Stress test macroéconomique du système bancaire de l'UEMOA

Gammadigbé, Vigninou (2012): Stress test macroéconomique du système bancaire de l'UEMOA.

Abstract

In this paper we evaluate the resilience of the banking system of WAEMU to macroeconomic shocks. From banks data, aggregated by country from 1990 to 2010, we identify the microeconomic and macroeconomic determinants of banks profitability of the Union using the generalized method of moments (GMM) in a dynamic panel data model. We then perform the exercises of stress by evaluating the sensitivity of the banks coefficient of profitability to various adverse scenarios.The results show that banks of the Union are more vulnerable to monetary shocks than real activity. They support especially soundness of the banking sector as a whole in respond to changes in its macroeconomic environment, so that the risk of degradation of profitability related to impact of the real economy are contained.

• Item Type: MPRA Paper
• English Title: Macroeconomic stress testing of the WAEMU banking system
• Language: French
• Keywords: Stress testing, dynamic panel data models, Generalized method of moments, coefficient of profitability, WAEMU
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

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