Commercial property prices and bank performance

E Davis () and Zhu Haibin

No 175, BIS Working Papers from Bank for International Settlements

Abstract: We seek to assess the effect of commercial property price movements on the behaviour and performance of individual banks in a range of industrialised economies, extending the existing micro literature on bank performance. Our results suggest that commercial property prices tend to be positively associated with bank lending and profitability, and negatively associated with banks' net interest margin and bad loan ratios. Such an impact exists even when conventional independent variables determining bank performance are included as controls. Further extensions show that the magnitude of this impact is related to the size of the bank, the strength of bank capitalisation, the direction of commercial property price movements, and regional factors. The results have implications for risk managers, regulators and monetary policy makers. Notably, they underline the crucial relevance of commercial property prices as a macroprudential variable that warrants close scrutiny by the authorities.

Keywords: commercial property prices; bank performance; panel estimation; financial accelerator (search for similar items in EconPapers)
JEL-codes: G12 G21 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2005-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.bis.org/publ/work175.pdf Full PDF document (application/pdf)
http://www.bis.org/publ/work175.htm (text/html)

Related works:
Journal Article: Commercial property prices and bank performance (2009)
Working Paper: Commercial property prices and bank performance (2004)
Working Paper: Commercial property prices and bank performance (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:175

Access Statistics for this paper

More papers in BIS Working Papers from Bank for International Settlements Contact information at EDIRC.
Bibliographic data for series maintained by Martin Fessler ().