Franklin

International Transmission of Bank and Corporate Distress [electronic resource] N'Diaye, Papa M'B. P..

Author/Creator:
N'Diaye, Papa M'B. P.
Publication:
Washington, D.C. : International Monetary Fund, 2010.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 10/124.
IMF Working Papers; Working Paper No. 10/124
Format/Description:
Government document
Book
1 online resource (43 p.)
Local subjects:
Bank balance sheets.
Bank borrowing.
Bank capital.
Bank credit.
Bank default.
Bank default probability.
Bank distress.
Bank lending.
Bank lending relationship.
Bank liquidity.
Bank portfolio.
Banking.
Banking sector.
Banking sectors.
Banks assets.
Banks balance sheets.
Banks loan.
Calibration.
Corporate sector.
Correlation.
Correlations.
Credit risk.
Descriptive statistics.
Developed countries.
Econometrics.
Economic models.
Emerging markets.
Equation.
Equations.
Financial risk.
Financial statistics.
Forecasting.
Kurtosis.
Logarithm.
Missing data.
Normal distribution.
Number of parameters.
Present value.
Probabilities.
Probability.
Probability distribution.
Probability of default.
Significance level.
Skewness.
Spillovers.
Standard deviation.
Standard deviations.
Statistical tests.
Statistics.
Time series.
Var model.
Vector autoregression.
Australia.
Brazil.
Germany.
Grenada.
Hong Kong Special Administrative Region of China.
India.
Indonesia.
Italy.
Japan.
Malaysia.
Mexico.
New Zealand.
Philippines.
Saint Lucia.
Singapore.
South Africa.
Sweden.
Turkey.
United Kingdom.
United States.
Summary:
The paper evaluates how increases in banks’ and nonfinancial corporates’ default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the period from January 1996 to December 2008. The results point to two-way causality between bank and corporate distress and to significant global macroeconomic and financial spillovers from either type of distress when it originates in a systemic economy. Corporate distress in advanced economies has a larger impact on economic growth in emerging economies than bank distress in advanced economies has. In contrast, activity in advanced economies is more vulnerable to bank distress than to corporate distress.
Notes:
Description based on print version record.
Contributor:
Chen, Qianying.
Gray, Dale F.
N'Diaye, Papa M'B. P.
Oura, Hiroko.
Tamirisa, Natalia T.
Other format:
Print Version:
ISBN:
1455200832:
9781455200832
ISSN:
1018-5941
Publisher Number:
10.5089/9781455200832.001
Access Restriction:
Restricted for use by site license.
Loading...
Location Notes Your Loan Policy
Description Status Barcode Your Loan Policy