Une approche Macroprudentielle du risque systémique en zone CEMAC

A Macro-prudential approach of systemic risk in CEMAC zone

Christian Nguenang, Severin Kamgna and Nzeusseu Jules Tinang

MPRA Paper from University Library of Munich, Germany

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

Keywords: Banking System; Macro-Prudential Indicators; Degradation; Systemic risk; Markov stochastic processes; Monetary Policy CEMAC; BEAC (search for similar items in EconPapers)
JEL-codes: C12 C13 G21 G28 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-afr and nep-ban
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:25632

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