01887cas a2200265 a 4500 AALejournalIMF004485 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451864830 1018-5941 BD-DhAAL BD-DhAAL Goodhart, C. Default, Credit Growth, and Asset Prices / C. Goodhart, Miguel Segoviano, Boris Hofmann. Washington, D.C. : International Monetary Fund, 2006. 1 online resource (43 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the fragility of their banking systems. Based on theory and stylized facts, the paper explores a range of financial and real variables that explain such PoDs across time. We find property price fluctuations and bank credit to be important explanatory factors. There is two-way interaction between these variables and a clearer relationship when the variables are entered as a deviation from trend. The lag structure between such developments and PoDs is long and varies widely across countries. The paper assesses the implications of these findings for economic policy. Mode of access: Internet Hofmann, Boris. Segoviano, Miguel. IMF Working Papers; Working Paper ; No. 2006/223 Full text available on IMF http://elibrary.imf.org/view/journals/001/2006/223/001.2006.issue-223-en.xml IMF e-Library