Within-bank spillovers of real estate shocks
Vicente Cuñat (),
Dragana Cvijanovic and
LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library
By considering banks as portfolios of assets in different locations, we study how real estate shocks are transmitted across bank’s business areas while controlling for local demand shocks and bank location–specific factors. Affected banks substantially alter their loan portfolios: we find evidence of real estate price declines affecting both real estate and non-real estate types of lending. Banks also roll over and fail to liquidate problematic loans, while accumulating more non-performing loans. These results provide evidence of internal contagion of real estate shocks within banks.
Keywords: Banks; Real Estate; Contagion; Crisis; Zombie Lending (search for similar items in EconPapers)
JEL-codes: G21 R30 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-gen and nep-ure
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Published in Review of Corporate Finance Studies, 1, September, 2018, 7(2), pp. 157 - 193. ISSN: 2046-9128
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http://eprints.lse.ac.uk/87374/ Open access version. (application/pdf)
Journal Article: Within-Bank Spillovers of Real Estate Shocks (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:87374
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