Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-financial Linkages Framework.

Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-financial Linkages Framework.

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Bibliographic Details
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:
Financial crises.
Financial institutions.
Bank failures.
Bank failures.
Financial crises.
Financial institutions.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12502388
Hidden Bibliographic Details
ISBN:9781462360680
1462360688
1283555018
9781283555012
1455257362
9781455257362
Notes:ReferencesFootnotes.
Print version record.
Summary: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.
Other form:Print version: Sun, Tao. Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-financial Linkages Framework. Washington : International Monetary Fund, ©2011 9781455261406
Standard no.:10.5089/9781455257362.001
Table of Contents:
  • 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.
  • 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.
  • 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.

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