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Default, credit growth, and asset prices /
This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the fragility of their banking systems. Based on theory and stylized facts, the paper explores...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund, Monetary and Financial Systems Dept.,
2006.
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| Colección: | IMF working paper ;
WP/06/223. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the fragility of their banking systems. Based on theory and stylized facts, the paper explores a range of financial and real variables that explain such PoDs across time. We find property price fluctuations and bank credit to be important explanatory factors. There is two-way interaction between these variables and a clearer relationship when the variables are entered as a deviation from trend. The lag structure between such developments and PoDs is long and varies widely across countries. The paper assesses the implications of these findings for economic policy. |
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| Descripción Física: | 1 online resource (43 pages) : illustrations |
| Bibliografía: | Includes bibliographical references. |
| ISBN: | 9781451909364 1451909365 |