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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 |
|---|---|
| Autores principales: | , , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund, Monetary and Financial Systems Dept.,
2006.
|
| Colección: | IMF working paper ;
WP/06/223. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Segoviano, Miguel A., |e author. | |
| 245 | 1 | 0 | |a Default, credit growth, and asset prices / |c Miguel A. Segoviano Basurto, Charles Goodhart, and Boris Hofmann. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, Monetary and Financial Systems Dept., |c 2006. | ||
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| 490 | 1 | |a IMF working paper ; |v WP/06/223 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 520 | |a 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. | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |a Contents -- I. INTRODUCTION -- II. BANK CREDIT AND PROPERTY PRICES -- III. DEFAULT, CREDIT GROWTH, AND ASSET PRICES -- IV. RESULTS -- V. CONCLUSIONS AND POLICY IMPLICATIONS -- References | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Asset allocation |x Econometric models. | |
| 650 | 0 | |a Credit |x Econometric models. | |
| 650 | 6 | |a Affectation de l'actif |x Modèles économétriques. | |
| 650 | 6 | |a Crédit |x Modèles économétriques. | |
| 650 | 7 | |a Asset allocation |x Econometric models |2 fast | |
| 650 | 7 | |a Credit |x Econometric models |2 fast | |
| 700 | 1 | |a Goodhart, C. A. E. |q (Charles Albert Eric), |e author. |1 https://id.oclc.org/worldcat/entity/E39PBJwHjhMYX9BGFHckjQq4v3 | |
| 700 | 1 | |a Hofmann, Boris, |e author. | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Financial Systems Department. | |
| 758 | |i has work: |a Default, credit growth, and asset prices (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGxD3p4gvDdv3898MDXJH3 |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Segoviano, Miguel A. |t Default, credit growth, and asset prices. |d [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., 2006 |w (OCoLC)156979698 |
| 830 | 0 | |a IMF working paper ; |v WP/06/223. | |
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