (‘IMA’) for the calculation of the required capital for specific interest risk in the trading book. The incremental risk charge is intended to complement additional standards being applied to the value-at-risk (VaR) modelling framework in the trading book.

The main provisions of the Guidelines relate to :

• The scope of application; Individual modelling of all aspects of the IRC approach
• The interdependence between default and migration events;
• The profit and losses (P&L) valuation including how ratings changes impact on market prices and on the computation of P&L;
• The liquidity horizons;
• - The validation and use test for IRC models.

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La Banque des Règlements Internationaux a publié un rapport sur les conséquences politiques des liens entre la finance et l'économie réelle.

le rapport est intitulé "The policy implications of transmission channels between the financial system and the real economy".

Résumé :

The Basel Committee's Research Task Force Transmission Channel project aimed at generating new research on various aspects of the credit channel linkages in the monetary transmission mechanism. Under the credit channel view, financial intermediaries play a critical role in the allocation of credit in the economy. They are the primary source of credit for consumers and businesses that do not have direct access to capital markets. Among more traditional macroeconomic modelling approaches, the credit view is unique in its emphasis on the health of the financial sector as a critically important determinant of the efficacy of monetary policy.

The final products of the project are two working papers that summarise the findings of the many individual research projects that were undertaken and discussed in the course of the project. The first working paper, Basel Committee Working Paper No 20, "The policy implications of transmission channels between the financial system and the real economy", analyses the link between the real economy and the financial sector, and channels through which the financial system may transmit instability to the real economy. The second working paper, Basel Committee Working Paper No 21, "Models and tools for macroprudential analysis", focuses on the methodological progress and modelling advancements aimed at improving financial stability monitoring and the identification of systemic risk potential. Because both working papers are summaries, they touch only briefly on the results and methods of the individual research papers that were developed during the course of the project. Each working paper includes comprehensive references with information that will allow the interested reader to contact any of the individual authors and acquire the most up-to-date version of the research that was summarised in each of these working papers.

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La Banque des Règlements Internationaux a publié un rapport sur les outils et modèles d'analyse macro-prudentielle.

le rapport est intitulé "Models and tools for macroprudential analysis".

Résumé :

The Basel Committee's Research Task Force Transmission Channel project aimed at generating new research on various aspects of the credit channel linkages in the monetary transmission mechanism. Under the credit channel view, financial intermediaries play a critical role in the allocation of credit in the economy. They are the primary source of credit for consumers and businesses that do not have direct access to capital markets. Among more traditional macroeconomic modelling approaches, the credit view is unique in its emphasis on the health of the financial sector as a critically important determinant of the efficacy of monetary policy.

The final products of the project are two working papers that summarise the findings of the many individual research projects that were undertaken and discussed in the course of the project. The first working paper, Basel Committee Working Paper No 20, "The policy implications of transmission channels between the financial system and the real economy", analyses the link between the real economy and the financial sector, and channels through which the financial system may transmit instability to the real economy. The second working paper, Basel Committee Working Paper No 21, "Models and tools for macroprudential analysis", focuses on the methodological progress and modelling advancements aimed at improving financial stability monitoring and the identification of systemic risk potential. Because both working papers are summaries, they touch only briefly on the results and methods of the individual research papers that were developed during the course of the project. Each working paper includes comprehensive references with information that will allow the interested reader to contact any of the individual authors and acquire the most up-to-date version of the research that was summarised in each of these working papers.

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La Commission européenne a publié un rapport détaillant le programme-cadre pour la recherche et l'innovation à l'horizon 2020.

Europe 2020 est la stratégie de croissance que l'Union européenne a adoptée pour les dix années à venir.

Dans un monde en mutation, l'Union doit devenir une économie intelligente, durable et inclusive. Ces trois priorités qui se renforcent mutuellement doivent aider l'Union et ses États membres à assurer des niveaux élevés d’emploi, de productivité et de cohésion sociale.

