Default, Credit Growth, and Asset Prices / / C. Goodhart, Miguel Segoviano, Boris Hofmann

• Autore: Goodhart C
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2006
• Descrizione fisica: 1 online resource (44 p.)
• Soggetto topico: Asset allocation - Econometric models; Credit - Econometric models; Banks and Banking; Macroeconomics; Money and Monetary Policy; Real Estate; Statistics; Semiparametric and Nonparametric Methods; Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; Econometric Modeling: General; Optimization Techniques; Programming Models; Dynamic Analysis; Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access; Business Fluctuations; Cycles; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation; Financial Markets and the Macroeconomy; Money Supply; Credit; Money Multipliers; Monetary Policy, Central Banking, and the Supply of Money and Credit: General; Price Level; Inflation; Deflation; Nonagricultural and Nonresidential Real Estate Markets; Banks; Depository Institutions; Micro Finance Institutions; Mortgages; Data Collection and Data Estimation Methodology; Computer Programs: Other; Monetary economics; Property & real estate; Banking; Econometrics & economic statistics; Asset prices; Bank credit; Land prices; Prices; Money; Financial statistics; Economic and financial statistics; Housing; Banks and banking; Finance
• Soggetto geografico: Japan
• Altri autori: SegovianoMiguel 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.: 9910788407903321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2006/223