Series: IMF Working Papers
Author(s): Dale Gray
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 23 October 2013
Keywords: Credit expansion, Credit risk, Cross country analysis, Banking sector, Economic models, Financial crises, Sovereign debt, contingent claims analysis (CCA), global vector autoregression (GVAR), banking
The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 Europe...