The Resource 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

Label
Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-financial Linkages Framework
Title
Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-financial Linkages Framework
Creator
Subject
Language
eng
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
Member of
Cataloging source
EBLCP
Index
no index present
LC call number
HB3722
LC item number
.S86 2011eb
Literary form
non fiction
Nature of contents
dictionaries
Series statement
IMF Working Papers,
Label
Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-financial Linkages Framework
Publication
Bibliography note
ReferencesFootnotes
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Control code
ocn867927393
Dimensions
unknown
Extent
1 online resource (59 pages)
Form of item
online
Isbn
9781455257362
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.5089/9781455257362.001
http://library.link/vocab/recordID
.b37129569
Specific material designation
remote
System control number
  • (OCoLC)867927393
  • imf1283555018

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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