House prices and credit risk: Evidence from the United States

被引：14
|
作者：
Tajik, Mohammad [1 ,2 ]
Aliakbari, Saeideh [1 ,3 ]
Ghalia, Thaana [1 ]
Kaffash, Sepideh [4 ]
机构：
[1] Brunel Univ, Dept Econ & Finance, Uxbridge UB8 3PH, Middx, England
[2] Brunel Univ, Dept Math, Uxbridge UB8 3PH, Middx, England
[3] Queen Mary Univ London, Sch Econ & Finance, London E1 4NS, England
[4] Univ Massachusetts, Dept Accounting & Finance, Boston, MA 02125 USA
来源：
ECONOMIC MODELLING | 2015年 / 51卷
关键词：
Credit risk; Nonperforming loans; Banks; House prices; Loan categories; Dynamic panel data; PROPERTY PRICES; BANK CREDIT; PANEL-DATA; BUSINESS; MORTGAGE; LOANS;
D O I：
10.1016/j.econmod.2015.08.006
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the determinants of nonperforming loans (NPL), with a special focus on house price fluctuations. Using a panel of US. banks, the analysis is carried out across different loan categories and different types of banks. It is found that house price fluctuations significantly affect the dynamics of NPL, while the magnitude of the impact varies across loan categories and bank types. (C) 2015 Elsevier ay. All rights reserved.
引用
收藏
页码：123 / 135
页数：13
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