Marché financier : impulsion de la profitabilité bancaire aux innovations macroéconomiques. "Modélisation d'un vecteur autorégressif non structurel".

Abstract

In order to explain mainly the instantaneous and cumulative impulse responses of bank profitability on the negotiable debt securities market to innovation shocks related to profitability itself, the inflation rate and the key rate between 2008 and 2019 in the DRC, it was appropriate to apply econometric analyses via non-structural VAR modelling. Indeed, after estimating the model, the empirical results obtained confirm that inflation and key interest rates significantly cause, in the Granger sense, bank profitability for the period under study. In the same vein, the instantaneous impulse response function (IRF) analysis showed that profitability reacted first negatively and significantly and then positively to innovations in the inflation rate when the innovation shock is projected over time: the maximum negative impact being reached 2 weeks after the shock and the maximum positive impact 3 weeks after the shock before returning to balance after about 6 weeks. The (IRF) first shows a positive profitability response to the key rate before turning negative when the shock is projected over time: the maximum negative impact being reached 3 weeks after the shock and the maximum positive impact 2 weeks after the shock before returning to equilibrium after about 5 weeks. The (IRF) reveals that profitability reacts negatively to its own innovations. On the other hand, we can realize that the accumulated impulse response (AIR) shows a positive and significant profitability response to its own innovations and those of the key rate, whereas it reacted negatively to an innovation shock on the inflation rate before returning to balance. In addition, the analysis of the decomposition of the variance of the VAR model's forecast error variance showed that the variance of the profitability forecast error was due to its own innovations averaging 80.1% and those of the key rate averaging 19.6%, as well as to innovations in the inflation rate averaging 0.32% over 10 periods, all in proportion. Finally, these analyses covered 18 banks operating in the DRC and a size of 516 observations at weekly frequency from April 2008 to September 2019.