06824oam 22017534 450 991078840790332120230828232642.01-4623-7401-81-4527-4912-41-283-51287-41-4519-0936-59786613825322(CKB)3360000000443524(EBL)3014510(SSID)ssj0000940112(PQKBManifestationID)11592417(PQKBTitleCode)TC0000940112(PQKBWorkID)10946535(PQKB)11254795(OCoLC)694141201(MiAaPQ)EBC3014510(IMF)WPIEE2006223(EXLCZ)99336000000044352420020129d2006 uf 0engur|n|---|||||txtccrDefault, Credit Growth, and Asset Prices /C. Goodhart, Miguel Segoviano, Boris HofmannWashington, D.C. :International Monetary Fund,2006.1 online resource (44 p.)IMF Working Papers"September 2006".1-4518-6483-3 Includes bibliographical references.""Contents""; ""I. INTRODUCTION""; ""II. BANK CREDIT AND PROPERTY PRICES""; ""III. DEFAULT, CREDIT GROWTH, AND ASSET PRICES""; ""IV. RESULTS""; ""V. CONCLUSIONS AND POLICY IMPLICATIONS""; ""References""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.IMF Working Papers; Working Paper ;No. 2006/223Asset allocationEconometric modelsCreditEconometric modelsBanks and BankingimfMacroeconomicsimfMoney and Monetary PolicyimfReal EstateimfStatisticsimfSemiparametric and Nonparametric MethodsimfTime-Series ModelsimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfDiffusion ProcessesimfEconometric Modeling: GeneralimfOptimization TechniquesimfProgramming ModelsimfDynamic AnalysisimfMethodology for Collecting, Estimating, and Organizing Macroeconomic DataimfData AccessimfBusiness FluctuationsimfCyclesimfPrices, Business Fluctuations, and Cycles: Forecasting and SimulationimfFinancial Markets and the MacroeconomyimfMoney SupplyimfCreditimfMoney MultipliersimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfPrice LevelimfInflationimfDeflationimfNonagricultural and Nonresidential Real Estate MarketsimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfData Collection and Data Estimation MethodologyimfComputer Programs: OtherimfMonetary economicsimfProperty & real estateimfBankingimfEconometrics & economic statisticsimfAsset pricesimfBank creditimfLand pricesimfPricesimfMoneyimfFinancial statisticsimfEconomic and financial statisticsimfHousingimfBanks and bankingimfFinanceimfJapanimfAsset allocationEconometric models.CreditEconometric models.Banks and BankingMacroeconomicsMoney and Monetary PolicyReal EstateStatisticsSemiparametric and Nonparametric MethodsTime-Series ModelsDynamic Quantile RegressionsDynamic Treatment Effect ModelsDiffusion ProcessesEconometric Modeling: GeneralOptimization TechniquesProgramming ModelsDynamic AnalysisMethodology for Collecting, Estimating, and Organizing Macroeconomic DataData AccessBusiness FluctuationsCyclesPrices, Business Fluctuations, and Cycles: Forecasting and SimulationFinancial Markets and the MacroeconomyMoney SupplyCreditMoney MultipliersMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralPrice LevelInflationDeflationNonagricultural and Nonresidential Real Estate MarketsBanksDepository InstitutionsMicro Finance InstitutionsMortgagesData Collection and Data Estimation MethodologyComputer Programs: OtherMonetary economicsProperty & real estateBankingEconometrics & economic statisticsAsset pricesBank creditLand pricesPricesMoneyFinancial statisticsEconomic and financial statisticsHousingBanks and bankingFinanceGoodhart C1491228Segoviano Miguel1464137Hofmann Boris1554718International Monetary Fund.Monetary and Financial Systems Dept.DcWaIMFBOOK9910788407903321Default, Credit Growth, and Asset Prices3850050UNINA