Prevision des difficultes bancaires: un modele d'alerte precoce pour le cas du maroc

Prediction of banking difficulties: an early warning model for moroccan banking system

Firano Zakaria and Fatine Filali adib

MPRA Paper from University Library of Munich, Germany

Abstract: This paper proposes an early warning model that can predict vulnerabilities in the Moroccan banking system. This tool is part of a financial stability perspective because of its ability to anticipate banking weaknesses. Thus, and inspired by the practices of major central banks, notably those of the FED and the ECB, a logit model in panel data was developed on eight major Moroccan banks representing more than 90% of the banking system. This model relates the probability of distress and several macroeconomic and financial variables likely to anticipate banking difficulties. The results show that the bank leverage ratio and the output gap are the main determinants of banking difficulties in Morocco. Indeed, the analysis of the marginal effects shows that a 1% variation of these two determinants impacts the probability of distress of Moroccan banks by almost 20% and 14% respectively. In parallel, the examination of Type 1 and Type 2 errors indicates that the predictive quality of the chosen model and its ability to send good signals are widely acceptable

Keywords: Probability of distress; bank fragility; systemic risk; early warning system. (search for similar items in EconPapers)
JEL-codes: G2 G21 (search for similar items in EconPapers)
Date: 2018-02-08
New Economics Papers: this item is included in nep-ara and nep-ban
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