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Book Cover
E-book
Author Pouvelle, Cyril, author

Title Bank credit, asset prices, and financial stability : evidence from French banks / Cyril Pouvelle
Published [Washington, D.C.] : International Monetary Fund, ©2012

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Description 1 online resource (40 pages) : illustrations
Series IMF working paper ; WP/12/103
IMF working paper ; WP/12/103.
Contents Cover; Abstract; Contents; I. Introduction; II. Asset prices and bank balance sheets: related literature; III. The dataset; A. Description of the data; Figures; Figure 1. Distribution of individual banks' size to the average size ratio; B. Descriptive statistics; Tables; Table 1. Correlation coefficients between the main variables; Figure 2. France-Cyclical developments in credit and asset prices; Figure 3. Descriptive statistics of main model variables; IV. Model and results; A. Model presentation; B. Addressing the endogeneity issue; C. Building a financial instability index
Table 2. Granger causality testsD. Baseline specification; Table 3. Financial Instability Index-Principal Component Analysis-Loading factors; Table 4. Determinants of total loan growth; E. Focus on listed banks; F. Credit breakdown; Corporate loans; Table 5. Determinants of total loan growth of listed banks; Loans to households; Table 6. Determinants of corporate loan growth; Table 7. Determinants of household loan growth; Loans for purposes other than house purchase; Table 8. Determinants of non-mortgage loan growth; Table 9. Determinants of non-mortgage loan growth without NPL ratio
ConclusionReferences; Appendix; Table A1. Descriptive statistics of model variables; Table A2. Correlation coefficients between the variables; Tables A3-A5. Determinants of stock price growth-Whole period/Financial Instability periods/Tranquil periods; Tables A6-A8. Determinants of housing price growth-Whole period/Financial Instability periods/Tranquil periods
Summary This paper analyses the effect of asset prices on credit growth in France and tries to disentangle credit demand and supply factors, both for the whole 1993-2010 period and during periods of financial instability. Using bank-level panel data at a quarterly frequency, stock price growth is shown to have a significant effect on lending growth over the whole period, but without credit supply factors being singled out. By contrast, housing price growth has a significant effect during periods of financial instability only, even after controlling for credit demand effects. These results show that credit demand factors do play a large role but also provide evidence of tighter credit constraints on households in financial instability periods
Notes At head of title: European Department
Title from PDF title page (IMF Web site, viewed April 24, 2012)
"April 2012."
Bibliography Includes bibliographical references
Subject Bank loans -- France -- Econometric models
Assets (Accounting) -- Prices -- France -- Econometric models
Assets (Accounting) -- Prices -- Econometric models
Bank loans -- Econometric models
Economic history
SUBJECT France -- Economic conditions. http://id.loc.gov/authorities/subjects/sh85051216
Subject France
Form Electronic book
Author International Monetary Fund. European Department, issuing body.
ISBN 9781475573299
1475573294