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Back Matter

Back Matter

Author(s):
Stefan Gerlach, and Paul Gruenwald
Published Date:
July 2006
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    Index

    NB page numbers in bold refer to figures and tables

    • accelerator, financial 68-9

    • accounting and disclosure 140,145-8

    • Acharya, V. V. 14

    • actual capital and lending 10,23-6

    • advanced economies 55

      • equations for 90-1

    • aggregate real activity 10

    • Akaike information criterion 105

    • Alfon, I. 22-4

    • Allen, L. 13-14

    • Altman, E. I. 13-14

    • Amato, J. D. 12, 72

    • ARIMA (Auto Regressive Integrated Moving Average) model 109

    • Asia

      • evolving business cycle 40-1

      • financial crisis 6, 40-1, 96, 99, 151, 153-4

    • Asia-Pacific Economic Cooperation (APEC) 153

    • Asia Pacific region 153

    • Asian Bond Fund 153

    • Asian Cooperation Dialogue 153

    • assets

      • high-risk 134-5

      • prices 110

        • trend deviations 65-7

    • Association of South East Asian Nations (ASEAN) 153

    • Australia 55, 59-63, 65, 78-80,105, 110, 111-14, 150

    • Ayuso, J. 24,51

    • Bank of England 3

    • Bank of International Settlements (BIS) 98

    • exposure to Asia 75

    • Bank of Japan 171-2

    • Bank of Thailand 133, 135

    • banks

      • capital levels 22-3

      • lending growth 94

      • margins 86-7

      • number per country 114

      • provisioning rate 88-9

      • public ownership 101

      • state-owned 101

      • stock index (BIN) 104

      • supervision 73-4

        • see also Basel Accord on Banking Supervision (Basel II)

      • US 71

    • Bankscope 94, 100, 114

    • Banque de France 72

    • Basel Accord 1988 (Basel I) 11, 25

      • risk-weights 134

      • trend and cycle 49

    • Basel Accord on Banking Supervision (Basel II) 1, 3-4, 15

      • Committee 27-8, 51, 141-2

      • financial behavior and 137, 141-3, 145, 170-1

      • IAS 39 and 9-54

        • Asian financial systems 40-1, 41

        • basic concepts 38-9

        • consequences of 48-9, 49

        • cyclicality 47-8

        • impact on real activity 21-6

        • policy 28-31,41-2

          • procyclicality: adding to 50-1,50;

          • excessive 39, 51-2;

          • international accounting standards (IAS) 52-3

        • regulatory capital requirements 10-21

        • volatility 27-8

        • see also Pillar I; Pillar II; Pillar III

    • Berg, A. 71, 97, 152

    • Bernanke, B. 48, 68

    • Bernard, H. 74

    • Bikker, J. A. 73, 80

    • Bisignano, J. 74

    • Blum, L. 25

    • bond markets, regional 41

    • Borio, C. 13, 30-1, 48, 52, 147, 149

      • sources of procyclicality and 56, 64, 69, 71-3, 109-10

    • Browne, F. 76

    • Caballero, R. 152

    • capital

      • actual and lending 10, 23-6

      • adequacy ratios (CARs) 98, 163

      • buffer 134

      • charge cyclicality research 17-18

      • inflows 40,41

      • levels 22-3

      • requirements see regulatory capital requirements (Basel II)

