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International Transmission of Bank and Corporate Distress / Papa N'Diaye, Dale Gray, Natalia Tamirisa, Hiroko Oura, Qianying Chen.
- Format:
- Book
- Government document
- Author/Creator:
- N'Diaye, Papa.
- Series:
- IMF Working Papers; Working Paper ; No. 2010/124
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Financial risk--Econometric models.
- Financial risk.
- Bank failures--Econometric models.
- Bank failures.
- Physical Description:
- 1 online resource (52 p.)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2010.
- 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.
- Contents:
- Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Methodology and Data; A. Structure of the GVAR Model; B. Sample, Variables, and Weights; C. Impulse Responses; III. Transmission of Bank and Corporate Distress; A. Domestic Impact of Bank and Corporate Distress; B. International Propagation of Bank and Corporate Distress; C. Robustness Analysis; IV. Conclusion; Appendix I. Data Description; Appendix II. Contingent Claims Analysis and Estimating Default Probabilities for Corporate and Banks; References; Footnotes
- Notes:
- "May 2010".
- Description based on print version record.
- ISBN:
- 9786612846014
- 9781462368860
- 1462368867
- 9781455206155
- 1455206156
- 9781282846012
- 1282846019
- 9781455200832
- 1455200832
- OCLC:
- 867926838
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