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Housing, Housing Finance and Credit Risk

Alessandra Canepa () and Fawaz Khaled ()
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Fawaz Khaled: Department of Economics, University of Reading, Reading, Berkshire RG6 6AH, UK

International Journal of Financial Studies, 2018, vol. 6, issue 2, 1-23

Abstract: This paper investigates the determinants of credit risk from a broad perspective. Particular attention is given to the role of housing affordability and household indebtedness. However, the impact of credit market developments and regulations is also closely examined. Using a large panel of countries it is found that housing affordability and household fragility significantly affect the risk of banks’ loan portfolios. In addition, an analysis of the conditional quantiles of non-performing loan ratios reveals that financial institutions in countries with greater levels of financial liberalization and less regulated markets also experience greater credit risk.

Keywords: credit risk; housing affordability; household indebtedness; housing finance (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 F2 F3 F41 F42 (search for similar items in EconPapers)
Date: 2018
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