Une approche Macroprudentielle du risque systémique en zone CEMAC
[A Macro-prudential approach of systemic risk in CEMAC zone]
In this study, we identifie a small number of indicators of macro-prudential supervision important to monitoring of the banking’s system. We use the theory of Markov stochastic processes to measure the systemic risk of CEMAC by calculating the degree of fragility of system and we determine the variables that influent on it degradation by using a logit model on panel data. Following this analysis, it appears that the claims on the private sector in a period, foreign direct investment (FDI), private sector credit and exports increase the risk of failure of the banking system, while the equity, The rate of inflation, exchange rates, while rising, downward influence the likelihood of degradation of the banking system in CEMAC
|Date of creation:||2010|
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- Castrén, Olli & Dées, Stéphane & Zaher, Fadi, 2008. "Global macro-financial shocks and expected default frequencies in the euro area," Working Paper Series 0875, European Central Bank.
- Martin CihÃ¡k, 2007. "Introduction to Applied Stress Testing," IMF Working Papers 07/59, International Monetary Fund.
- Jorge A. Chan-Lau, 2006. "Fundamentals-Based Estimation of Default Probabilities: A Survey," IMF Working Papers 06/149, International Monetary Fund.
- Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group.
- Kamgna, Severin Yves & Tinang, Nzesseu Jules & Tsombou, Kinfak Christian, 2009. "Macro-Prudential Monitoring Indicators for CEMAC Banking System," MPRA Paper 17095, University Library of Munich, Germany.
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