      • standards 15

    • Carling, K. 18

    • Caruana, J. 51

    • Catarineu-Rabell, E. 17-18, 19

    • Cavallo, M. 73

    • Cecchetti, S. 149

    • Central Bank of Iceland 164

    • Chan, Norman xiii

    • Chiang Mai initiative 154

    • Chile 151

    • China 41, 55, 59-63, 75, 78-9, 111-14, 125-7, 129

      • banking credit 125-6

    • China Banking Regulatory

      • Commission (CBRC) 79,128-9

    • Chiuri, M. C. 74

    • collateral, reliance on 94-7, 95-6

    • consumer price index (CPI) 82,109, 171

    • Corcóstegui, C. 13, 18, 19

    • Craig, S. 3

    • credit

      • assessment 70-1,97

      • “credit crunch” 74

      • cyclical asymmetries 60, 62,111, 113

      • deviations from trend 65-7

      • growth 108-16

        • determinants of 81, 106-8

      • real 59-62

      • risk 10-20, 70-3

        • -weights 134-5

        • collateral and 70

        • underpricing 71-3

    • CreditMetrics 13

    • CreditPortfolio View 13

    • CreditRisk+ 13

    • crisis thresholds 109

    • Crockett, A. 52

    • Crystal, J. S. 76

    • Danielsson, J. 25,31

    • Davis, E. P. 73-4, 80, 83, 97-8

    • De Haas, R. 76

    • default, probability of (PD) 11-14,18, 21, 72

    • Demirgüç-Kunt, A. 80

    • Deutsche Bank 17

    • disclosure and accounting 140,145-8

    • dollars (US) 83, 154

    • Duchateau, A. 141

    • East Asia-Pacific Central Banks (EMEAP) 153

    • East Asian financial systems see sources of procyclicality

    • EBDTA (Earnings Before Depreciation and Tax) 83, 98,100

    • econometric analysis 77

    • economies, advanced 55, 90-1

    • effective maturity (M) 12

    • Eichberger, J. 25

    • Eichengreen, B. 152

    • emerging market economies 55

      • equations for 90-1

    • Enria, A. 27-8

    • ERM (Exchange Rate Mechanism) crisis 99

    • error correction term (ECT) 81-2, 104-5, 108

    • Ervin, D. W. 17

    • European Central Bank (ECB) 162

    • European Union (EU) 14

      • banks 27

    • “evergreening” of loans 73

    • evolving business cycle 40-1

    • examiner bahavior 46

    • Executives’ Meeting of East Asia-Pacific Central Banks (EMEAP) 153

    • exposure-at-default (EAD) 11-12, 21

    • estimates 15

    • fair value adjustments 33n

    • Fernandez de Lis, S. 52

    • financial behavior 6,137-75

      • Basel II and 170-1

      • Japan and 169-70

      • policy 139-54

        • disclosure and accounting 140

        • institutions and framework 140-54, 165-6

        • macroeconomic 140

        • monetary 161-3: prudential and 171-2

        • supervisory 140

    • procyclical problems 137-9

    • prudential instruments 163-5

    • taxation 165

    • Financial Instruments: Recognition and Measurement (IAS 39) 27

      • see also under Basel Accord on Banking Supervision (Basel II)

    • Financial Sector Assessment Programs (FSAPs) 78-9, 146

    • Financial Stability Reports 78, 146

    • Financial System Stability Assessments (FSSAs) 77

    • financial systems, structure of 58

    • Fischer, S. 153

    • Flannery, M. J. 22, 24

    • forbearance, NPLs and 73-4, 97-8

    • foreign banks 76, 99-100

      • funding 98-9: interbank 74-5, 75

      • role 40

    • Foundation IRB approach 11

    • framework

      • capital standards and 15

      • institutions and 140-54, 165-6

      • regulatory 23, 39

    • FSA (Financial Services Authority) 16, 22-3

    • funding, alternative sources of 74-5, 75, 98-9

    • Furfine, C. H. 12, 24, 26, 48, 52, 72

    • Gertler, M. 48, 99

    • Gilchrist, S. 48

    • Goldstein, M. 152

    • Gonzalez, L. 18

    • Goodhart, C. 2-4, 143, 147

      • Basel II and IAS 39 19, 26, 30-1, 38-40, 47, 50, 52

    • Gordy, M. 14, 16, 19-20, 29-30, 142

    • governmental safety net arrangements 131

    • Greenspan, A. 149

    • Gross Domestic Product (GDP)

      • cyclical asymmetries 60, 63, 111-12

      • real 59-63

    • growth, bank lending 94

    • Gruen, D. 149

    • Guttentag, J. M. 72

    • Habermeier, K. 77

    • Haldane, A. 72

    • Hardy, D.C. 63

    • Hausmann, R. 152

    • Hellwig, M. 25

    • Henning, C. 154

    • Herring, R.J. 72

    • high-risk assets 134-5

    • Hodrick-Prescott filter 109

    • Hong Kong 2, 45-6, 55, 59-63, 65, 78, 79, 80, 105, 110, 111-14, 115

    • Hong Kong Institute for Monetary Research (HKIMR) 2

    • Hong Kong Monetary Authority (HKMA) 46

    • Horváth, E. 72

    • house prices 61-3

      • cyclical asymmetries 62-3, 112-13

    • Howells, B. 14, 16, 19-20, 29-30, 142

    • Hu, H. 80

    • Huizinga, H. 80

    • IAS see International Accounting Standards (IAS)

    • Iceland, Central Bank of 164

    • IMF see International Monetary Fund (IMF)

