Default, credit growth, and asset prices /

Default, credit growth, and asset prices /

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Bibliographic Details
Author / Creator:	Segoviano, Miguel A., author.
Imprint:	[Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., 2006.
Description:	1 online resource (43 pages) : illustrations
Language:	English
Series:	IMF working paper ; WP/06/223 IMF working paper ; WP/06/223.
Subject:	Asset allocation -- Econometric models. Credit -- Econometric models. Asset allocation -- Econometric models. Credit -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12498570

Hidden Bibliographic Details
Other authors / contributors:	Goodhart, C. A. E. (Charles Albert Eric), author. Hofmann, Boris, author. International Monetary Fund. Monetary and Financial Systems Department.
ISBN:	9781451909364 1451909365
Digital file characteristics:	text file
Notes:	Includes bibliographical references. Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
Summary:	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.
Other form:	Print version: Segoviano, Miguel A. Default, credit growth, and asset prices. [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., 2006

Description
Summary:	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.
Physical Description:	1 online resource (43 pages) : illustrations
Format:	Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliography:	Includes bibliographical references.
ISBN:	9781451909364 1451909365