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Impacts Des Chocs Macroéconomiques Sur La Capitalisation Des Banques Individuelles A Madagascar
Abstract
Les crises financières, qui se sont succédées, ont mis en exergue l’interdépendance entre le système financier et l’économie réelle. Les mesures prudentielles, pour limiter les répercussions néfastes de la crise financière, à travers les accords de Bâle I et Bâle II ont montré leurs limites et les accords de Bâle III ont intégré en conséquence le volet macro-prudentiel qui vise à assurer la stabilité du secteur financier dans son ensemble au sein de l’économie. L’outil d’évaluation de la stabilité financière sous le nom de « stress test » s’est également développé sous différentes formes et son application au niveau du secteur financier, notamment le secteur bancaire, est fortement recommandé par la Banque des Règlements Internationaux. En effet, l’objet de la présente étude consiste à évaluer la résilience du secteur bancaire malgache face aux chocs macroéconomiques et d'évaluer son impact sur la capitalisation du système bancaire à travers l’outil de stress test macroéconomique. Pour ce faire, notre avons recouru à un modèle de panel dynamique Les prévisions des prêts non performants sont utilisées pour obtenir des projections des capitaux propres à la fois au niveau du système bancaire et au niveau des banques lors des scénarios défavorables. Les résultats montrent que la plupart des banques ont pu détenir des fonds propres supérieurs au seuil minimum réglementaire de 8% selon les normes de Bâle III. Toutefois, une seule banque n’arrive pas à respecter le seuil minimum d’adéquation de capitaux propres.
Mots clés : Stabilité financière, stress test, capitalisation, secteur bancaire
ABSTRACTThe successive financial crises have highlighted the interdependence between the financial system and the real economy. Prudential measures to limit the negative repercussions of the financial crisis, through the Basel I and Basel II agreements, have shown their limits and the Basel III agreements have consequently integrated the macro-prudential component which aims to ensure the stability of the financial sector as a whole within the economy. The financial stability assessment tool known as the "stress test" has also been developed in various forms and its application to the financial sector, particularly the banking sector, is strongly recommended by the Bank for International Settlements. Indeed, the purpose of this study is to assess the resilience of the Malagasy banking sector to macroeconomic shocks and to evaluate its impact on the capitalization of the banking system through the macroeconomic stress test tool. To do so, we used a dynamic panel model. Non-performing loan forecasts are used to obtain capital projections at both the banking system and bank levels under adverse scenarios. The results show that most banks were able to hold capital above the minimum regulatory threshold of 8% under Basel III standards. However, only one bank fails to meet the minimum capital adequacy threshold.
Keywords: Financial stability, stress test, capitalization, banking sector
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DOI: http://dx.doi.org/10.52155/ijpsat.v26.1.3005
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