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

Author

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  • Amine Tarazi

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges)

  • A Angora

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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Suggested Citation

  • Amine Tarazi & A Angora, 2011. "Crises bancaires dans les pays de l’UEMOA : un système d’alerte avancée fondé sur une approche logit multinomiale," Post-Print hal-03566454, HAL.
    • Handle: RePEc:hal:journl:hal-03566454
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    1. Mr. Paul Louis Ceriel Hilbers & Mr. Alfredo Mario Leone & Mr. Mahinder Singh Gill & Mr. Owen Evens, 2000. "Macroprudential Indicators of Financial System Soundness," IMF Occasional Papers 2000/007, International Monetary Fund.
    2. Honohan, Patrick & Klingebiel, Daniela, 2000. "Controlling the fiscal costs of banking crises," Policy Research Working Paper Series 2441, The World Bank.
    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.
    4. 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.
    5. International Monetary Fund, 1998. "Leading Indicators of Banking Crises: Was Asia Different?," IMF Working Papers 1998/091, International Monetary Fund.
    6. Eichengreen, Barry & Arteta, Carlos, 2000. "Banking Crises in Emerging Markets: Presumptions and Evidence," Department of Economics, Working Paper Series qt3pk9t1h2, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    7. 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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    Cited by:

    1. Kpégo Didier Anatole Gbenou, 2018. "Modélisation de la prévision du stress financier du système bancaire des pays de l'UEMOA: Evidence empirique du rôle des facteurs institutionnels," African Development Review, African Development Bank, vol. 30(3), pages 264-277, September.
    2. Kadandji Andre & Djekna Votsoma, 2018. "The Influence of Loan Portfolio Quality on Sound Banking in CEMAC: The Importance of Bank¡¯s Internal and External Environment," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(7), pages 136-136, July.
    3. Kauko, Karlo, 2014. "How to foresee banking crises? A survey of the empirical literature," Economic Systems, Elsevier, vol. 38(3), pages 289-308.

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