Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.22/1753
Título: Residential property loans and performance during property price booms: evidence from European
Autor: Martins, António
Serra, Ana
Martins, Vitorino
Stevenson, Simon
Palavras-chave: Residential property prices
Mortgage loans
Bank performance
Dynamic panel estimation
Data: 2013
Resumo: Understanding the performance of banks is of the u tmost importance due to the impact the sector may have on economic growth and financial stability. Residential mortgage loans constitute a large proportion of the portfolio of many banks and are one of the key assets in the determination of performance. Using a dynamic panel model , we analyse the impact of res idential mortgage loans on bank profitability and risk , based on a sample of 555 banks in the European Union ( EU - 15 ) , over the period from 1995 to 2008. We find that banks with larger weight s in residential mortgage loans display lower credit risk in good market conditions . This result may explain why banks rush to lend on property during b ooms due to the positive effect it has on credit risk . The results also show that credit risk and profitability are lower during the upturn in the residential property cy cle. Furthermore, t he results reveal the existence of a non - linear relationship ( U - shaped marginal effect), as a function of bank’s risk, between profitability and residential mortgage exposure . For those banks that have high er credit risk, a large exposur e to residential loans is associated with increased risk - adjusted profitability, through a reduction in risk. For banks with a moderate to low credit risk, the impact of higher exposure are also positive on risk - adjusted profitability.
URI: http://hdl.handle.net/10400.22/1753
Aparece nas colecções:ESTGF - CIICESI - Comunicações em eventos científicos

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