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Record Nr. |
UNINA9910967316103321 |
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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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9786613825322 |
9781462374014 |
1462374018 |
9781452749129 |
1452749124 |
9781283512879 |
1283512874 |
9781451909364 |
1451909365 |
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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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HofmannBoris |
SegovianoMiguel |
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Soggetti |
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Asset allocation - Econometric models |
Credit - Econometric models |
Asset prices |
Bank credit |
Banking |
Banks and Banking |
Banks and banking |
Banks |
Business Fluctuations |
Computer Programs: Other |
Credit |
Cycles |
Data Access |
Data Collection and Data Estimation Methodology |
Deflation |
Depository Institutions |
Diffusion Processes |
Dynamic Analysis |
Dynamic Quantile Regressions |
Dynamic Treatment Effect Models |
Econometric Modeling: General |
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Econometrics & economic statistics |
Economic and financial statistics |
Finance |
Financial Markets and the Macroeconomy |
Financial statistics |
Housing |
Inflation |
Land prices |
Macroeconomics |
Methodology for Collecting, Estimating, and Organizing Macroeconomic Data |
Micro Finance Institutions |
Monetary economics |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Money and Monetary Policy |
Money Multipliers |
Money Supply |
Money |
Mortgages |
Nonagricultural and Nonresidential Real Estate Markets |
Optimization Techniques |
Price Level |
Prices |
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation |
Programming Models |
Property & real estate |
Real Estate |
Semiparametric and Nonparametric Methods |
Statistics |
Time-Series Models |
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 |
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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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