Default, credit growth, and asset prices / / Miguel A. Segoviano Basurto, Charles Goodhart, and Boris Hofmann

• Autore: Segoviano Miguel A
• 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) HofmannBoris
• 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
• Serie: IMF working paper ; ; WP/06/223.