Zscore and Economic Uncertainty: Case of Tunisian Banks
Publication Date: 28/12/2023
Author(s): Akram Ibrahim, Mohamed Aymen Ben Moussa.
Volume/Issue: Volume 6 , Issue 4 (2023)
Abstract:
Zscore compares the buffer’s of a country’s commercial banking system ( capitalisation and return ) with the volatility of these returns . Also economic uncertainty refers to a situation in which the future economic environment is different to predict ; and there is a high degree of risk or unkowns involved . We used EPU ( Economic policy uncertainty ) as the unforseen changes that affect the economic system and that lead to changes in government policies. By appyling a model of panel statique for the sample of 11 banks in Tunisia through the period ( 2012-2021) , we found that EPU have negative effect on Zscore . But ( ROA ; Size ; TLA , CAP , TPIB , TINF) have a positive effect on Zsocre .
Keywords:
Zscore ; economic uncertainty ; Panel ; Banks ; ROA
