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The International Monetary Fund's Balance-Sheet and Credit Risk

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  • Ryan Felushko
  • Eric Santor

Abstract

The authors examine the characteristics of International Monetary Fund (IMF) lending from the 1960s to 2005. They find that there has been an increase in portfolio concentration, that lending terms have effectively lengthened, and that the proportion of total lending that occurs due to exceptional access has risen dramatically. Moreover, the typical IMF borrower represents a greater risk burden than in previous periods. The authors estimate a model of expected credit loss for the IMF's portfolio and find that the credit risk being borne on the IMF's balance sheet is rising over time. This increase in the risk burden is supported by the use of alternative measures of balance-sheet risk: both the Basel II capital requirement approach and the market-based interest rate approach produce similar results.

Suggested Citation

  • Ryan Felushko & Eric Santor, 2006. "The International Monetary Fund's Balance-Sheet and Credit Risk," Staff Working Papers 06-21, Bank of Canada.
    • Handle: RePEc:bca:bocawp:06-21
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    References listed on IDEAS

    as
    1. Reuven Glick & Michael M. Hutchison, 1999. "Banking and currency crises; how common are twins?," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
    2. Rafael La Porta & Florencio Lopez-de-Silanes & Andrei Shleifer & Robert W. Vishny, 1998. "Law and Finance," Journal of Political Economy, University of Chicago Press, vol. 106(6), pages 1113-1155, December.
    3. Morris Goldstein, 2001. "IMF Structural Conditionality: How Much is Too Much?," Working Paper Series WP01-4, Peterson Institute for International Economics.
    4. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Oct), pages 37-53.
    5. Mark Illing & Graydon Paulin, 2004. "The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital," Staff Working Papers 04-30, Bank of Canada.
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    Cited by:

    1. Lavigne, Robert, 2011. "The political and institutional determinants of fiscal adjustment: Entering and exiting fiscal distress," European Journal of Political Economy, Elsevier, vol. 27(1), pages 17-35, March.
    2. Eric Santor, 2006. "Governance and the IMF: Does the Fund Follow Corporate Best Practice?," Staff Working Papers 06-32, Bank of Canada.

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    Keywords

    International topics;

    JEL classification:

    • F3 - International Economics - - International Finance

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