Stress test macroéconomique du système bancaire de l'UEMOA

Macroeconomic stress testing of the WAEMU banking system

Gammadigbe Vigninou

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Stress testing; dynamic panel data models; Generalized method of moments; coefficient of profitability; WAEMU (search for similar items in EconPapers)
JEL-codes: C23 G21 (search for similar items in EconPapers)
Date: 2012-03, Revised 2012-05
New Economics Papers: this item is included in nep-afr, nep-ban, nep-mac and nep-rmg
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https://mpra.ub.uni-muenchen.de/39776/1/MPRA_paper_39776.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:39214

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