Browse

You are looking at 1 - 10 of 18 items :

  • Books and Analytical Papers x
  • Keywords: banking x
Clear All
Bank Behavior in Response to Basel Iii

Bank Behavior in Response to Basel Iii »

Source: Bank Behavior in Response to Basel Iii : A Cross-Country Analysis

Volume/Issue: 2011/119

Series: IMF Working Papers

Author(s): Thomas Cosimano , and Dalia Hakura

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

ISBN: 9781455262427

Keywords: capital constraints, equity, capital requirements, nonperforming loans, interest expense, bank capital, Central Banking, And The Supply Of Money And Credit, financial Institutions And Services,

This paper investigates the impact of the new capital requirements introduced under the Basel III framework on bank lending rates and loan growth. Higher capital requirements, by raising banks' marginal cost of fun...

Data-Rich DSGE and Dynamic Factor Models

Data-Rich DSGE and Dynamic Factor Models »

Source: Data-Rich DSGE and Dynamic Factor Models

Volume/Issue: 2011/216

Series: IMF Working Papers

Author(s): Maxym Kryshko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

ISBN: 9781463903497

Keywords: Data-rich DSGE models, dynamic factor models, Bayesian estimation, inflation, monetary policy, real output, monetary base, monetary economics, Bayesian Analysis, Multiple or Simultaneous Equation Models: Time-Series Models

Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels o...

Fat-Tails and their (Un)Happy Endings

Fat-Tails and their (Un)Happy Endings »

Source: Fat-Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation

Volume/Issue: 2011/82

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455226061

Keywords: Basel III, correlation bias, copula capital structure model, prudential regulation, systemic risk., correlation, subordinated debt, banking, probability, General Financial Markets: Government Policy and Regulation

The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim holders' preferred degree of asset correlation in portfolios held by the firm. Using the copula...

The Great Cross-Border Bank Deleveraging

The Great Cross-Border Bank Deleveraging »

Source: The Great Cross-Border Bank Deleveraging : Supply Constraints and Intra-Group Frictions

Volume/Issue: 2014/180

Series: IMF Working Papers

Author(s): Eugenio Cerutti , and Stijn Claessens

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 25 September 2014

ISBN: 9781498354783

Keywords: Global banks, Credit supply, Deleveraging, banking, banking system, systemic crisis, Financial Markets and the Macroeconomy, Financial Aspects of Economic Integration,

International banks greatly reduced their direct cross-border and local affiliates' lending as the global financial crisis strained balance sheets, lowered borrower demand, and changed government policies. Using bi...

Data-Rich DSGE and Dynamic Factor Models

Data-Rich DSGE and Dynamic Factor Models »

Volume/Issue: 2011/216

Series: IMF Working Papers

Author(s): Maxym Kryshko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

DOI: http://dx.doi.org/10.5089/9781463903497.001

ISBN: 9781463903497

Keywords: Data-rich DSGE models, dynamic factor models, Bayesian estimation, inflation, monetary policy, real output, monetary base, monetary economics, Bayesian Analysis, Multiple or Simultaneous Equation Models: Time-Series Models

Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels o...

Fat-Tails and their (Un)Happy Endings
			: Correlation Bias and its Implications for Systemic Risk and Prudential Regulation

Fat-Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation »

Volume/Issue: 2011/82

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

DOI: http://dx.doi.org/10.5089/9781455226061.001

ISBN: 9781455226061

Keywords: Basel III, correlation bias, copula capital structure model, prudential regulation, systemic risk., correlation, subordinated debt, banking, probability, General Financial Markets: Government Policy and Regulation

The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim holders' preferred degree of asset correlation in portfolios held by the firm. Using the copula...

Loan Review, Provisioning, and Macroeconomic Linkages

Loan Review, Provisioning, and Macroeconomic Linkages »

Volume/Issue: 2000/195

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

DOI: http://dx.doi.org/10.5089/9781451859904.001

ISBN: 9781451859904

Keywords: Nonperforming loans, cyclical bank behavior, capital ratios, credit, collateral, banking, loan classification, loan review

Loan review is a process routinely used by banks to assess the current value of loan portfolios. Provisioning is a technique to translate loan review results into the balance sheet. It allows for ongoing valuation...

Procyclicality in Central Bank Reserve Management
			: Evidence from the Crisis

Procyclicality in Central Bank Reserve Management : Evidence from the Crisis »

Volume/Issue: 2010/150

Series: IMF Working Papers

Author(s): Jukka Pihlman , and Han Hoorn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2010

DOI: http://dx.doi.org/10.5089/9781455201334.001

ISBN: 9781455201334

Keywords: reserve management, central bank, banking, reserve managers, General Financial Markets,

A decade-long diversification of official reserves into riskier investments came to an abrupt end at the beginning of the global financial crisis, when many central bank reserve managers started to withdraw their d...

Systemic Real and Financial Risks
			: Measurement, Forecasting, and Stress Testing

Systemic Real and Financial Risks : Measurement, Forecasting, and Stress Testing »

Volume/Issue: 2012/58

Series: IMF Working Papers

Author(s): Marcella Lucchetta , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

DOI: http://dx.doi.org/10.5089/9781463937768.001

ISBN: 9781463937768

Keywords: Systemic Risks, Dynamic Factor Model, Quantile Auto-regressions, Density Forecasts, forecasting, bank credit, banking, probability, Econometric Modeling, Business Fluctuations

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial...

Systemic Risks and the Macroeconomy

Systemic Risks and the Macroeconomy »

Volume/Issue: 2010/29

Series: IMF Working Papers

Author(s): Marcella Lucchetta , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

DOI: http://dx.doi.org/10.5089/9781451962567.001

ISBN: 9781451962567

Keywords: Dynamic Factor Model, Quantile Regressions, bank credit, forecasting, banking, bank lending, Econometric Modeling, Business Fluctuations, And Cycles, financial Institutions And Services,

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural...