La juste valeur des instruments financiers: Un nouveau canal de contagion ?

Leila Gharbi () and Khamoussi Halioui ()
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Leila Gharbi: Corporate Finance and Financial Theory (COFFIT) - FSEG Sfax - Faculté des Sciences Economiques et de Gestion de Sfax - Université de Sfax - University of Sfax
Khamoussi Halioui: Corporate Finance and Financial Theory (COFFIT) - FSEG Sfax - Faculté des Sciences Economiques et de Gestion de Sfax - Université de Sfax - University of Sfax, ISAE de Gafsa - ISAE de Gafsa

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Abstract: The merits of fair value have always prompted heated debate, particularly with regard to financial instruments. It has been alleged that if we use the accounting market value, the volatility of asset prices affects directly the value of bank's assets; thereby, increasing the overall risk in the financial system. In this study, we investigate whether fair value accounting for financial instruments is associated with an increase in the risk of failure of the American banking system as a whole. Using a sample comprising quarterly data from 2000 to 2010 for 296 U.S bank holding companies, we develop two models. The first is a multinomial logit model based on return and the second is a static panel model based on risk. Only the last one shows a positive association between fair value accounting for financial instruments and contagion among banks during periods of market illiquidity.

Keywords: Juste valeur; instruments financiers; risque systémique; illiquidité; Fair value; financial instruments; contagion; systemic risk; illiquidity (search for similar items in EconPapers)
Date: 2011-05-10
Note: View the original document on HAL open archive server: https://hal.science/hal-00650435
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Published in Comptabilités, économie et société, May 2011, Montpellier, France. pp.cd-rom

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