House prices and credit risk: Evidence from the United States

Mohammad Tajik, Saeideh Aliakbari, Thaana Ghalia, Sepideh Kaffash

Research output: Contribution to JournalArticlepeer-review


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.
Original languageEnglish
Pages (from-to)123-135
Number of pages13
JournalEconomic Modelling
Early online date24 Aug 2015
Publication statusPublished - 1 Dec 2015


  • Credit risk
  • Nonperforming loans
  • Banks
  • House prices
  • Loan categories
  • Dynamic panel data


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