House prices and credit risk: Evidence from the United States

Mohammad Tajik, Saeideh Aliakbari, Thaana Ghalia and Sepideh Kaffash

Economic Modelling, 2015, vol. 51, issue C, 123-135

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 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:51:y:2015:i:c:p:123-135

DOI: 10.1016/j.econmod.2015.08.006

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