Une approche Macroprudentielle du risque systémique en zone CEMAC
[A Macro-prudential approach of systemic risk in CEMAC zone]
AbstractIn this study, we identifie a small number of indicators of macro-prudential supervision important to monitoring of the banking’s system. We use the theory of Markov stochastic processes to measure the systemic risk of CEMAC by calculating the degree of fragility of system and we determine the variables that influent on it degradation by using a logit model on panel data. Following this analysis, it appears that the claims on the private sector in a period, foreign direct investment (FDI), private sector credit and exports increase the risk of failure of the banking system, while the equity, The rate of inflation, exchange rates, while rising, downward influence the likelihood of degradation of the banking system in CEMAC
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 25632.
Date of creation: 2010
Date of revision:
Banking System; Macro-Prudential Indicators; Degradation; Systemic risk; Markov stochastic processes; Monetary Policy CEMAC; BEAC;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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- Kamgna, Severin Yves & Tinang, Nzesseu Jules & Tsombou, Kinfak Christian, 2009. "Macro-Prudential Monitoring Indicators for CEMAC Banking System," MPRA Paper 17095, University Library of Munich, Germany.
- Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group.
- Jorge A. Chan-Lau, 2006. "Fundamentals-Based Estimation of Default Probabilities: A Survey," IMF Working Papers 06/149, International Monetary Fund.
- Castrén, Olli & Dées, Stéphane & Zaher, Fadi, 2008. "Global macro-financial shocks and expected default frequencies in the euro area," Working Paper Series 0875, European Central Bank.
- Martin CihÃ¡k, 2007. "Introduction to Applied Stress Testing," IMF Working Papers 07/59, International Monetary Fund.
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