House prices and credit risk: Evidence from the United States

Mohammad  Tajik; Saeideh  Aliakbari; Thaana Ghalia; Sepideh  Kaffash

doi:10.1016/j.econmod.2015.08.006

House prices and credit risk: Evidence from the United States

Mohammad Tajik
, Saeideh Aliakbari
, Thaana Ghalia
, Sepideh Kaffash

Research output: Contribution to Journal › Article › peer-review

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
Pages (from-to)	123-135
Number of pages	13
Journal	Economic Modelling
Volume	51
Early online date	24 Aug 2015
DOIs	https://doi.org/10.1016/j.econmod.2015.08.006
Publication status	Published - 1 Dec 2015

Keywords

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

Access to Document

10.1016/j.econmod.2015.08.006

Tajik_etal_ELS_2015_House_prices_and_credit_risk_Evidence_from_the_United_StatesAccepted author manuscript, 658 KB

Cite this

@article{cd1b63874b9641dc99e9fb080e9b09ee,

title = "House prices and credit risk: Evidence from the United States",

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.",

keywords = "Credit risk, Nonperforming loans, Banks, House prices, Loan categories, Dynamic panel data",

author = "Mohammad Tajik and Saeideh Aliakbari and Thaana Ghalia and Sepideh Kaffash",

year = "2015",

month = dec,

day = "1",

doi = "10.1016/j.econmod.2015.08.006",

language = "English",

volume = "51",

pages = "123--135",

journal = "Economic Modelling",

issn = "0264-9993",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - House prices and credit risk: Evidence from the United States

AU - Tajik, Mohammad

AU - Aliakbari, Saeideh

AU - Ghalia, Thaana

AU - Kaffash, Sepideh

PY - 2015/12/1

Y1 - 2015/12/1

N2 - 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.

AB - 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.

KW - Credit risk

KW - Nonperforming loans

KW - Banks

KW - House prices

KW - Loan categories

KW - Dynamic panel data

U2 - 10.1016/j.econmod.2015.08.006

DO - 10.1016/j.econmod.2015.08.006

M3 - Article

SN - 0264-9993

VL - 51

SP - 123

EP - 135

JO - Economic Modelling

JF - Economic Modelling

ER -

House prices and credit risk: Evidence from the United States

Abstract

Keywords

Access to Document

Fingerprint

Cite this