House prices and credit risk: Evidence from the United States
Ghalia, T., Tajik, M., Aliakbari, S. and Kaffash, S. (2015) House prices and credit risk: Evidence from the United States. Economic modelling.51, 123–135.
accepted manuscript accepted_manuscript.pdf
- Accepted Version
Information
Abstract:
This paper investigates the determinants of nonperforming loans (NPL), with a special focus on house price fluctuations. Using a panel of U.S. 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.
Uncontrolled Keywords:
Credit risk Nonperforming loans Banks House prices Loan categories Dynamic panel data
Creators:
Ghalia, T., Tajik, M., Aliakbari, S. and Kaffash, S.
