Cuñat, Vicente ORCID: 0000-0001-7504-2801, Cvijanovic, Dragana and Yuan, Kathy ORCID: 0000-0001-9895-7545 (2018) Within-bank spillovers of real estate shocks. Review of Corporate Finance Studies, 7 (2). 157 - 193. ISSN 2046-9128
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Abstract
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.
Item Type: | Article |
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Official URL: | https://academic.oup.com/rcfs |
Additional Information: | © 2018 Oxford University Press |
Divisions: | Finance |
Subjects: | H Social Sciences > HG Finance |
JEL classification: | G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages R - Urban, Rural, and Regional Economics > R3 - Production Analysis and Firm Location > R30 - General |
Date Deposited: | 06 Apr 2018 15:00 |
Last Modified: | 23 Nov 2024 23:18 |
URI: | http://eprints.lse.ac.uk/id/eprint/87374 |
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