Stress test macroéconomique du système bancaire de l'UEMOA
[Macroeconomic stress testing of the WAEMU banking system]
AbstractIn this paper we evaluate the resilience of the banking system of WAEMU to macroeconomic shocks. From banks data, aggregated by country from 1990 to 2010, we identify the microeconomic and macroeconomic determinants of banks profitability of the Union using the generalized method of moments (GMM) in a dynamic panel data model. We then perform the exercises of stress by evaluating the sensitivity of the banks coefficient of profitability to various adverse scenarios.The results show that banks of the Union are more vulnerable to monetary shocks than real activity. They support especially soundness of the banking sector as a whole in respond to changes in its macroeconomic environment, so that the risk of degradation of profitability related to impact of the real economy are contained.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 39214.
Date of creation: Mar 2012
Date of revision: May 2012
Stress testing; dynamic panel data models; Generalized method of moments; coefficient of profitability; WAEMU;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
- NEP-AFR-2012-06-13 (Africa)
- NEP-ALL-2012-06-13 (All new papers)
- NEP-BAN-2012-06-13 (Banking)
- NEP-MAC-2012-06-13 (Macroeconomics)
- NEP-RMG-2012-06-13 (Risk Management)
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