Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-financial Linkages Framework.
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| Author / Creator: | Sun, Tao. |
|---|---|
| Imprint: | Washington : International Monetary Fund, 2011. |
| Description: | 1 online resource (59 pages) |
| Language: | English |
| Series: | IMF Working Papers, 2227-8885 IMF Working Papers. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12502388 |
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| 100 | 1 | |a Sun, Tao. | |
| 245 | 1 | 0 | |a Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-financial Linkages Framework. |
| 260 | |a Washington : |b International Monetary Fund, |c 2011. | ||
| 300 | |a 1 online resource (59 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF Working Papers, |x 2227-8885 | |
| 505 | 0 | |a Cover Page; Title Page; Copyright Page; Contents; Abstract; I. Introduction; II. Literature review; A. VAR Framework; B. Probit and Logit Models; C. Panel Models; III. Differences Between Intervened and Nonintervened Financial Institutions; 1. Capital-to-Assets Ratio; 2. Retained Earnings to Equity Ratio; 3. Ratio of Debt to Common Equity; 4. Loans-to-Deposits Ratio; 5. Nonperforming Loan Ratio; 6. Ratio of Provision for Loan Losses to Loans; 7. Return to Assets; 8. Book Value Per Share; 9. Ratio of Interbank Loans to Total Loans; 10. Ratio of Mortgage Loans to Total Loans. | |
| 505 | 8 | |a 1. Selected Indicators on Fundamental Characteristics of Financial InstitutionsIV. Methodologies and Results of the Panel Specification and Panel Cointegration; A. Panel Specification; B. Panel Cointegration; C. Unit Root Tests and Panel Cointegration Test; 2. Unit Root Tests; 3. Pedroni Heterogeneous Panel Cointegration; D. Panel Regressions; 4. Fixed-Effects panel Least-Square Estimation of the Determinants of the EDFs-Quarterly Observations (1998Q1-2009Q1), 45 Financial Institutions. | |
| 505 | 8 | |a 5. Fixed-Effects Panel Least-Square Estimation of the Determinants of the EDFs-Quarterly Observations with Government Interventions as Dummy (1998Q1-2009Q1), 45 Financial InstitutionsE. Long-Run Causality Tests; 11. Correlation Between Leverage and Expected Default Frequencies; 6. Long-Run Causality of Leverage to the EDFs; V. Conclusions; I. List of Selected Financial Institutions; II. List of Intervened Financial Institutions; III. Definitions of Indicators; IV. Indicators in the Panel Specification; V. Methodology for Panel Cointegration; VI. Methodology for Long-Run Causal Effect. | |
| 504 | |a ReferencesFootnotes. | ||
| 520 | |a This paper attempts to identify the indicators that can demonstrate the vulnerabilities in systemically important financial institutions. The paper finds that (i) indicators on leverage, liquidity, and business scope can help identify the differences between the intervened and non-intervened financial institutions during the subprime crisis; (ii) the expected default frequencies react positively to shocks to leverage, inflation, global financial stress, and global excess liquidity, and negatively to return on assets and equity prices; and (iii) leverage has been the most robust factor with a l. | ||
| 588 | 0 | |a Print version record. | |
| 650 | 0 | |a Financial crises. | |
| 650 | 0 | |a Financial institutions. |0 http://id.loc.gov/authorities/subjects/sh85048306 | |
| 650 | 0 | |a Bank failures. |0 http://id.loc.gov/authorities/subjects/sh85011569 | |
| 650 | 6 | |a Institutions financières. | |
| 650 | 6 | |a Banques |x Faillites. | |
| 650 | 7 | |a Bank failures. |2 fast |0 (OCoLC)fst00826658 | |
| 650 | 7 | |a Financial crises. |2 fast |0 (OCoLC)fst00924607 | |
| 650 | 7 | |a Financial institutions. |2 fast |0 (OCoLC)fst00924636 | |
| 655 | 4 | |a Electronic books. | |
| 776 | 0 | 8 | |i Print version: |a Sun, Tao. |t Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-financial Linkages Framework. |d Washington : International Monetary Fund, ©2011 |z 9781455261406 |
| 830 | 0 | |a IMF Working Papers. | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2011/111/001.2011.issue-111-en.xml |y INTERNATIONAL MONETARY FUND |
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