| Description |
1 online resource (27 pages) : illustrations |
| Series |
IMF working paper ; WP/12/71 |
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IMF working paper ; WP/12/71.
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| Contents |
Cover; Contents; I. Introduction; II. Literature Review; A. Pro-cyclical Credit Markets; B. Asset Quality and External Prices; C. Asset Quality and Capital Flows; III. Data; A. Variables and Data Sources; Table 1: Variables and Data Sources; B. Stationarity; Table 2: Panel Unit Root Tests; C. Stylized Facts; Table 3: Volatility and Correlations of Key Variables; Figure 1: Loan Quality and Other Key Variables, 1996-2010; Figure 2: Growth Credit to the Private Sector in Emerging Markets, 1996-2010; IV. Determinants of Bank Asset Quality: Panel Regressions; A. Baseline Specification |
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Figure 3: Bank and Portfolio Flows to Emerging Markets, 1995-2011B. Results; Table 4: Panel Regressions; C. Robustness Checks; Role of stock market valuation and interest rates; Stability of parameter estimates across subsamples; Table 5: Panel Regressions: Interest Rates and Equity Prices; Composition of capital flows; V. Modeling Feedback Loops: Structural Panel VAR; A. Baseline Specification; Table 6: Subsample Panel Regression Estimates; Table 7: Panel Regressions: Capital Flows Measures; B. Results; Figure 4: Impulse Response Functions (IRFs) of Baseline Model; C. Extensions |
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Impact on credit and asset quality of shocks to capital flowsTable 8: Variance Decompositions in Baseline Model; Figure 5: IRFs of NPL due to Shocks in Different Capital Flows; Disentangling exchange rate and terms of trade shocks; Figure 6: IRFs of Private Credit due to Shocks in Different Capital Flows; VI. Conclusion and Future Work; Figure 7: IRFs following Exchange Rate and Terms of Trade Shocks; VII. References |
| Summary |
This paper assesses the vulnerability of emerging markets and their banks to aggregate shocks. We find significant links between banks' asset quality, credit and macroeconomic aggregates. Lower economic growth, an exchange rate depreciation, weaker terms of trade and a fall in debt-creating capital inflows reduce credit growth while loan quality deteriorates. Particularly noteworthy is the sharp deterioration of balance sheets following a reversal of portfolio inflows. We also find evidence of feedback effects from the financial sector on the wider economy. GDP growth falls after shocks that drive non-performing loans higher or generate a contraction in credit. This analysis was used in chapter 1 of the Global Financial Stability Report (September 2011) to help evaluate the sensitivity of banks' capital adequacy ratios to macroeconomic and funding cost shocks |
| Notes |
At head of title: Monetary and Capital Markets |
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Title from PDF title page (IMF Web site, viewed March 8, 2012) |
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"March 2012." |
| Bibliography |
Includes bibliographical references |
| Subject |
Bank assets -- Developing countries -- Econometric models
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Developing countries
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| Form |
Electronic book
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| Author |
Demyanets, Alexander, author.
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International Monetary Fund. Monetary and Capital Markets Department, issuing body.
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| ISBN |
9781475592306 |
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1475592302 |
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