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Crises bancaires dans les pays de l'UEMOA :un système d'alerte avancée fondé sur une approche logit multinomiale

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Author Info

  • Alain Angora
  • Amine Tarazi

Abstract

Nous analysons d’une part, le rôle des indicateurs macroéconomiques et des variables bancaires dans la crise bancaire survenue dans les pays de l’UEMOA. D’autre part, nous proposons un système d’alerte avancée fondé sur un modèle Logit multinomial. Nos résultats montrent que le modèle augmenté de variables spécifiques aux banques présente un meilleur pouvoir prédictif. Par ailleurs, nous confrontons la capacité prédictive de notre approche multinomiale à celle des modèles binaires :la prise en compte de plus de deux régimes permet de réduire le nombre de fausses alertes et d’aider les superviseurs bancaires à décrypter les caractéristiques d’une crise annoncée.

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Bibliographic Info

Article provided by ULB -- Universite Libre de Bruxelles in its journal Brussels economic review.

Volume (Year): 54 (2011)
Issue (Month): 1 ()
Pages: 21-50

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Handle: RePEc:bxr:bxrceb:2013/93448

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Related research

Keywords: Crises bancaires; UEMOA; Modèles Logit multinomiaux;

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  1. Eichengreen, Barry & Arteta, Carlos, 2000. "Banking Crises in Emerging Markets: Presumptions and Evidence," Center for International and Development Economics Research, Working Paper Series qt3pk9t1h2, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
  2. Paul Louis Ceriel Hilbers & Alfredo Mario Leone & Mahinder Singh Gill & Owen Evens, 2000. "Macroprudential Indicators of Financial System Soundness," IMF Occasional Papers 192, International Monetary Fund.
  3. International Monetary Fund, 1998. "Leading Indicators of Banking Crises-Was Asia Different?," IMF Working Papers 98/91, International Monetary Fund.
  4. Honohan, Patrick & Klingebiel, Daniela, 2000. "Controlling the fiscal costs of banking crises," Policy Research Working Paper Series 2441, The World Bank.
  5. Patrick Honohan & Daniela Klingebiel, 2000. "Controlling fiscal costs of banking crises," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 284-319.
  6. Asli Demirgüç-Kunt & Enrica Detragiache, 1998. "The Determinants of Banking Crises in Developing and Developed Countries," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 81-109, March.
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