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Autore: |
Segoviano Miguel A
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Titolo: |
Default, credit growth, and asset prices / / Miguel A. Segoviano Basurto, Charles Goodhart, and Boris Hofmann
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Pubblicazione: | [Washington, D.C.], : International Monetary Fund, Monetary and Financial Systems Dept., 2006 |
Edizione: | 1st ed. |
Descrizione fisica: | 1 online resource (44 p.) |
Soggetto topico: | Asset allocation - Econometric models |
Credit - Econometric models | |
Altri autori: |
GoodhartC. A. E (Charles Albert Eric)
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Note generali: | "September 2006". |
Nota di bibliografia: | Includes bibliographical references. |
Nota di contenuto: | ""Contents""; ""I. INTRODUCTION""; ""II. BANK CREDIT AND PROPERTY PRICES""; ""III. DEFAULT, CREDIT GROWTH, AND ASSET PRICES""; ""IV. RESULTS""; ""V. CONCLUSIONS AND POLICY IMPLICATIONS""; ""References"" |
Sommario/riassunto: | 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. |
Titolo autorizzato: | Default, credit growth, and asset prices ![]() |
ISBN: | 1-4623-7401-8 |
1-4527-4912-4 | |
1-283-51287-4 | |
1-4519-0936-5 | |
9786613825322 | |
Formato: | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione: | Inglese |
Record Nr.: | 9910826309803321 |
Lo trovi qui: | Univ. Federico II |
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