Information about Asia and the Pacific Asia y el Pacífico
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Back Matter

Back Matter

Author(s):
Stefan Gerlach, and Paul Gruenwald
Published Date:
July 2006
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    Information about Asia and the Pacific Asia y el Pacífico
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    Index

    NB page numbers in bold refer to figures and tables

    • accelerator, financial 68-9
    • accounting and disclosure 140,145-8
    • Acharya, V. V. 14
    • actual capital and lending 10,23-6
    • advanced economies 55
      • equations for 90-1
    • aggregate real activity 10
    • Akaike information criterion 105
    • Alfon, I. 22-4
    • Allen, L. 13-14
    • Altman, E. I. 13-14
    • Amato, J. D. 12, 72
    • ARIMA (Auto Regressive Integrated Moving Average) model 109
    • Asia
      • evolving business cycle 40-1
      • financial crisis 6, 40-1, 96, 99, 151, 153-4
    • Asia-Pacific Economic Cooperation (APEC) 153
    • Asia Pacific region 153
    • Asian Bond Fund 153
    • Asian Cooperation Dialogue 153
    • assets
      • high-risk 134-5
      • prices 110
        • trend deviations 65-7
    • Association of South East Asian Nations (ASEAN) 153
    • Australia 55, 59-63, 65, 78-80,105, 110, 111-14, 150
    • Ayuso, J. 24,51
    • Bank of England 3
    • Bank of International Settlements (BIS) 98
    • exposure to Asia 75
    • Bank of Japan 171-2
    • Bank of Thailand 133, 135
    • banks
      • capital levels 22-3
      • lending growth 94
      • margins 86-7
      • number per country 114
      • provisioning rate 88-9
      • public ownership 101
      • state-owned 101
      • stock index (BIN) 104
      • supervision 73-4
        • see also Basel Accord on Banking Supervision (Basel II)
      • US 71
    • Bankscope 94, 100, 114
    • Banque de France 72
    • Basel Accord 1988 (Basel I) 11, 25
      • risk-weights 134
      • trend and cycle 49
    • Basel Accord on Banking Supervision (Basel II) 1, 3-4, 15
      • Committee 27-8, 51, 141-2
      • financial behavior and 137, 141-3, 145, 170-1
      • IAS 39 and 9-54
        • Asian financial systems 40-1, 41
        • basic concepts 38-9
        • consequences of 48-9, 49
        • cyclicality 47-8
        • impact on real activity 21-6
        • policy 28-31,41-2
          • procyclicality: adding to 50-1,50;
          • excessive 39, 51-2;
          • international accounting standards (IAS) 52-3
        • regulatory capital requirements 10-21
        • volatility 27-8
        • see also Pillar I; Pillar II; Pillar III
    • Berg, A. 71, 97, 152
    • Bernanke, B. 48, 68
    • Bernard, H. 74
    • Bikker, J. A. 73, 80
    • Bisignano, J. 74
    • Blum, L. 25
    • bond markets, regional 41
    • Borio, C. 13, 30-1, 48, 52, 147, 149
      • sources of procyclicality and 56, 64, 69, 71-3, 109-10
    • Browne, F. 76
    • Caballero, R. 152
    • capital
      • actual and lending 10, 23-6
      • adequacy ratios (CARs) 98, 163
      • buffer 134
      • charge cyclicality research 17-18
      • inflows 40,41
      • levels 22-3
      • requirements see regulatory capital requirements (Basel II)
      • standards 15
    • Carling, K. 18
    • Caruana, J. 51
    • Catarineu-Rabell, E. 17-18, 19
    • Cavallo, M. 73
    • Cecchetti, S. 149
    • Central Bank of Iceland 164
    • Chan, Norman xiii
    • Chiang Mai initiative 154
    • Chile 151
    • China 41, 55, 59-63, 75, 78-9, 111-14, 125-7, 129
      • banking credit 125-6
    • China Banking Regulatory
      • Commission (CBRC) 79,128-9
    • Chiuri, M. C. 74
    • collateral, reliance on 94-7, 95-6
    • consumer price index (CPI) 82,109, 171
    • Corcóstegui, C. 13, 18, 19
    • Craig, S. 3
    • credit
      • assessment 70-1,97
      • “credit crunch” 74
      • cyclical asymmetries 60, 62,111, 113