    • inadequate risk management 39

    • Indonesia 41, 55, 59-63, 65, 75, 78-80, 110, 111-14

    • Ingves, S. 3-5

    • inputs, potential cyclicality of 11-14

      • IRB approach 12-14

      • standardized approach 11-12

    • instability 63-7,65-7

    • institutions 140-54, 165-6

      • policy framework and 150-4

    • internal capital drivers 22-3

    • internal default experience 12-13

    • Internal Rating Based (IRB) approach 4, 11-14, 34

    • International Accounting Standards (IAS) 3, 7, 52-3

      • Board 146

      • IAS 39 Financial Instruments: Recognition and Measurement 27

      • see also under Basel Accord on Banking Supervision (Basel II)

    • “International Convergence of Capital Measurement and Capital Standards: a Revised Framework” 15

    • International Monetary Fund (IMF) 2-5, 146, 151

      • Monetary and Financial Systems Department 3

    • International Reporting Standards 146

    • IRB (Internal Rating Based) approach 4, 11-14, 34

    • Jackson, P. 17-18, 25-6, 27

    • Jacobson, T. 18

    • Japan 14, 26, 169-71

      • procyclicality sources 55-83, 59-63, 66, 75, 98-110, 116

    • Jaudoin, O. 147

    • Jokivuolle, E. 19

    • Jordan, J. S. 18

    • Kaminsky, G. 64, 75, 109

    • Kashyap, A. K. 16, 17-18, 19, 29, 142-3

    • Kiyotaki, N. 69

    • KMV, Moody’s 13, 16, 19

    • Korea 41, 55, 59-63, 78-80, 111-14

      • South 66, 105, 110

    • Laeven, L. 73, 98

    • Latin America 76

    • lending 23-6, 75-6, 135

      • “evergreening” 73

      • growth 84-5, 94

      • losses and 98

      • margins 97

    • liberalization, financial 76-7, 101

    • Lindé, J. 18

    • loan-to-value (LTV) ratio 46, 135

    • Lodge, D. 27

    • London School of Economics (LSE) 2-3

    • Lopez, J. A. 14

    • loss-given-default (LGD) 11-14, 21

      • estimates 15

    • losses and loans 98

    • Lowe, P. 3, 12, 17, 19, 23, 48, 52

      • financial behavior and 147, 149, 168-9

      • procyclicality sources and 64, 71, 109-10

    • Lucas critique 51

    • macroeconomic policy 140, 148-50

    • Majnoni, G. 73, 98

    • Malaysia 41, 151

      • procyclicality sources 55, 59-63, 66, 75, 78, 80, 110, 111-14

    • management information systems (MIS) 128

    • mapping of internal grades 13

    • Marcelo, A. 18

    • margins

      • bank 86-7

      • lending 97

    • market

      • discipline 23

      • emerging economies 55, 90-1

      • regional bond 41

    • Martínez-Pages, J. 52

    • Mero, K. 72

    • Merton-type approach 13, 18

    • Metzemakers, P. 73

    • Mexico 17

    • Mian, A. 76, 101

    • Michael, I. 27

    • models

      • ARIMA 109

      • estimation of 103-8

      • statistical default 13

      • Value-at-Risk (VaR) 25

    • Monetary and Financial Systems Department (IMF) 3

    • monetary policy 46, 161-3

      • prudential and 171-2

    • Moore, J. 69

    • moral hazard 46

    • New Zealand 55-80

    • passim, 59-63, 67, 75, 110, 111-14, 150

    • non-performing loans (NPLs) 57, 79, 124

    • forbearance and 73-4, 97-8

    • O’Brien, P. F. 76

    • OECD (Organization for Economic Co-operation and Development) countries 55, 73

    • offshore funds 98-9

    • opinions, policy 2, 6-7

    • Pazarbasioglu, C. 64

    • Peek, J. 18, 74

    • Pérez, D. 51

    • Peura, S. 19

    • Philippines 41, 55-78

    • passim, 59-63, 67, 75, 110, 111-14

    • Pillar I 10, 20-1, 26, 28-9, 103

      • credit risk and 10-20

      • methodology 15-16

    • Pillar II 3, 29, 51, 103, 142-3, 170

      • capital requirements and 10, 15, 26

      • stress testing and 20-1

    • Pillar III 15, 29

    • PIT practices 16, 19

    • Plantin, G. 28

    • policy 28-31, 41-2

      • broader issues 30-1

      • financial behavior 139-54

      • macroeconomic 140, 148-50

      • monetary 46, 161-3

        • prudential and 171-2

      • opinions 2, 6-7

      • procyclicality, sources of 102-3, 132-5

      • regulatory capital requirements 29-30

      • supervision 140-5

    • Poveda, R. 147

    • probability of default (PD) 11-14, 18, 21, 72

      • estimates 15

    • “Procyclicality and Volatility in the Financial System: the Implementation of Basel II and IAS 39” 3

