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

Author

Listed:
  • Hayet Abbad
  • Mohamed Achouche
  • Yamina Tadjeddine

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

Cet article a pour objectif d'élaborer un indice trimestriel de stabilité du secteur bancaire Algérien. Aucun indice agrégé de ce genre n'existe encore pour l'Algérie ; il permet ainsi de compléter la batterie d'indicateurs mis en place par la Banque d'Algérie et par le FMI dans le cadre du programme d'évaluation du secteur financier pour appréhender la solidité de ce secteur. L'article explicite dans un premier temps la méthode utilisée. Après avoir présenté différentes techniques de mesures, nous choisissons un indice agrégé construit à partir de l'analyse des composantes principales, à partir de dix-huit variables bilancielles, macrofinancières et macroéconomiques. En plus des indicateurs traditionnels introduits dans le sous-indice de solidité financière, l'article utilise également le z-score bancaire adopté souvent comme mesure unique de stabilité financière. Dans un second temps, l'article prouve la robustesse de l'indice construit en s'appuyant sur sa capacité explicative de l'évolution récente du système bancaire algérien et sur sa validation économétrique à travers une spécification linéaire. L'indice de stabilité bancaire s'avère en augmentation au cours de la période 2007-2011, traduisant à la fois l'approfondissement des réformes bancaires et la recapitalisation des banques publiques. Les résultats économétriques confirment pour leur part la sensibilité de l'indice face à des variations d'indicateurs macroéconomiques clés.

Suggested Citation

  • Hayet Abbad & Mohamed Achouche & Yamina Tadjeddine, 2015. "Evaluation du système financier Algérien : Construction d’un indice agrégé de stabilité bancaire," Working Papers hal-04141394, HAL.
    • Handle: RePEc:hal:wpaper:hal-04141394
    Note: View the original document on HAL open archive server: https://hal.science/hal-04141394
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    Keywords

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    JEL classification:

    • 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
    • O55 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Africa

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