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Modèle d’alerte des crises bancaires basé sur une approche bayésienne
[Banking crisis early warning model based on a bayesian model averaging approach]

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  • Zaghdoudi, Taha

Abstract

The succession of banking crises in which most have resulted in huge economic and financial losses, prompted several authors to study their determinants. These authors constructed early warning models to prevent their occurring. It is in this same vein as our study takes its inspiration. In particular, we have developed a warning model of banking crises based on a Bayesian approach. The results of this approach have allowed us to identify the involvement of the decline in bank profitability, deterioration of the competitiveness of the traditional intermediation, banking concentration and higher real interest rates in triggering bank crisis.

Suggested Citation

  • Zaghdoudi, Taha, 2014. "Modèle d’alerte des crises bancaires basé sur une approche bayésienne [Banking crisis early warning model based on a bayesian model averaging approach]," MPRA Paper 69262, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:69262
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    References listed on IDEAS

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    More about this item

    Keywords

    Banking crisis; bayesian model averaging;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • G01 - Financial Economics - - General - - - Financial Crises

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