    • property sector 135

      • prices

        • credit and risks 108-16, 111-16

        • proxies 95;residential 96

      • see also house prices

    • provisioning 88-9, 135

    • prudential

      • instruments 163-5

      • policy 171-2

      • tools 134-5

    • Rangan, K. P. 22, 24

    • regional bond markets 41

    • regulation 23, 39, 46

    • regulatory capital requirements (Basel II) 10-21

      • impact on real activity 21-6

        • actual capital and lending 23-6

        • bank capital levels 22-3

      • Pillar I and credit risk 10-20, 17-18

      • Pillar II and stress testing 20-1

    • Reinhart, C. 64, 109

    • Reserve Bank of Australia 3

    • risk

      • -based supervision 132-4

      • -weights 32n, 134-5

      • assessment 140, 145, 168

      • management

        • governance and 70-3

        • inadequate 39

      • measurement methodologies 127

      • property prices and 108-16, 111-16

    • Roldos, J. 74

    • Romer, C. 77

    • Romer, D. 77

    • Rosch, D. 18

    • Rosengren, E. 18, 74

    • Roszbach, K. 18

    • safety net arrangements 131

    • Saunders, A. 13-14

    • Saurina, J. 51-2

    • Segoviano, M. 12, 17, 19, 23

    • Shiller, R. 152

    • Singapore 55-80

    • passim, 59-63, 67, 75, 105, 110, 111-14

    • sources of procyclicality

      • assessing importance of 77-8

      • banking sector and 130-2

      • China and 125-9

    • empirical results 80-101

      • bank-level data 82-101, 84-93, 95-6

      • estimation of model 103-8:

        • time series data 105-8, 106-8

      • macro data panel 80-2, 81

    • factors in Asia 78-9

    • features in Asia 59-67, 59-63

      • financial instability 63-7, 65-7

    • financial system contribution 68-77

      • alternative funding 74-5

      • bank supervision weakness 73-4

      • financial accelerator 68-9

      • risk management and governance weakness 70-3

      • structure 75-7

    • policy 102-3, 132-5

    • property prices, credit and risks 108-16,111-16

    • supervisory responses 127-8

    • South Korea 66, 105, 110

    • Spain 13, 18, 24, 52, 147-8

    • Sparrow, M. 174

    • state-owned banks 75-6

    • statistical default models 13

    • Stein, J. C. 16, 17-18, 19, 29, 142-3

    • Stevens, G. 3, 6-7, 71, 149, 168-9

    • Stone, M. 74

    • stress testing 20-1

    • structure of financial systems 58, 75-7

    • Summer, M. 25

    • supervision

      • capabilities 39

      • policies 140-5

      • risk-based 132-4

      • see also Basel Accord on Banking Supervision (Basel II)

    • Sweden 18, 165

    • “systemic factor”, Goodhart and 143

    • Taiwan, Province of China/Taiwan POC 41

    • taxation 165

    • Taylor, A. 3, 38-40, 47, 50, 52

    • Thailand 41, 55-80

    • passim, 59-63, 75, 110, 111-14

    • theoretical roadmap 3-4

    • Thoraval, P.Y. 141

    • “through-the-cycle” (TTC) 12-13, 15

    • Trucharte, C. 18

    • Tsocomos, D. P. 17-18

    • Turner, P. 152

    • Udell, G. 71, 97

    • United Kingdom (UK) 22, 99, 150

    • United States of America (USA) 14-26 passim, 40, 74, 150, 165

    • banks 71

    • dollars 83, 154

    • Value-at-Risk (VaR)

      • measures 13

      • see also models

    • van Lelyveld, I. 76

    • Viñals, J. 38

    • volatility see under Basel Accord on Banking Supervision (Basel II)

    • Wachter, S. 72

    • weak supervisory capabilities 39

    • White, W. R. 30-1

    • Wilde, T. 17

    • World Bank 146

    • Yam, J. 40

    • Zhu, H. 80, 83, 97-8

    • Zhu, J. 73

    • Zigrand, J.-P. 25

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