06750oam 22014414 450 991095718770332120250426110057.097866128430069781462308354146230835X978145198727014519872779781451872262145187226797812828430041282843001(CKB)3170000000055243(SSID)ssj0000940797(PQKBManifestationID)11967051(PQKBTitleCode)TC0000940797(PQKBWorkID)10955751(PQKB)10753356(OCoLC)550641065(IMF)WPIEE2009079(MiAaPQ)EBC1605898(IMF)WPIEA2009079WPIEA2009079(EXLCZ)99317000000005524320020129d2009 uf 0engurcn|||||||||txtccrExposure to Real Estate Losses : Evidence from the US Banks /Marcelo Pinheiro, Deniz Igan1st ed.Washington, D.C. :International Monetary Fund,2009.33 pIMF Working PapersBibliographic Level Mode of Issuance: Monograph9781451916614 1451916612 Includes bibliographical references.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.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-sectional differences and indentify the banks with rapid loan growth along with high cost-income ratio as the most vulnerable.IMF Working Papers; Working Paper ;No. 2009/079Real estate investmentUnited StatesReal propertyUnited StatesBank creditimfBankingimfBanks and BankingimfBanks and bankingimfBanksimfBusiness FluctuationsimfCreditimfCyclesimfDepository InstitutionsimfFinanceimfFinancial institutionsimfHousehold Behavior: GeneralimfHousingimfIncomeimfIndustries: Financial ServicesimfLoansimfMacroeconomicsimfMicro Finance InstitutionsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfMoneyimfMortgagesimfNational accountsimfNonagricultural and Nonresidential Real Estate MarketsimfPersonal incomeimfPersonal Income, Wealth, and Their DistributionsimfPricesimfProperty & real estateimfReal Estate Markets, Spatial Production Analysis, and Firm Location: GeneralimfReal estate pricesimfReal EstateimfUnited StatesimfReal estate investmentReal propertyBank creditBankingBanks and BankingBanks and bankingBanksBusiness FluctuationsCreditCyclesDepository InstitutionsFinanceFinancial institutionsHousehold Behavior: GeneralHousingIncomeIndustries: Financial ServicesLoansMacroeconomicsMicro Finance InstitutionsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyMoneyMortgagesNational accountsNonagricultural and Nonresidential Real Estate MarketsPersonal incomePersonal Income, Wealth, and Their DistributionsPricesProperty & real estateReal Estate Markets, Spatial Production Analysis, and Firm Location: GeneralReal estate pricesReal Estate332.1Pinheiro Marcelo1815704Igan Deniz1099130DcWaIMFBOOK9910957187703321Exposure to Real Estate Losses4371221UNINA