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Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework, Tao Sun

Creator
Abstract
This paper attempts to identify the indicators that can demonstrate the vulnerabilities in systemically important financial institutions. The paper finds that (i) indicators on leverage, liquidity, and business scope can help identify the differences between the intervened and non-intervened financial institutions during the subprime crisis; (ii) the expected default frequencies react positively to shocks to leverage, inflation, global financial stress, and global excess liquidity, and negatively to return on assets and equity prices; and (iii) leverage has been the most robust factor with a long-run causal effect on the expected default frequencies
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; Abstract; I. Introduction; II. Literature review; A. VAR Framework; B. Probit and Logit Models; C. Panel Models; III. Differences Between Intervened and Nonintervened Financial Institutions; 1. Capital-to-Assets Ratio; 2. Retained Earnings to Equity Ratio; 3. Ratio of Debt to Common Equity; 4. Loans-to-Deposits Ratio; 5. Nonperforming Loan Ratio; 6. Ratio of Provision for Loan Losses to Loans; 7. Return to Assets; 8. Book Value Per Share; 9. Ratio of Interbank Loans to Total Loans; 10. Ratio of Mortgage Loans to Total Loans
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (59 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462368754

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