Working Papers in full text
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
All
Other research-related activities and publications of the IMF can be found at IMF Research
|
Free Email Notification
Receive emails when we post new
items of interest to you.
Subscribe or
Modify your profile
|
|
|
|
Bank Asset Quality in Emerging Markets: Determinants and Spillovers
|
Author/Editor: |
De Bock, Reinout | Demyanets, Alexander |
| Authorized for Distribution: |
March 1, 2012 |
|
Electronic Access: |
Free Full Text (PDF file size is 1,182KB)
Use the free Adobe Acrobat Reader to view this PDF file.
|
|
|
|
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.
|
|
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.
|
|
|
|
Order a print copy
|
|
Series: |
Working Paper No. 12/71 |
|
Subject(s): |
Banks | Business cycles | Capital flows | Capital markets | Emerging markets | External shocks | Spillovers |
|
Author's keyword(s): |
Macro-financial linkages | Emerging markets | Banks | Nonperforming loans | Capital flows | Exchange rate | Terms of trade | Financial stability | Panel regressions | Time series. |
|
|
|
|
| |
Published: |
|
March 1, 2012 |
|
|
|
|
| |
|
|
|
|
Format: |
|
Paper |
| |
Stock No: |
|
WPIEA2012071 |
|
Pages: |
|
26 |
| |
Price: |
|
US$18.00 (Academic Rate: US$18.00 )
|
|
|
|
|
|
|
