Publication
Residential property loans and performance during property price booms: evidence from European
| dc.contributor.author | Martins, António | |
| dc.contributor.author | Serra, Ana | |
| dc.contributor.author | Martins, Vitorino | |
| dc.contributor.author | Stevenson, Simon | |
| dc.date.accessioned | 2013-07-11T10:21:29Z | |
| dc.date.available | 2013-07-11T10:21:29Z | |
| dc.date.issued | 2013 | |
| dc.description.abstract | 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. | |
| dc.identifier.uri | http://hdl.handle.net/10400.22/1753 | |
| dc.language.iso | eng | por |
| dc.subject | Residential property prices | |
| dc.subject | Mortgage loans | |
| dc.subject | Bank performance | |
| dc.subject | Dynamic panel estimation | |
| dc.title | Residential property loans and performance during property price booms: evidence from European | por |
| dc.type | conference object | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | conferenceObject | por |