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Record Nr. |
UNINA9910826309803321 |
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Autore |
Goodhart C |
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Titolo |
Default, Credit Growth, and Asset Prices / / C. Goodhart, Miguel Segoviano, Boris Hofmann |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2006 |
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ISBN |
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1-4623-7401-8 |
1-4527-4912-4 |
1-283-51287-4 |
1-4519-0936-5 |
9786613825322 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (44 p.) |
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Collana |
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Altri autori (Persone) |
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SegovianoMiguel |
HofmannBoris |
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Soggetti |
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Asset allocation - Econometric models |
Credit - Econometric models |
Banks and Banking |
Macroeconomics |
Money and Monetary Policy |
Real Estate |
Statistics |
Semiparametric and Nonparametric Methods |
Time-Series Models |
Dynamic Quantile Regressions |
Dynamic Treatment Effect Models |
Diffusion Processes |
Econometric Modeling: General |
Optimization Techniques |
Programming Models |
Dynamic Analysis |
Methodology for Collecting, Estimating, and Organizing Macroeconomic Data |
Data Access |
Business Fluctuations |
Cycles |
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation |
Financial Markets and the Macroeconomy |
Money Supply |
Credit |
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Money Multipliers |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Price Level |
Inflation |
Deflation |
Nonagricultural and Nonresidential Real Estate Markets |
Banks |
Depository Institutions |
Micro Finance Institutions |
Mortgages |
Data Collection and Data Estimation Methodology |
Computer Programs: Other |
Monetary economics |
Property & real estate |
Banking |
Econometrics & economic statistics |
Asset prices |
Bank credit |
Land prices |
Prices |
Money |
Financial statistics |
Economic and financial statistics |
Housing |
Banks and banking |
Finance |
Japan |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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""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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Sommario/riassunto |
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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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