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Evaluation du système financier Algérien : Construction d’un indice agrégé de stabilité bancaire

Listed author(s):
  • Hayet Abbad
  • Mohamed Achouche
  • Yamina Tadjeddine

This article aims to elaborate an index of stability in the Algerian banking sector. We completing the battery of indicators developed by the bank of Algeria and by the IMF under the Financial Sector Assessment Program with the introduction of new variables and with the use of different econometric tools. Firstly, we propose different modelings of the stability index. We mobilize the principal components analysis for selecting the relevant information and the appropriate weights on the various variables. The article also uses the often adopted banking z-score. Secondly, we look for the best modeling with an econometric validation through the linear specification. The pattern of our aggregate banking stability index is in line with the recent evolution in Algeria. The index of stability of the Algerian banking sector is increasing during the considered period 2007-2011. This latter period is characterized both by deepening banking reforms and by recapitalization of public banks. The econometric results confirm the sensitivity of the index face of changes in some macroeconomic key indicators.

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File URL: http://economix.fr/pdf/dt/2015/WP_EcoX_2015-25.pdf
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Paper provided by University of Paris West - Nanterre la Defense, EconomiX in its series EconomiX Working Papers with number 2015-25.

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Length: 28 pages
Date of creation: 2015
Handle: RePEc:drm:wpaper:2015-25
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Web page: https://economix.fr/
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  3. 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.
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  9. Claudiu Tiberiu Albulescu, 2009. "Forecasting Romanian Financial System Stability using a Stochastic Simulation Model," Working Papers 2009.4, International Network for Economic Research - INFER.
  10. Brenda Gonzalez-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.
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  13. 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.
  14. Philip Lowe & Claudio Borio, 2002. "Asset prices, financial and monetary stability: exploring the nexus," BIS Working Papers 114, Bank for International Settlements.
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