07043oam 22018494 450 991096731610332120250426111003.0978661382532297814623740141462374018978145274912914527491249781283512879128351287497814519093641451909365(CKB)3360000000443524(EBL)3014510(SSID)ssj0000940112(PQKBManifestationID)11592417(PQKBTitleCode)TC0000940112(PQKBWorkID)10946535(PQKB)11254795(OCoLC)694141201(IMF)WPIEE2006223(MiAaPQ)EBC3014510(IMF)WPIEA2006223WPIEA2006223(EXLCZ)99336000000044352420020129d2006 uf 0engur|n|---|||||txtccrDefault, Credit Growth, and Asset Prices /C. Goodhart, Miguel Segoviano, Boris Hofmann1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (44 p.)IMF Working Papers"September 2006".9781451864830 1451864833 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 modelsAsset pricesimfBank creditimfBankingimfBanks and BankingimfBanks and bankingimfBanksimfBusiness FluctuationsimfComputer Programs: OtherimfCreditimfCyclesimfData AccessimfData Collection and Data Estimation MethodologyimfDeflationimfDepository InstitutionsimfDiffusion ProcessesimfDynamic AnalysisimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfEconometric Modeling: GeneralimfEconometrics & economic statisticsimfEconomic and financial statisticsimfFinanceimfFinancial Markets and the MacroeconomyimfFinancial statisticsimfHousingimfInflationimfLand pricesimfMacroeconomicsimfMethodology for Collecting, Estimating, and Organizing Macroeconomic DataimfMicro Finance InstitutionsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfMoney MultipliersimfMoney SupplyimfMoneyimfMortgagesimfNonagricultural and Nonresidential Real Estate MarketsimfOptimization TechniquesimfPrice LevelimfPricesimfPrices, Business Fluctuations, and Cycles: Forecasting and SimulationimfProgramming ModelsimfProperty & real estateimfReal EstateimfSemiparametric and Nonparametric MethodsimfStatisticsimfTime-Series ModelsimfJapanimfAsset allocationEconometric models.CreditEconometric models.Asset pricesBank creditBankingBanks and BankingBanks and bankingBanksBusiness FluctuationsComputer Programs: OtherCreditCyclesData AccessData Collection and Data Estimation MethodologyDeflationDepository InstitutionsDiffusion ProcessesDynamic AnalysisDynamic Quantile RegressionsDynamic Treatment Effect ModelsEconometric Modeling: GeneralEconometrics & economic statisticsEconomic and financial statisticsFinanceFinancial Markets and the MacroeconomyFinancial statisticsHousingInflationLand pricesMacroeconomicsMethodology for Collecting, Estimating, and Organizing Macroeconomic DataMicro Finance InstitutionsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyMoney MultipliersMoney SupplyMoneyMortgagesNonagricultural and Nonresidential Real Estate MarketsOptimization TechniquesPrice LevelPricesPrices, Business Fluctuations, and Cycles: Forecasting and SimulationProgramming ModelsProperty & real estateReal EstateSemiparametric and Nonparametric MethodsStatisticsTime-Series ModelsGoodhart C1815599Hofmann Boris1815687Segoviano Miguel1815600International Monetary Fund.Monetary and Financial Systems Dept.DcWaIMFBOOK9910967316103321Default, Credit Growth, and Asset Prices4371154UNINA