Evaluation du système financier Algérien: Construction d’un indice agrégé de stabilité bancaire
Mohamed Achouche and
Yamina Tadjeddine ()
No 2015-25, EconomiX Working Papers from University of Paris Nanterre, EconomiX
This article aims to elaborate an index of stability in the Algerian banking sector. We completing the battery of indicators developed by the bank of Algeria and by the IMF under the Financial Sector Assessment Program with the introduction of new variables and with the use of different econometric tools. Firstly, we propose different modelings of the stability index. We mobilize the principal components analysis for selecting the relevant information and the appropriate weights on the various variables. The article also uses the often adopted banking z-score. Secondly, we look for the best modeling with an econometric validation through the linear specification. The pattern of our aggregate banking stability index is in line with the recent evolution in Algeria. The index of stability of the Algerian banking sector is increasing during the considered period 2007-2011. This latter period is characterized both by deepening banking reforms and by recapitalization of public banks. The econometric results confirm the sensitivity of the index face of changes in some macroeconomic key indicators.
Keywords: Banque; Indice de stabilité bancaire; Algérie. (search for similar items in EconPapers)
JEL-codes: G28 G21 O55 (search for similar items in EconPapers)
Pages: 28 pages
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Persistent link: https://EconPapers.repec.org/RePEc:drm:wpaper:2015-25
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