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.
Original language | English |
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Pages (from-to) | 123-135 |
Number of pages | 13 |
Journal | Economic Modelling |
Volume | 51 |
Early online date | 24 Aug 2015 |
DOIs | |
Publication status | Published - 1 Dec 2015 |
Keywords
- Credit risk
- Nonperforming loans
- Banks
- House prices
- Loan categories
- Dynamic panel data
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Profiles
-
Thaana Ghalia
- University of Northampton, Economics, Intl Relations & Development - Senior Lecturer in Economics
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