Une approche Macroprudentielle du risque systémique en zone CEMAC

Nguenang, Christian and Kamgna, Sévérin yves and Tinang, Nzeusseu Jules (2010): Une approche Macroprudentielle du risque systémique en zone CEMAC.

Abstract

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

• Item Type: MPRA Paper
• English Title: A Macro-prudential approach of systemic risk in CEMAC zone
• Language: French
• Keywords: Banking System, Macro-Prudential Indicators,Degradation, Systemic risk,Markov stochastic processes, Monetary Policy CEMAC, BEAC, ,
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; G - Financial Economics > G2 - Financial Institutions and Services > G28 - Government Policy and Regulation; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

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