Concrètement, l'Union européenne a fixé cinq objectifs ambitieux à atteindre d'ici 2020 en matière d'emploi, d'innovation, d'éducation, d'inclusion sociale et d'énergie (ainsi que de lutte contre le changement climatique). Chaque État membre a adopté ses propres objectifs nationaux dans chacun de ces domaines. Des actions concrètes menées aux niveaux européen et national sous-tendent la stratégie.

Résumé :

La stratégie Europe 2020

Le programme-cadre Horizon 2020 s’inscrit dans la stratégie Europe 2020 en vue d’une croissance pour les dix années à venir en matière d'emploi, d'innovation, d'éducation, d'inclusion sociale et d'énergie. La stratégie Europe 2020 repose sur sept initiatives, qui constituent le fondement de la contribution européenne. L’une de ces initiatives appelées  « Une Union de l’innovation » propose un ensemble complet d’actions visant à améliorer les performances de la recherche et de l’innovation. Horizon 2020 en est un outil capital en ce qui concerne la réalisation de cette initiative.

Le programme-cadre Horizon 2020 regroupe toutes les actions de financement actuelles de recherche et d'innovation de l'Union, notamment au titre du programme-cadre de recherche, des activités liées à l'innovation du programme-cadre pour l’innovation et la compétitivité et de l’Institut européen d’innovation et de technologie (EIT).

Les grandes priorités d'Horizon 2020

Le programme prévoit :

• l'Excellence scientifique à savoir élever le niveau d’excellence de la base scientifique européenne et garantir un flux constant de recherche de classe mondiale afin d’assurer la compétitivité à long terme de l’Europe ;
• la primauté industrielle, il s’agira de renforcer le caractère attractif de l’Europe pour les investissements dans la recherche et l’innovation (y compris l’éco-innovation) en promouvant les activités qui sont en phase avec la réalité des entreprises ;
• les défis de société avec la mise en œuvre d’une approche axée sur les défis à relever, en mobilisant des ressources et des connaissances couvrant plusieurs domaines, technologies et disciplines scientifiques, y compris les sciences sociales et humaines. Ce volet est une réponse directe aux priorités stratégiques recensées dans la stratégie Europe 2020.

Sans oublier les PME

Les PME ont un potentiel d'innovation non négligeable et leur souplesse leur permet de mettre des avancées technologiques révolutionnaires et des innovations dans le domaine des services sur le marché. Horizon 2020 veut aider les entreprises à croissance rapide en renforçant l’approche adoptée vis-à-vis des PME et notamment d’accroître la participation des micro-entreprises.

Quelques 15 % des budgets totaux combinés de tous les objectifs spécifiques du volet « Défis de société » et de l’objectif spécifique « Primauté industrielle » pourraient être consacrés aux PME. Elles bénéficient des mesures de simplification car elles manquent souvent des ressources nécessaires pour faire face aux lourdeurs administratives.

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L'Institut national de la statistique et des études économiques a publié un communiqué de presse dans lesquel elle annonce les chiffres des créations d’entreprises en avril 2012.

En avril 2012, le nombre de créations d'entreprises est en baisse par rapport au mois de mars : -3,5 % pour les créations hors auto-entrepreneurs, en données corrigées des variations saisonnières et du nombre de jours ouvrables ; -9,8 % lorsqu’on y adjoint les demandes de création d’auto-entreprises en données brutes.

Le nombre cumulé de créations au cours des mois de février, mars et avril 2012 est en légère hausse par rapport aux mêmes mois un an auparavant (+0,8 %).

Les secteurs qui contribuent le plus à cette hausse sont l’« information et communication » et la construction.

Le nombre de créations au cours des 12 derniers mois est en baisse par rapport aux 12 mois précédents (-4,0 %).

Sur les quatre premiers mois de l’année 2012, on enregistre, en données brutes, 111 457 demandes de création d’auto-entreprises. Ces demandes représentent un peu plus de la moitié des créations.

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