This study aims at constructing a macro-prudential stress-test model to examine the effects of a shock from the real sector on the banking sector and, conversely, the effects of a financial shock on the real sector. It uses a semi-structural model which takes into account the heterogeneity of the banking sector. This model complements the BCEAO stress-test toolbox.

The simulations show that a fall in production (domestic or foreign) has heterogeneous effects on the banking sector, more particularly on the capitalisation of banks. Moreover, a fall in credit (negative financial shock) in a country of the Union affects the banking sector of that country but is transmitted to the other countries of the Union, even if the transmission remains weak. This transmission may be due to the existence of banking networks within the Union and to banks' exposure to counterparty risk. Finally, it appears that an increase in the level of capitalisation of banks, as measured by leverage, induces in the long run positive effects for a sound banking system.