LEADER 06824oam 22017534 450 001 9910788407903321 005 20230828232642.0 010 $a1-4623-7401-8 010 $a1-4527-4912-4 010 $a1-283-51287-4 010 $a1-4519-0936-5 010 $a9786613825322 035 $a(CKB)3360000000443524 035 $a(EBL)3014510 035 $a(SSID)ssj0000940112 035 $a(PQKBManifestationID)11592417 035 $a(PQKBTitleCode)TC0000940112 035 $a(PQKBWorkID)10946535 035 $a(PQKB)11254795 035 $a(OCoLC)694141201 035 $a(MiAaPQ)EBC3014510 035 $a(IMF)WPIEE2006223 035 $a(EXLCZ)993360000000443524 100 $a20020129d2006 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aDefault, Credit Growth, and Asset Prices /$fC. Goodhart, Miguel Segoviano, Boris Hofmann 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2006. 215 $a1 online resource (44 p.) 225 1 $aIMF Working Papers 300 $a"September 2006". 311 $a1-4518-6483-3 320 $aIncludes bibliographical references. 327 $a""Contents""; ""I. INTRODUCTION""; ""II. BANK CREDIT AND PROPERTY PRICES""; ""III. DEFAULT, CREDIT GROWTH, AND ASSET PRICES""; ""IV. RESULTS""; ""V. CONCLUSIONS AND POLICY IMPLICATIONS""; ""References"" 330 3 $aThis paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the fragility of their banking systems. Based on theory and stylized facts, the paper explores a range of financial and real variables that explain such PoDs across time. We find property price fluctuations and bank credit to be important explanatory factors. There is two-way interaction between these variables and a clearer relationship when the variables are entered as a deviation from trend. The lag structure between such developments and PoDs is long and varies widely across countries. The paper assesses the implications of these findings for economic policy. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2006/223 606 $aAsset allocation$xEconometric models 606 $aCredit$xEconometric models 606 $aBanks and Banking$2imf 606 $aMacroeconomics$2imf 606 $aMoney and Monetary Policy$2imf 606 $aReal Estate$2imf 606 $aStatistics$2imf 606 $aSemiparametric and Nonparametric Methods$2imf 606 $aTime-Series Models$2imf 606 $aDynamic Quantile Regressions$2imf 606 $aDynamic Treatment Effect Models$2imf 606 $aDiffusion Processes$2imf 606 $aEconometric Modeling: General$2imf 606 $aOptimization Techniques$2imf 606 $aProgramming Models$2imf 606 $aDynamic Analysis$2imf 606 $aMethodology for Collecting, Estimating, and Organizing Macroeconomic Data$2imf 606 $aData Access$2imf 606 $aBusiness Fluctuations$2imf 606 $aCycles$2imf 606 $aPrices, Business Fluctuations, and Cycles: Forecasting and Simulation$2imf 606 $aFinancial Markets and the Macroeconomy$2imf 606 $aMoney Supply$2imf 606 $aCredit$2imf 606 $aMoney Multipliers$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aPrice Level$2imf 606 $aInflation$2imf 606 $aDeflation$2imf 606 $aNonagricultural and Nonresidential Real Estate Markets$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aData Collection and Data Estimation Methodology$2imf 606 $aComputer Programs: Other$2imf 606 $aMonetary economics$2imf 606 $aProperty & real estate$2imf 606 $aBanking$2imf 606 $aEconometrics & economic statistics$2imf 606 $aAsset prices$2imf 606 $aBank credit$2imf 606 $aLand prices$2imf 606 $aPrices$2imf 606 $aMoney$2imf 606 $aFinancial statistics$2imf 606 $aEconomic and financial statistics$2imf 606 $aHousing$2imf 606 $aBanks and banking$2imf 606 $aFinance$2imf 607 $aJapan$2imf 615 0$aAsset allocation$xEconometric models. 615 0$aCredit$xEconometric models. 615 7$aBanks and Banking 615 7$aMacroeconomics 615 7$aMoney and Monetary Policy 615 7$aReal Estate 615 7$aStatistics 615 7$aSemiparametric and Nonparametric Methods 615 7$aTime-Series Models 615 7$aDynamic Quantile Regressions 615 7$aDynamic Treatment Effect Models 615 7$aDiffusion Processes 615 7$aEconometric Modeling: General 615 7$aOptimization Techniques 615 7$aProgramming Models 615 7$aDynamic Analysis 615 7$aMethodology for Collecting, Estimating, and Organizing Macroeconomic Data 615 7$aData Access 615 7$aBusiness Fluctuations 615 7$aCycles 615 7$aPrices, Business Fluctuations, and Cycles: Forecasting and Simulation 615 7$aFinancial Markets and the Macroeconomy 615 7$aMoney Supply 615 7$aCredit 615 7$aMoney Multipliers 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aPrice Level 615 7$aInflation 615 7$aDeflation 615 7$aNonagricultural and Nonresidential Real Estate Markets 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aData Collection and Data Estimation Methodology 615 7$aComputer Programs: Other 615 7$aMonetary economics 615 7$aProperty & real estate 615 7$aBanking 615 7$aEconometrics & economic statistics 615 7$aAsset prices 615 7$aBank credit 615 7$aLand prices 615 7$aPrices 615 7$aMoney 615 7$aFinancial statistics 615 7$aEconomic and financial statistics 615 7$aHousing 615 7$aBanks and banking 615 7$aFinance 700 $aGoodhart$b C$01491228 701 $aSegoviano$b Miguel$01464137 701 $aHofmann$b Boris$01554718 712 02$aInternational Monetary Fund.$bMonetary and Financial Systems Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788407903321 996 $aDefault, Credit Growth, and Asset Prices$93850050 997 $aUNINA