LEADER 04638nam 2200673Ia 450 001 9910825972503321 005 20200520144314.0 010 $a1-4623-7090-X 010 $a1-282-84406-7 010 $a1-4527-7730-6 010 $a1-4518-7345-X 010 $a9786612844065 035 $a(CKB)3170000000055347 035 $a(EBL)1608825 035 $a(SSID)ssj0000939928 035 $a(PQKBManifestationID)11553611 035 $a(PQKBTitleCode)TC0000939928 035 $a(PQKBWorkID)10956163 035 $a(PQKB)11096988 035 $a(OCoLC)649749839 035 $a(IMF)WPIEE2009198 035 $a(MiAaPQ)EBC1608825 035 $a(EXLCZ)993170000000055347 100 $a20100902d2009 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe real effects of financial sector risk /$fAlexander F. Tieman and Andrea M. Maechler 205 $a1st ed. 210 $a[Washington, D.C.] $cInternational Monetary Fund$d2009 215 $a1 online resource (49 p.) 225 1 $aIMF working paper ;$vWP/09/198 300 $aDescription based upon print version of record. 311 $a1-4519-1768-6 320 $aIncludes bibliographical references. 327 $aCover 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 Implications 327 $aI. 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 DD 327 $a9. 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 Controls 327 $a17. Bank-Specific Panel Regression Results Using DD and Competition Controls18. Bank-Specific Panel Regression Results for GDP Using DD; References; Footnotes 330 3 $aThis paper estimates the magnitude of key effects on the real economy from financial sector stress. We focus on the short-run feedback effect from market-based indicators of financial sector risk to the real economy through the credit channel, and estimate this effect on an economy-wide (macro) level, as well as on the level of individual large banks. Both estimates yield significant feedback effects of substantial magnitude. The estimates are consistent with other work in this area. Our results suggest that prudential supervision could be enhanced by taking into account the feedback effects of financial instability in the real economy. We also propose a way to integrate feedback effects into stress tests in order to improve realism and accuracy or macroeconomic stress scenarios, as well as a metric to interpret stress testing results. 410 0$aIMF working paper ;$vWP/09/198. 606 $aFinancial risk 606 $aEconomic development 615 0$aFinancial risk. 615 0$aEconomic development. 676 $a658.15 676 $a658.155 700 $aTieman$b Alexander F$01111481 701 $aMaechler$b Andrea M$01756307 712 02$aInternational Monetary Fund. 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910825972503321 996 $aThe real effects of financial sector risk$94202632 997 $aUNINA