[ Les déterminants d'instabilité financière : Un essai de détection à partir de l'Indice de Stress Financier ]
Volume 6, Issue 1, May 2014, Pages 48–60
Montassar Zayati1 and Makram Gaaliche2
1 Département des méthodes Quantitatives, UR « Tourisme et développement », FSEG Sousse, Tunisia
2 Département des Sciences Economiques, Institut Supérieur d'Administration des Entreprises, Gafsa, Tunisia
Original language: French
Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
This article provides an empirical assessment of the relationship between financial development and institutional quality, taking into account financial instability. This instability remains one of the first symptoms of the disorder of the financial system which implies the need to highlight warning indicators to assess the soundness of the financial system and identify policy measures to reduce the risk of financial instability. The assumption is that the instability of financial development increases with financial crises. Indeed, using a panel of 13 emerging countries and a period of 15 years from 1996 to 2011, we tried to detect the impact of various external macroeconomic factors and financial instability on financial understanding by the index financial stress (ISF). The construction of this index leads to the conclusion that besides the traditional elements of institutional quality of a country plays an important role in the intensity of stress. In other words, such an indicator is crucial in the early detection of financial crises. Moreover, econometric and quantitative analysis revealed that there is a significant negative correlation between the index of financial stress on the one hand and economic growth and institutional quality by other, while is positively correlated with banking regulations. Moreover, the analysis strongly rejected the assumption of homogeneity of data on the index of financial stress in our panel, and the suggestion of a heterogeneous random individual effect model.
Author Keywords: Financial instability, financial stress, governance, institutional quality, heterogeneous panel.
Volume 6, Issue 1, May 2014, Pages 48–60
Montassar Zayati1 and Makram Gaaliche2
1 Département des méthodes Quantitatives, UR « Tourisme et développement », FSEG Sousse, Tunisia
2 Département des Sciences Economiques, Institut Supérieur d'Administration des Entreprises, Gafsa, Tunisia
Original language: French
Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
This article provides an empirical assessment of the relationship between financial development and institutional quality, taking into account financial instability. This instability remains one of the first symptoms of the disorder of the financial system which implies the need to highlight warning indicators to assess the soundness of the financial system and identify policy measures to reduce the risk of financial instability. The assumption is that the instability of financial development increases with financial crises. Indeed, using a panel of 13 emerging countries and a period of 15 years from 1996 to 2011, we tried to detect the impact of various external macroeconomic factors and financial instability on financial understanding by the index financial stress (ISF). The construction of this index leads to the conclusion that besides the traditional elements of institutional quality of a country plays an important role in the intensity of stress. In other words, such an indicator is crucial in the early detection of financial crises. Moreover, econometric and quantitative analysis revealed that there is a significant negative correlation between the index of financial stress on the one hand and economic growth and institutional quality by other, while is positively correlated with banking regulations. Moreover, the analysis strongly rejected the assumption of homogeneity of data on the index of financial stress in our panel, and the suggestion of a heterogeneous random individual effect model.
Author Keywords: Financial instability, financial stress, governance, institutional quality, heterogeneous panel.
Abstract: (french)
Cet article fournit une évaluation empirique de la relation entre le développement financier et la qualité institutionnelle en prenant en compte l'instabilité financière. Cette instabilité demeure l'un des premiers symptômes du désordre du système financier ce qui suppose la nécessité de mettre en évidence des indicateurs d'alerte qui permettent d'apprécier la solidité du système financier et de détecter les mesures politiques afin de réduire les risques d'instabilité financière. L'hypothèse de départ, est que l'instabilité de développement financier croît avec les crises financières. En effet, en utilisant un panel de 13 pays émergents et une période de 15 ans allant de 1996 à 2011, on a essayé de détecter l'impact des différents facteurs macroéconomiques, externes, et financiers sur l'instabilité financière appréhendée par l'indice de stress financier (ISF). La construction de cet indice a abouti à conclure qu'à côté des éléments traditionnels, la qualité institutionnelle d'un pays joue un rôle primordial sur l'intensité de stress. En d'autres termes, un tel indicateur est déterminant dans la détection précoce des crises financières. Par ailleurs, l'analyse économétrique et quantitative a révélé qu'il existe une corrélation négative et significative entre l'indice de stress financier d'une part et le taux de croissance économique et la qualité institutionnelle d'autre part, alors qu'il est positivement corrélé avec la règlementation bancaire. Par ailleurs, l'analyse a fortement rejetée l'hypothèse d'homogénéité des données relatives à l'indice de stress financier dans notre panel, ainsi que la suggestion d'un modèle hétérogène à effet individuel aléatoire.
Author Keywords: Instabilité financière, stress financier, gouvernance, qualité institutionnelle, panel hétérogène.
How to Cite this Article
Montassar Zayati and Makram Gaaliche, “Determinants of financial instability: an attempt at detection by the Financial Stress Index,” International Journal of Innovation and Applied Studies, vol. 6, no. 1, pp. 48–60, May 2014.
