Intuition des décideurs : stress test inversé sur le risque du crédit de la bfpme

Annexe 4 : Détermination de l'ordre de retard

Annexe 5 : Test de cointégration

87

Annexe 6 : Estimation du modèle VECM

Annexe 7 : Test de validation

1. Test de stationnarité des résidus :

2. Test de normalité des résidus :

3. Test d'hétéroscédasticité

4. Autocorrélation des résidus

88

89

Annexe 8 : Test de causalité du Granger

90

91

92

Annexe 9 : Choix de la distribution à priori

1. Simulation 1 :

2. Simulation 2 :

3. Simulation 3 :

4. 93

Simulation 4 :

5. Simulation 5 :

6. Simulation SZ :

94

Annexe 10 : Estimation du modèle BSVAR

95

Annexe 11 : Les distributions à posteriori

^NPL	^ROA PCC IPC IPI TMM USD

^{-2 0 2}

^{-2 2 4}

^{00 0.2 00 0.}

^N

^{-2.5 -1.0}

^{-1.0 0.5}

^{5 7}

^{N 00}

⁰⁰

^{000 0.1}

^{-2.0 -0.5 1.0}

^{N 00 0}

^{-1.5 0.0 -3 0 2 4}

⁰⁰

^{-40 0 40}

^{-40 0 40}

^{-2 2 6}

³⁰

. ^{3. 0}

^{-1.0 0.5 -3 -1 1}

^.1

^{-20 20}

⁰

0

^{-4 0 4}

^{-25 -10 5}

⁰

²⁰

⁰

^{-1.5 0.0 1.5}

₀

^{-50 50}

0

^{-10 10 30}

0 ^{-6 0 4}

0

^{-20 0 20}

^{N 00}

⁰

⁰

⁰

^N

^{00 0.0}

^{-4 0 2}

^{-2 2}

^{-1.5 0.0 -2.0 -0.5 1.0 -5 -3 -1 80 120 -15 -5 5}

96

	Trace of earl				Density of earl	Trace of ears	fl ^51	Density of rani			Trace of var9			Density of var9
						o = 40041000104610444
0	200 400 600 Iterations Trace of var2	300	1000	I -4	I I I -2 11 2 N = 1300 Bandwidth = 3.4371 Density of ear?	200 4410 FAO 1140 10110 terations Trace of 'tari		-2.5 -20 -1 -1 0 -05 H =1000 Bandwiull = 0.07535 Density of rar6		0	200 400 600 000 Iterations Trace of earl0	1000	-1.5 -1.3 -3.5 0.3 0.5 1.0 N =1000 Bandwidth = 0.08463 Density of var10
						olttoesikopiwoosori			.1
0	2113 4011 6113 Iterations Trace of var3	300	10011	-4	I I I i -2 11 2 4 N = 1330 Bandwidth = 3.4422 Density of vara	t 0 200 400 600 840 1000 feratôrw Trace ofvar?		-1.0 -05 0.0 0.5 141 H =1040 Bandwd0 = 006795 Density of earl^.	1.5	0	1 i 1 200 400 600 800 Iterations Trace of va	1 1000		-2 0 2 4 N = 1000 Bandwidth = 3.23 Density of var11
						',0004),41W,00.1041141,410,
0	200 400 600 Iterations Trace of yard	300	1000		I I I I I i -2 -1 0 1 2 3 N =1030 Bandwidth = 3.3351 Density of yard	0 200 400 600 800 1000 terasoM Trace Of ^0/318		â 5 8 7 8 N. 1000 Sandwidtl . 0.1364 Density BFvar&		0	230 400 600 800 Iterations Trace of earl?	1000		I I i -40 -20 0 20 40 63 N = 1334 Bandw idth = 3.805 Density of earl?
								^11
0	2113 4011 6113 Iterations Trace of earl3	800	1000		-2 3 2 4 N = 1330 Bandwidth = 3.4295 Density of var13	0 200 400 600 800 1000 ter^-stems Trace of earl?		-2.0 -1.5. -10 -05 9.0 0.5 H.1000 Bandwidth · 0.09606 Density of var17	1.0	4	230 400 600 830 ferottns Trace of var21	1030		ii -40 -23 o- 20 40 N = 1000 Bandwidth = 4.09 Density of var21
														o1 1
0	200 400 600 Iterations Trace of var14	333	1000	-4	-2 0 2 4 6 N = 1000 Bandw idth = 0.4103 Density of va r14	0 200 400 600 800 1000 Iterahons Trace of var18		-5 -4 -2 9 2 4 N = 1000 Bandw idth = 0.3942 Density of var18	6	0	200 400 600 000 Iterations Trace of earl?	1000	1	-10 0 10 20 30 40 N = 1000 Bandwidth = 2.172 Density of var22
AlottiOkotworgisoopookwoo								h						,I
0	200 400 600 Iterations Trace of earl 5	800	1000	-1.3	-0.5 0.0 0.5 1.4 1.5 N = 1000 Bandwidth = 0.0964 Density of var15	0 200 400 600 800 1000 Iterahans Trace of va r19		-25 -20 -15 -10 -5 4 5 N = 1000 Bandwidth = 0.9595 Density of var19		0	200 400 600 300 Iterations Trace of var23	1000		-4 -4 -2 0 2 4 6 N = 1000 6ondw idth = 0.5891 Density of var23
														^1
0	200 400 600 Iterations Trace of va r16	800	1000	-3	-2 -1 0 1 2 N = 1000 Bandwidth = 0.1825 Density of sari	0 2010 400 600 300 1000 Iterahnns Trace of var20		-1.5 -1.0 -0.5 0.0 0.5 1.0 1.5 N = 1000 Bandw idth = 0.1093 Density of var20		0	200 400 600 300 Iterations Trace of var24	1000	1	-2[1 -110 0 10 29 N = 1000 Bandwidth = 2.457 Density of var24
														,I
0	200 400 600 Iterations	833	1000	-40	-20 0 20 N = 1000 Bandwidth - 3.182	0 200 400 600 800 1000 Iterations		-50 0 50 N = 1 000 Bandwidth = 5.095		0	200 400 600 800 Iterations	1000		-1.5 -1.0 -0.5 0.0 0.5 N = 1000 Bandwidth = 3.08704

97