Description |
1 online resource (40 pages) : illustrations |
Series |
IMF working paper ; WP/12/103 |
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IMF working paper ; WP/12/103.
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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 |
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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 |
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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 |
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Title from PDF title page (IMF Web site, viewed April 24, 2012) |
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"April 2012." |
Bibliography |
Includes bibliographical references |
Subject |
Bank loans -- France -- Econometric models
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Assets (Accounting) -- Prices -- France -- Econometric models
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Assets (Accounting) -- Prices -- Econometric models
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Bank loans -- Econometric models
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Economic history
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SUBJECT |
France -- Economic conditions.
http://id.loc.gov/authorities/subjects/sh85051216
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Subject |
France
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Form |
Electronic book
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Author |
International Monetary Fund. European Department, issuing body.
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ISBN |
9781475573299 |
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1475573294 |
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