01819cas a2200253 a 4500 AALejournalIMF005795 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451872569 1018-5941 BD-DhAAL BD-DhAAL Souto, Marcos. Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector / Marcos Souto, Rodolphe Blavy. Washington, D.C. : International Monetary Fund, 2009. 1 online resource (32 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 The credit risk measures we develop in this paper are used to investigate macrofinancial linkages in the Mexican banking system. Domestic and external macro-financial variables are found to be closely associated with banking soundness. At the aggregate level, high external volatility and domestic interest rates are associated with higher expected default probability. Though results vary substantially across individual banks, domestic activity and U.S. growth, and higher asset prices, are generally associated with lower credit risks, while increased volatility worsens credit risks. The expected default probability is also found to be a leading indicator of traditional financial stability indicators. Mode of access: Internet Blavy, Rodolphe. IMF Working Papers; Working Paper ; No. 2009/109 Full text available on IMF http://elibrary.imf.org/view/journals/001/2009/109/001.2009.issue-109-en.xml IMF e-Library