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Mesure de la vulnérabilité du secteur bancaire luxembourgeois

  • Abdelaziz Rouabah

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    Cet article a pour objectif d?élaborer, dans une première phase, un indice trimestriel de vulnérabilité financière du secteur bancaire luxembourgeois, permettant ainsi de compléter la batterie d?indicateurs mis en place au sein de la banque centrale pour appréhender la solidité de ce secteur. Dans une seconde étape, le lien entre l?indice construit et l?environnement macroéconomique est exploré à travers une spécification linéaire. Enfin, un modèle est adopté pour la prévision de l?évolution de cet indice.L?approche que nous adoptons pour la construction de cet indice s?inscrit fondamentalement dans la lignée des travaux de Hanschel et Monnin (2005) et Illing et Liu (2006). L?élaboration de cet indice est basée sur un large éventail de variables bilantaires et macrofinancières. Et plusieurs méthodes furent adoptées pour sa construction. Il s?agit de l?indice standard établi avec des pondérations à variance égale, de celui construit selon les percentilles de la fonction de distribution cumulative des variables initiales et enfin, de l?indice élaboré à partir de l?application de la méthode de la composante principale aux données de notre échantillon. Les résultats obtenus révèlent une nette progression de l?indice de vulnérabilité du secteur bancaire luxembourgeois durant la crise financière russe (1998) et au cours de la période 2001-2003. Cette dernière période est caractérisée à la fois par la chute des indices boursiers en 2001-2003 et par l?émergence de la crise financière en Turquie et en Argentine. Quant à la baisse très nette de cet indice durant la période 2003-2006, elle signifie que l?environnement et le comportement du secteur bancaire luxembourgeois en matière de risque furent propices à la stabilité financière.Les résultats prévisionnels obtenus selon notre modèle semblent être en faveur d?une évolution contenue de cet indice. En tenant compte de l?incertitude qui entoure la prévision, la frontière de l?intervalle de confiance reste inférieure aux niveaux historiques les plus élevés observés en 2002 et en 2003. Ceci revient à affirmer qu?en l?absence d?un choc conjoncturel exceptionnel ou d?événements sévères d?ordre systémique, la vulnérabilité du secteur bancaire luxembourgeois demeure faible.

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    File URL: http://www.bcl.lu/fr/publications/cahiers_etudes/24/BCLWP024.pdf
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    Paper provided by Central Bank of Luxembourg in its series BCL working papers with number 24.

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    Length: 20 pages
    Date of creation: Apr 2007
    Date of revision:
    Handle: RePEc:bcl:bclwop:bclwp024
    Contact details of provider: Web page: http://www.bcl.lu/

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    1. Illing, Mark & Liu, Ying, 2006. "Measuring financial stress in a developed country: An application to Canada," Journal of Financial Stability, Elsevier, vol. 2(3), pages 243-265, October.
    2. Allen, William A. & Wood, Geoffrey, 2006. "Defining and achieving financial stability," Journal of Financial Stability, Elsevier, vol. 2(2), pages 152-172, June.
    3. Reinhart, Carmen & Kaminsky, Graciela, 1999. "The twin crises: The causes of banking and balance of payments problems," MPRA Paper 14081, University Library of Munich, Germany.
    4. Elke Hanschel & Pierre Monnin, 2005. "Measuring and forecasting stress in the banking sector: evidence from Switzerland," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 431-49 Bank for International Settlements.
    5. Goodhart, Charles A. E. & Sunirand, Pojanart & Tsomocos, Dimitrios P., 2004. "A model to analyse financial fragility: applications," Journal of Financial Stability, Elsevier, vol. 1(1), pages 1-30, September.
    6. Brenda González-Hermosillo, 1999. "Determinants of Ex-Ante Banking System Distress; A Macro-Micro Empirical Exploration of Some Recent Episodes," IMF Working Papers 99/33, International Monetary Fund.
    7. Barry Eichengreen and Carlos Arteta., 2000. "Banking Crises in Emerging Markets: Presumptions and Evidence," Center for International and Development Economics Research (CIDER) Working Papers C00-115, University of California at Berkeley.
    8. Marco Sorge, 2004. "Stress-testing financial systems: an overview of current methodologies," BIS Working Papers 165, Bank for International Settlements.
    9. Stock, James H & Watson, Mark W, 1993. "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems," Econometrica, Econometric Society, vol. 61(4), pages 783-820, July.
    10. Virolainen , Kimmo, 2004. "Macro stress testing with a macroeconomic credit risk model for Finland," Research Discussion Papers 18/2004, Bank of Finland.
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