      • deviations from trend 65-7
      • growth 108-16
        • determinants of 81, 106-8
      • real 59-62
      • risk 10-20, 70-3
        • -weights 134-5
        • collateral and 70
        • underpricing 71-3
    • CreditMetrics 13
    • CreditPortfolio View 13
    • CreditRisk+ 13
    • crisis thresholds 109
    • Crockett, A. 52
    • Crystal, J. S. 76
    • Danielsson, J. 25,31
    • Davis, E. P. 73-4, 80, 83, 97-8
    • De Haas, R. 76
    • default, probability of (PD) 11-14,18, 21, 72
    • Demirgüç-Kunt, A. 80
    • Deutsche Bank 17
    • disclosure and accounting 140,145-8
    • dollars (US) 83, 154
    • Duchateau, A. 141
    • East Asia-Pacific Central Banks (EMEAP) 153
    • East Asian financial systems see sources of procyclicality
    • EBDTA (Earnings Before Depreciation and Tax) 83, 98,100
    • econometric analysis 77
    • economies, advanced 55, 90-1
    • effective maturity (M) 12
    • Eichberger, J. 25
    • Eichengreen, B. 152
    • emerging market economies 55
      • equations for 90-1
    • Enria, A. 27-8
    • ERM (Exchange Rate Mechanism) crisis 99
    • error correction term (ECT) 81-2, 104-5, 108
    • Ervin, D. W. 17
    • European Central Bank (ECB) 162
    • European Union (EU) 14
      • banks 27
    • “evergreening” of loans 73
    • evolving business cycle 40-1
    • examiner bahavior 46
    • Executives’ Meeting of East Asia-Pacific Central Banks (EMEAP) 153
    • exposure-at-default (EAD) 11-12, 21
    • estimates 15
    • fair value adjustments 33n
    • Fernandez de Lis, S. 52
    • financial behavior 6,137-75
      • Basel II and 170-1
      • Japan and 169-70
      • policy 139-54
        • disclosure and accounting 140
        • institutions and framework 140-54, 165-6
        • macroeconomic 140
        • monetary 161-3: prudential and 171-2
        • supervisory 140
    • procyclical problems 137-9
    • prudential instruments 163-5
    • taxation 165
    • Financial Instruments: Recognition and Measurement (IAS 39) 27
      • see also under Basel Accord on Banking Supervision (Basel II)
    • Financial Sector Assessment Programs (FSAPs) 78-9, 146
    • Financial Stability Reports 78, 146
    • Financial System Stability Assessments (FSSAs) 77
    • financial systems, structure of 58
    • Fischer, S. 153
    • Flannery, M. J. 22, 24
    • forbearance, NPLs and 73-4, 97-8
    • foreign banks 76, 99-100
      • funding 98-9: interbank 74-5, 75
      • role 40
    • Foundation IRB approach 11
    • framework
      • capital standards and 15
      • institutions and 140-54, 165-6
      • regulatory 23, 39
    • FSA (Financial Services Authority) 16, 22-3
    • funding, alternative sources of 74-5, 75, 98-9
    • Furfine, C. H. 12, 24, 26, 48, 52, 72
    • Gertler, M. 48, 99
    • Gilchrist, S. 48
    • Goldstein, M. 152
    • Gonzalez, L. 18
    • Goodhart, C. 2-4, 143, 147
      • Basel II and IAS 39 19, 26, 30-1, 38-40, 47, 50, 52
    • Gordy, M. 14, 16, 19-20, 29-30, 142
    • governmental safety net arrangements 131
    • Greenspan, A. 149
    • Gross Domestic Product (GDP)
      • cyclical asymmetries 60, 63, 111-12
      • real 59-63
    • growth, bank lending 94
    • Gruen, D. 149
    • Guttentag, J. M. 72
    • Habermeier, K. 77
    • Haldane, A. 72
    • Hardy, D.C. 63
    • Hausmann, R. 152
    • Hellwig, M. 25
    • Henning, C. 154
    • Herring, R.J. 72
    • high-risk assets 134-5
    • Hodrick-Prescott filter 109
    • Hong Kong 2, 45-6, 55, 59-63, 65, 78, 79, 80, 105, 110, 111-14, 115
    • Hong Kong Institute for Monetary Research (HKIMR) 2
    • Hong Kong Monetary Authority (HKMA) 46
    • Horváth, E. 72
    • house prices 61-3
      • cyclical asymmetries 62-3, 112-13
    • Howells, B. 14, 16, 19-20, 29-30, 142
    • Hu, H. 80
    • Huizinga, H. 80
    • IAS see International Accounting Standards (IAS)
