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



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Autore: Goodhart C Visualizza persona
Titolo: Default, Credit Growth, and Asset Prices / / C. Goodhart, Miguel Segoviano, Boris Hofmann Visualizza cluster
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  Visualizza cluster
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
Opac: Controlla la disponibilità qui
Serie: IMF Working Papers; Working Paper ; ; No. 2006/223