Systemic Operational Risk in Morocco’s Banking Sector: An Empirical Analysis Using Panel VAR

Abstract

This study examines the systemic operational risk in Morocco’s banking sector using a Panel VAR model based on data from three banks over ten years. The model includes real GDP, interbank rate (TMP), and bank credit, alongside indicators of operational, credit, and liquidity risks. The Impulse Response Functions (IRF) show that operational risk shocks reduce GDP and affect TMP with a lag, confirming their systemic impact. Forecast Error Variance Decomposition (FEVD) reveals that GDP significantly explains the variance in operational risk. To strengthen the analysis, a dynamic panel GMM model is used to address endogeneity. The GMM results demonstrate that systemic operational risk in Moroccan banks is both persistent and procyclical, highlighting how macro-financial dynamics such as growth, inflation, and monetary conditions, directly shape banks’ resilience. These findings provide new empirical evidence on the determinants of systemic operational risk in emerging markets. This dual approach supports the integration of operational risk into Morocco’s macroprudential policy frameworks.