    • Iceland, Central Bank of 164
    • IMF see International Monetary Fund (IMF)
    • inadequate risk management 39
    • Indonesia 41, 55, 59-63, 65, 75, 78-80, 110, 111-14
    • Ingves, S. 3-5
    • inputs, potential cyclicality of 11-14
      • IRB approach 12-14
      • standardized approach 11-12
    • instability 63-7,65-7
    • institutions 140-54, 165-6
      • policy framework and 150-4
    • internal capital drivers 22-3
    • internal default experience 12-13
    • Internal Rating Based (IRB) approach 4, 11-14, 34
    • International Accounting Standards (IAS) 3, 7, 52-3
      • Board 146
      • IAS 39 Financial Instruments: Recognition and Measurement 27
      • see also under Basel Accord on Banking Supervision (Basel II)
    • “International Convergence of Capital Measurement and Capital Standards: a Revised Framework” 15
    • International Monetary Fund (IMF) 2-5, 146, 151
      • Monetary and Financial Systems Department 3
    • International Reporting Standards 146
    • IRB (Internal Rating Based) approach 4, 11-14, 34
    • Jackson, P. 17-18, 25-6, 27
    • Jacobson, T. 18
    • Japan 14, 26, 169-71
      • procyclicality sources 55-83, 59-63, 66, 75, 98-110, 116
    • Jaudoin, O. 147
    • Jokivuolle, E. 19
    • Jordan, J. S. 18
    • Kaminsky, G. 64, 75, 109
    • Kashyap, A. K. 16, 17-18, 19, 29, 142-3
    • Kiyotaki, N. 69
    • KMV, Moody’s 13, 16, 19
    • Korea 41, 55, 59-63, 78-80, 111-14
      • South 66, 105, 110
    • Laeven, L. 73, 98
    • Latin America 76
    • lending 23-6, 75-6, 135
      • “evergreening” 73
      • growth 84-5, 94
      • losses and 98
      • margins 97
    • liberalization, financial 76-7, 101
    • Lindé, J. 18
    • loan-to-value (LTV) ratio 46, 135
    • Lodge, D. 27
    • London School of Economics (LSE) 2-3
    • Lopez, J. A. 14
    • loss-given-default (LGD) 11-14, 21
      • estimates 15
    • losses and loans 98
    • Lowe, P. 3, 12, 17, 19, 23, 48, 52
      • financial behavior and 147, 149, 168-9
      • procyclicality sources and 64, 71, 109-10
    • Lucas critique 51
    • macroeconomic policy 140, 148-50
    • Majnoni, G. 73, 98
    • Malaysia 41, 151
      • procyclicality sources 55, 59-63, 66, 75, 78, 80, 110, 111-14
    • management information systems (MIS) 128
    • mapping of internal grades 13
    • Marcelo, A. 18
    • margins
      • bank 86-7
      • lending 97
    • market
      • discipline 23
      • emerging economies 55, 90-1
      • regional bond 41
    • Martínez-Pages, J. 52
    • Mero, K. 72
    • Merton-type approach 13, 18
    • Metzemakers, P. 73
    • Mexico 17
    • Mian, A. 76, 101
    • Michael, I. 27
    • models
      • ARIMA 109
      • estimation of 103-8
      • statistical default 13
      • Value-at-Risk (VaR) 25
    • Monetary and Financial Systems Department (IMF) 3
    • monetary policy 46, 161-3
      • prudential and 171-2
    • Moore, J. 69
    • moral hazard 46
    • New Zealand 55-80
    • passim, 59-63, 67, 75, 110, 111-14, 150
    • non-performing loans (NPLs) 57, 79, 124
    • forbearance and 73-4, 97-8
    • O’Brien, P. F. 76
    • OECD (Organization for Economic Co-operation and Development) countries 55, 73
    • offshore funds 98-9
    • opinions, policy 2, 6-7
    • Pazarbasioglu, C. 64
    • Peek, J. 18, 74
    • Pérez, D. 51
    • Peura, S. 19
    • Philippines 41, 55-78
    • passim, 59-63, 67, 75, 110, 111-14
    • Pillar I 10, 20-1, 26, 28-9, 103
      • credit risk and 10-20
      • methodology 15-16
    • Pillar II 3, 29, 51, 103, 142-3, 170
      • capital requirements and 10, 15, 26
      • stress testing and 20-1
    • Pillar III 15, 29
    • PIT practices 16, 19
    • Plantin, G. 28
    • policy 28-31, 41-2
      • broader issues 30-1
      • financial behavior 139-54
      • macroeconomic 140, 148-50
      • monetary 46, 161-3
        • prudential and 171-2
