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Record Nr. |
UNINA9910957187703321 |
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Autore |
Pinheiro Marcelo |
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Titolo |
Exposure to Real Estate Losses : : Evidence from the US Banks / / Marcelo Pinheiro, Deniz Igan |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2009 |
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ISBN |
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9786612843006 |
9781462308354 |
146230835X |
9781451987270 |
1451987277 |
9781451872262 |
1451872267 |
9781282843004 |
1282843001 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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Collana |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Real estate investment - United States |
Real property - United States |
Bank credit |
Banking |
Banks and Banking |
Banks and banking |
Banks |
Business Fluctuations |
Credit |
Cycles |
Depository Institutions |
Finance |
Financial institutions |
Household Behavior: General |
Housing |
Income |
Industries: Financial Services |
Loans |
Macroeconomics |
Micro Finance Institutions |
Monetary economics |
Monetary Policy, Central Banking, and the Supply of Money and Credit: |
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General |
Money and Monetary Policy |
Money |
Mortgages |
National accounts |
Nonagricultural and Nonresidential Real Estate Markets |
Personal income |
Personal Income, Wealth, and Their Distributions |
Prices |
Property & real estate |
Real Estate Markets, Spatial Production Analysis, and Firm Location: General |
Real estate prices |
Real Estate |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Intro -- Contents -- I. Introduction -- II. Related Literature -- III. Empirical Approach -- A. Modeling the Determinants of Delinquencies -- B. Stress Testing -- C. Determinants of Vulnerability -- IV. Data -- V. Results -- A. What Leads to Delinquencies? -- B. Can the Banking Sector Survive an Economic Downturn? -- C. Who are the Vulnerable Banks? -- D. What is the Likely Impact of Recent Regulations? -- VI. Conclusion -- References -- Tables -- 1. Definition and Source of Variables -- 2. Summary Statistics -- 3. VEC Estimation Results: Delinquency rate on real estate loans -- 4. VEC Estimation Results: Delinquency rate on residential real estate loans -- 5. VEC Estimation Results: Delinquency rate on commercial real estate loans -- 6. Summary Statistics by Vulnerability -- 7. Characteristics of Vulnerable Banks: Cross-Section Analysis -- 8. Characteristics of Vulnerable Banks: Panel Data Analysis -- 9. Most Vulnerable Banks: Distribution by State -- Figures -- 1. Business, Credit, and Real Estate Cycles, 1976-2006 -- 2. Share of All Real Estate-Related Loans in Banks' Portfolio, 1960-2006 -- 3. Share of Real Estate Loans in Banks' Portfolio, 1996-2006 -- 4. Real Estate Price Indices, 1984-2006 -- 5. Real Estate Exposure: Median Bank, 2000-2006 -- 6. Delinquency Rate, 1991-2006 -- 7. Response of Delinquency Rate on Real Estate Loans to Major Determinants -- 8. Response of Delinquency Rate on Residential Real Estate Loans to Major Determinants -- 9. Response of Delinquency Rate on Commercial Real Estate Loans to Major Determinants -- 10. Bank Vulnerability and House Price Appreciation between 2000 and 2006. |
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Sommario/riassunto |
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We implement a three-step procedure to assess the extent of exposure to real estate in commercial banks. First, we demonstrate interest rates and income to be the major determinants of delinquency. Then, we adopt a stress testing approach to calculate the impact of any adverse changes in these determinants. This suggests that a 1.3 percentage point increase in mortgage interest rate leads to a 20 percent decrease in a typical bank's distance to default. Finally, we look at the cross- |
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sectional differences and indentify the banks with rapid loan growth along with high cost-income ratio as the most vulnerable. |
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