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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Segoviano, Miguel A. (Autor), Goodhart, C. A. E. (Charles Albert Eric) (Autor), Hofmann, Boris (Autor)
Autor Corporativo: International Monetary Fund. Monetary and Financial Systems Department
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:
Asset allocation > Econometric models.
Credit > Econometric models.
Affectation de l'actif > Modèles économétriques.
Crédit > Modèles économétriques.
Asset allocation > Econometric models
Credit > Econometric models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Contents
  • I. INTRODUCTION
  • II. BANK CREDIT AND PROPERTY PRICES
  • III. DEFAULT, CREDIT GROWTH, AND ASSET PRICES
  • IV. RESULTS
  • V. CONCLUSIONS AND POLICY IMPLICATIONS
  • References

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