      • opinions 2, 6-7
      • procyclicality, sources of 102-3, 132-5
      • regulatory capital requirements 29-30
      • supervision 140-5
    • Poveda, R. 147
    • probability of default (PD) 11-14, 18, 21, 72
      • estimates 15
    • “Procyclicality and Volatility in the Financial System: the Implementation of Basel II and IAS 39” 3
    • property sector 135
      • prices
        • credit and risks 108-16, 111-16
        • proxies 95;residential 96
      • see also house prices
    • provisioning 88-9, 135
    • prudential
      • instruments 163-5
      • policy 171-2
      • tools 134-5
    • Rangan, K. P. 22, 24
    • regional bond markets 41
    • regulation 23, 39, 46
    • regulatory capital requirements (Basel II) 10-21
      • impact on real activity 21-6
        • actual capital and lending 23-6
        • bank capital levels 22-3
      • Pillar I and credit risk 10-20, 17-18
      • Pillar II and stress testing 20-1
    • Reinhart, C. 64, 109
    • Reserve Bank of Australia 3
    • risk
      • -based supervision 132-4
      • -weights 32n, 134-5
      • assessment 140, 145, 168
      • management
        • governance and 70-3
        • inadequate 39
      • measurement methodologies 127
      • property prices and 108-16, 111-16
    • Roldos, J. 74
    • Romer, C. 77
    • Romer, D. 77
    • Rosch, D. 18
    • Rosengren, E. 18, 74
    • Roszbach, K. 18
    • safety net arrangements 131
    • Saunders, A. 13-14
    • Saurina, J. 51-2
    • Segoviano, M. 12, 17, 19, 23
    • Shiller, R. 152
    • Singapore 55-80
    • passim, 59-63, 67, 75, 105, 110, 111-14
    • sources of procyclicality
      • assessing importance of 77-8
      • banking sector and 130-2
      • China and 125-9
    • empirical results 80-101
      • bank-level data 82-101, 84-93, 95-6
      • estimation of model 103-8:
        • time series data 105-8, 106-8
      • macro data panel 80-2, 81
    • factors in Asia 78-9
    • features in Asia 59-67, 59-63
      • financial instability 63-7, 65-7
    • financial system contribution 68-77
      • alternative funding 74-5
      • bank supervision weakness 73-4
      • financial accelerator 68-9
      • risk management and governance weakness 70-3
      • structure 75-7
    • policy 102-3, 132-5
    • property prices, credit and risks 108-16,111-16
    • supervisory responses 127-8
    • South Korea 66, 105, 110
    • Spain 13, 18, 24, 52, 147-8
    • Sparrow, M. 174
    • state-owned banks 75-6
    • statistical default models 13
    • Stein, J. C. 16, 17-18, 19, 29, 142-3
    • Stevens, G. 3, 6-7, 71, 149, 168-9
    • Stone, M. 74
    • stress testing 20-1
    • structure of financial systems 58, 75-7
    • Summer, M. 25
    • supervision
      • capabilities 39
      • policies 140-5
      • risk-based 132-4
      • see also Basel Accord on Banking Supervision (Basel II)
    • Sweden 18, 165
    • “systemic factor”, Goodhart and 143
    • Taiwan, Province of China/Taiwan POC 41
    • taxation 165
    • Taylor, A. 3, 38-40, 47, 50, 52
    • Thailand 41, 55-80
    • passim, 59-63, 75, 110, 111-14
    • theoretical roadmap 3-4
    • Thoraval, P.Y. 141
    • “through-the-cycle” (TTC) 12-13, 15
    • Trucharte, C. 18
    • Tsocomos, D. P. 17-18
    • Turner, P. 152
    • Udell, G. 71, 97
    • United Kingdom (UK) 22, 99, 150
    • United States of America (USA) 14-26 passim, 40, 74, 150, 165
    • banks 71
    • dollars 83, 154
    • Value-at-Risk (VaR)
      • measures 13
      • see also models
    • van Lelyveld, I. 76
    • Viñals, J. 38
    • volatility see under Basel Accord on Banking Supervision (Basel II)
    • Wachter, S. 72
    • weak supervisory capabilities 39
    • White, W. R. 30-1
    • Wilde, T. 17
    • World Bank 146
    • Yam, J. 40
    • Zhu, H. 80, 83, 97-8
    • Zhu, J. 73
    • Zigrand, J.-P. 25
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