06411oam 22011654 450 991082597250332120240402051734.01-4623-7090-X1-282-84406-71-4527-7730-61-4518-7345-X9786612844065(CKB)3170000000055347(EBL)1608825(SSID)ssj0000939928(PQKBManifestationID)11553611(PQKBTitleCode)TC0000939928(PQKBWorkID)10956163(PQKB)11096988(OCoLC)649749839(IMF)WPIEE2009198(MiAaPQ)EBC1608825(EXLCZ)99317000000005534720020129d2009 uf 0engur|n|---|||||txtccrThe Real Effects of Financial Sector Risk /Andrea Maechler, Alexander Tieman1st ed.Washington, D.C. :International Monetary Fund,2009.1 online resource (49 p.)IMF Working PapersDescription based upon print version of record.1-4519-1768-6 Includes bibliographical references.Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Data; 1. Average Distance-to-Default in the Sample; 2. Average One-Year Expected Default Frequency; 1. The Distance-to-Default Measure; 3. Real Private Sector Credit Growth; III. Methodology; IV. Regresion Results and Discussion; 1. Macroeconomic Regressions-Distance-to-Default Indicators and Implied Effect on Credit Growth for Major European Banks; 2. Bank-Specific Regressions-Distance-to-Default Indicators and Implied Effect on Credit Growth for Major European Banks; V. Conclusion and Policy ImplicationsI. Data and Tables1. Data Summary; 2. Vector Error Correction Model Regression Results; 3. Macroeconomic Panel Regression Results for Private Sector Credit Using EDF1; 4. Macroeconomic Panel Regression Results for Private Sector Credit Using EDF5; 5. Macroeconomic Panel Regression Results for Private Sector Credit Using DD; 6. Macroeconomic Panel Regression Results for Private Sector Credit Using System DD; 7. Macroeconomic Panel Regression Results for Private Sector Credit Using DD Index; 8. Macroeconomic Panel Regression Results for Private Sector Credit Using Average Weighted DD9. Macroeconomic Panel Regression Results for Private Sector Credit Using Average Weighted EDF110. Macroeconomic Panel Regression Results for Private Sector Credit Using Average Weighted EDF5; 11. Macroeconomic Panel Regression Results for GDP Using DD; 12. Bank-Specific Panel Regression Results Using EDF1; 13. Bank-Specific Panel Regression Results Using EDF5; 14. Bank-Specific Panel Regression Using DD; 15. Bank Specific Panel Regression Results Using EDF1 and Competition Controls; 16. Bank-Specific Panel Regression Results Using EDF5 and Competition Controls17. Bank-Specific Panel Regression Results Using DD and Competition Controls18. Bank-Specific Panel Regression Results for GDP Using DD; References; FootnotesThis paper estimates the magnitude of key effects on the real economy from financial sector stress. We focus on the short-run feedback effect from market-based indicators of financial sector risk to the real economy through the credit channel, and estimate this effect on an economy-wide (macro) level, as well as on the level of individual large banks. Both estimates yield significant feedback effects of substantial magnitude. The estimates are consistent with other work in this area. Our results suggest that prudential supervision could be enhanced by taking into account the feedback effects of financial instability in the real economy. We also propose a way to integrate feedback effects into stress tests in order to improve realism and accuracy or macroeconomic stress scenarios, as well as a metric to interpret stress testing results.IMF Working Papers; Working Paper ;No. 2009/198Financial riskEconomic developmentBanks and BankingimfFinance: GeneralimfMoney and Monetary PolicyimfIndustries: Financial ServicesimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfFinancial Institutions and Services: GeneralimfGeneral Financial Markets: Government Policy and RegulationimfBanksimfDepository InstitutionsimfMicro Finance InstitutionsimfMortgagesimfMonetary economicsimfFinanceimfBankingimfCreditimfFinancial sectorimfFinancial sector riskimfBank creditimfFinancial services industryimfFinancial risk managementimfBanks and bankingimfSwitzerlandimfFinancial risk.Economic development.Banks and BankingFinance: GeneralMoney and Monetary PolicyIndustries: Financial ServicesMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralFinancial Institutions and Services: GeneralGeneral Financial Markets: Government Policy and RegulationBanksDepository InstitutionsMicro Finance InstitutionsMortgagesMonetary economicsFinanceBankingCreditFinancial sectorFinancial sector riskBank creditFinancial services industryFinancial risk managementBanks and banking658.15658.155Maechler Andrea1636989Tieman Alexander1636990International Monetary Fund.DcWaIMFBOOK9910825972503321The Real Effects of Financial Sector Risk3978556UNINA