Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector

Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector
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... READ MORE...

Publication date: May 2009
ISBN 9781451872569
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